| As the financial market continues to advance, since the eighties of the lastcentury, the developed countries started to compile and publish the domestic i yieldcurve, and research on the term structure of interest rates has also never stopped. Atpresent, more and more economists paying attention to research the relationshipbetween the interest rate term structure and macroeconomic establish macro-financialmodel to improve the accuracy of the classical model. In this paper, from thisperspective, through the bond market trading of government bonds as a sample tostudy the term structure model is suitable for China.In this literature, this paper introduces the theory of the term structure of interestrates, including the traditional theory and modern theory, but also introducescutting-edge research within the field. Secondly, it introduces the theory andeconometric model used in the empirical analysis.In the third, on the Nelson-Siegelmodel and its extensions related models introduced simultaneously with thecomparative method described by reference to the choice of the model to fit the termstructure of interest rates reasons, combined in2009to2013in the Shanghai StockExchange listed bonds by two-stage method for the model parameters were estimatedand verified in accordance with the parameters of its credibility economicimplications, the results showed that NS models can fit the term structure of interestrates. Finally, the introduction of macro variables to inspect the N-S model, mainly toexplore the impact of macroeconomic variables on the term structure of interest ratesby examining the CPI and M2two macroeconomic variables in the model threeparameters β0,β1,β2relationship. And accordingly establish relationshipsmacro-financial model, the macroscopic model is compared with the original model inforecasting ability, found that both have good predictive, but was more accurateprediction of the original model. Introduction of macro variables did not drawconclusions optimization model. This shows that the term structure of interest rates in the three factors already contains economic information. In this process, the paperuses cointegration test examines three factors model with macroeconomic variablesand the long-term equilibrium relationship.While establishing VAR model variables,by the impulse response and variance decomposition studied both n the short termimpact of customs, the last two visits by the predictive power of the model RMSE. Inthe last chapter, the paper points out deficiencies in this study, and pointed out thedirection for further research. |
