China's National Debt Term Structure Of Interest Rates And The Correlation Analysis Of Monetary Policy

In an efficient market, at the micro level, the treasury yield curve can serve as benchmark interest rates system and can also help investors to manage risk. At the macro level, it contains market expectations, and keeps a close touch with macro-economic variables such as economic growth and inflation. So it can provide forward looking information for monetary policy authorities. With liberalization of interest rate and the development of the bond market, the term structure of the treasury will play a more and more important role.Firstly, the paper reviews the development of the theory about the term structure of interest rate systematically, and introduces the static and dynamic methods to estimates the term structure of interest rates. Then we do empirical research on the spot rate of bond in interbank market, establish the bond yield curve model, and estimate the parameters. Then, we investigate how the monetary policy influences the yield curve and the relationship between the treasury yield curve and macroeconomic variables.The thesis comes to the following conclusions:three main factors can explain the term structure of interest rates greatly, and they can be called the level, the slope and the curvature. Then we investigate the relationship between monetary policy and the term structure through the VAR analysis, the impulse response function and variance analysis. As for the intercept, tighter monetary policies such as the rise of R007and the decrease of M2can make the intercept rise. The growth rate of M2has little influence on the intercept, and R007which measures the tension side of money supply has greater impact on it.as for the slope, the rise of R007or the decrease of M2can make the slope smaller. The influence of CPI and economic growth on the slope is negative. As for the curvature, the relationship between the R007and the curvature is positive, but M2has little influence on it. Finally, the thesis finds that the intercept can predict CPI next period to some extent and the slope has positive relationship with the leading index of macro economy. All in all, the interest rate contains much information, so the monetary authorities can make full use of it to make policies.