The Term Structure Of Interest Rate Model Based On Two Kinds Of System Economic Factor

The term structure of interest rates is the relationship of the maturity and different mass bond yield which is in the same risk level, the relationship between the instantaneous rates. With the development of China’s bond market、interest rate marketization constantly promoting and derivatives continuously innovating, looking for accurate、reasonable and effective method is the basis of the financial asset pricing、management interest rate risk、effective allocation portfolio and a series of use of term structure of interest rate on the theory and practice research, it is also the important reference index of the national macroeconomic regulation and control.The mainly innovation of the essay aimming at the term structure of interest rates reflected in the transformation from the macro economic data to derivation term structure of interest rate. And also on the basis of Vasicek model we study the term structure of interest rate, and select June23,2008to May20,2012, bank7days (IBO007) which is the disassemble interest ratesas a short-term instantaneous interest rates alternative. Through the comparison the term structure of interest rate based on kalman filtering theory with the term structure of interest rate based on the Vasicek model,we will have a better study effect if the macroeconomic data integrated into the term structure of interest rate. But the Chinese market data is not very comprehensive, this article doesn’t study the derivatives pricing and related transmission mechanism which is the drawbacks.The full text is divided into five chapters, the first chapter is the basic introduction of the research content and significance of the research. The term structure of interest rates has certain guiding significance and role of financial assets and derivatives pricing, reasonable allocation of portfolio and the implementation of monetary policy.The second chapter about the related literature at home and abroad were reviewed. And then summarized the development of term structure of interest rate and related pricing model, and the model of the relevant characteristics.The third chapter mainly refers to the theory of the term structure of interest rate which includes the expectations theory, the liquidity premium theory and the market segmentation theory, as well as Vasicek model and the GARCH (1,1) model.And then we inspect the stationarity premise utilization on June23,2008to May20,2012, bank7days which is disassemble interest rates (IBO007) for the term structure of interest rate,finally we estimate the results of relevant inspection and get Vasicek model based on the term structure of interest rate.The fourth chapter mainly introduces the term structure of interest rate basing on kalman filtering thoery. From the noisy macroeconomic data we extract two kinds of system state economic factor using kalman filtering theoty which is called inflation factor and economic growth factor, then use these two types of economic factor to get the fitting rate sequence. And in the course of the research which is in the third chapter related conclusion, we think that the term structure of interest rate basing on two kinds of system economic factor model is the best. the article thinks that the main reason is to make full use of numerous macroeconomic data to summarize its contains economicinformation. The term structure of interest rate and macro economy are closely related in together.The fifth chapter mainly introduces the innovation improvements and related suggestions of this paper,. The main innovation is of the article is that it extracts the economic information of the main factor in many macro economic data which they may contain. Rather than simply extract some potential economic factors, or the extraction factor from three, several macroeconomic data series.This paper is to overcome the shortcomings, take efforts to extract the main information of the whole macro economic. Originally basing on the single factor Vasicek model, the term structure of interest rates still needs for dynamic research which is the one of the paper’s shortcomings. At the same time we also pointed out that we had better balance the relationship between the macro economy with the term structure of interest rates on the analysis of the relevant government policy and its effect.