| Interest Rate is one of the most important variables who plays a key role in finance market and the price system. It has great inference in valuing various of fixed income derivatives and interest rate derivatives and has been the emphasis field in financing study. While the study of the term structure of interest rate is the basic and most important one.In the first chapter, we firstly introduce the background and the significance of the study of the term structure of interest rate. Then we conclude the previous study and achievement in this field and have a rough literature review domestic and overseas. Finally, we will introduce the main content, the frame, the innovation and the defects of this paper briefly.In the second chapter, we have a systematic review of the status of the study of the term structure of interest rate and comb the context of the study. The term structure of interest rate theory contains two main branches, the traditional theory and the modern theory. The traditional theory focus on the discuss of the reason why the term structure of the interest rate shows different shapes, but the methods it used were somehow coarse. It only has a qualitative description of the observed basic characteristics of the return curve in one certain time point. We also have an analysis of the modern theory roughly in this chapter.In the third chapter, we firstly analyzed the money market of China briefly, then we focus on the analysis in the interbank loan market and then decided to choose the interbank lending rate which is of high marketization as the object of our study. Using the data we selected, we did a component analysis within the statistics software SAS to test the effectiveness of the classical Three Factor Description using the data of interbank lending rate in China. On the reference of the previous achievement and the actual situation of China’s interbank market, we give the realistic economic definition to the three factors. The result is that the horizontal factor, the leaner factor and the curvature factor can explain the characteristics of the term structure of interest rate above the level of94%, which contains the vast majority of the information of the changes of the term structure of the interest rate.In the fourth chapter, we built a model based on the data structure of the term structure of the interest rate itself. Using the ARIMAX model (which is the ARIMA model who introduced a regression item), we test the three factors and the CPI in time series multiple regression to find the characteristics of the changes of China’s interbank lending market. Then we appropriately separate the three factors (the horizontal factor, the leaner factor and the curvature factor) who interference the term structure of interest rate to examine the influence which macro-economic variables, especially the inflation variable, have on the three factors. After analyzing the result of the test thinking about the influence of main macro-economic factors and the reasons which disturb the time series of the three factors, we got several conclusions. Inflation has obvious and direct influence on the horizontal factor. High level of inflation will raise the expected inflation of future which lead to a steeper slope of the term structure of the interest rate. The level of inflation can’t change the curvature in a short time while the curvature factor shows that the quality of the return of long-term debt is less than the return of short-term debt.In the last chapter, we give some suggestions on the optimization of the term structure of the interest rate, the building of the debt market and the building of the base rate system. The key point we want to emphasis is the feasibility whether the interbank lending rate can play the role of short-time base rate. We sincerely hope that the study of this paper can provide some help on the risk management of parties in finance market and the making and execution of money policy of the Central Bank. |
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