A Test Of Affine Term Structure Rate To Bonds Of China

Term structure interest rates means that the relationship between the yields and maturities ofdifferent capitals point-in-time. It reflects the demand and supply of different maturities capitals atdifferent time and reveals the rate of market to some extent. For one thing, term structure interestrates point the ways for investors, for another thing, it supply gists for government to keep thecapital market in good state, more important it is the bridge that the economic policies to affectthe real estate. Because the importance of the term structure interest rates, so the research of ifbecomes urgently.This paper begins with the development and current situations of the loan market, introducethe background and meaning of the research of term structure interest rates, then this paperintroduce and comment the documents about term structure interest rates at home and broad, andthen this paper introduce the development of affine models and the model which is used in thispaper, and last get the result in line with the model mentioned before and analyze the result.We do some statistic analysis to the data that we download from the wind database firstly,and then we estimate the parameters in base of CIR model and Ordinary Differential Equations.When we get all the parameters, we need analyze them in term of economic theories. Then basedon the estimated parameters of the actual yields to fit within the sample, in order to test the modelfitting results, the results show that the model fit for10-year government bond yields andmaturities of less than a good explanatory power for maturity yields more than10years, when astable economic environment, the explanatory power of the model it is a better, however, whengreater volatility in the economy such as in2008when the economic crisis, the model appears tofit a large deviation; then CIR model to predict the future based on the state variable, and the datawere fitted to-sample test model prediction. Empirical results displayed based on selectedvariables based on affine model in terms of fit or prediction of a Chinese government bond yieldshave good explanatory power.