The Relationship Between The Term Structure Of Interest Rates And Key Macroeconomic Variables

Interest rate problem has always been the core problem of the basic financial capital market. Interest rate term structure is the focus of the study of the modern interest rate problem. The term structure of interest rates is the relationship between a certain point in time, the spot rate government bonds of different maturities, with the remaining maturity. Term structure of interest rates reflects the different term capital supply and demand relationship, and reveals the overall level of market interest rates and changes in direction. Not only is the core of design of financial products, hedging, interest rate risk management and asset pricing, but also the available reference basis for investors in bond investments, economic decision-making, and relevant departments to strengthen the bonds management. Interest rate term structure is quite important and complex, many scholars are the subject of a large number of qualitative researches in China and abroad, and obtain significantly results in the field of financial studies. However, it is still have important theoretical and practical significance to use of new ideas and methods to study the term structure of interest rates. Determine the reasons for the changes in the term structure of interest rates become the mainstream in recent years. If it is determined that the main factors affecting the term structure of interest rates, changes in factors can predict the direction and extent of changes in the term structure in advance, so that the economic agents can be made favorable decisions in advance, to prevent risks. Use of the term structure of interest rates forecast of key macroeconomic variables (the future rate of inflation, economic growth rate, etc.) is also very important, because this relates to the main economic decision-making, the pricing of financial products, speculation and hedging.In this paper, on the basis of previous large study, introduce foreign macro-economic variable to examine the impact of domestic and international macro-economic factors on the term structure of interest rates. While use of the time difference correlation analysis to determine the optimal prediction time span, we abandon some scholars to choose the inherent time span (6months or12months). Through the use of the ADL model, ECM,the time difference correlation model and cointegration test, we find the following empirical results:(1) The interest rate term structure level factor determined by domestic macroeconomic factors and foreign macroeconomic factors as well as own. Level factor changes in vast majority attributed itself, so that it represents the long-term interest rates (the level factor) stability and their changes are subject to the influence of other factors, to a lesser extent. Foreign macroeconomic factor directly or indirectly affects the long-term interest rates in the short-term changes, but for the long-term effect is minimal.(2) Changes in the money supply has a positive role in the long-short spread, rising inflation will lead to long-short term spread narrow. At the short-term, US long-short term spreads on long-short term spread reverse shock, but in the long term, this effect is not significant.(3)The term structure contains the important information about future changes in the inflation rate. There is a positive relationship between long-term interest rates and inflation rate, the maximum difference correlation coefficient at three months ahead.(4) The term structure of interest rates can make a quantitative forecast for the future economic growth rate. The slope factor ahead of nine-month growth rate of industrial output has optimal time difference correlation, level factor is one year ahead of the industrial added value has optimal time difference correlation.The inadequacies of this article is consider only the rate of inflation, the industrial added value, M2growth and foreign macroeconomic factors, not studied under the impact of other economic factors on the term structure of interest rates. At consider of the foreign macroeconomic factors, only use the US long-short term interest rates spread instead, which may not be fully representative of the foreign macroeconomic changes.