Effect Of Monetary Policy On Term Structure Of China Inter-bank Offered Rate

This paper is based on the classic theory of the term structure of expected interest rates, checking the usefulness of this theory on the data of the China interbank offered rate, as the basic step to research the impact of monetary policy on China’s term structure; then use Nelson-Siegel mode to make estimation of the term structure of China interbank lending market; three meaningful economic estimators are used as representative of the term structure in China, while the three classic tools of monetary policy are using as representative of the monetary policy, researching the impact of monetary policy on term structure with ECM model and VAR model established. The results show that, the monetary policy has a significant influence on the term structure of interest rate in China, but with lag impact.The creation of this research is choose classic tools of monetary policy directly as the representative of the monetary policy, so that the impact to term structure will be shown more explicit and it’s helpful to provide guidance towards macroeconomic policy.