Empirical Study On Term Structure Of Interest Rate Of Treasury Bond

Since the reform and opening up, China’s bond market has undergone considerable development; today, have not only uses a single development model pay attention to the issue quantity, issuing scale and market turnover amount and other traditional indexes, need to carry out diversified development, such as innovation bond derivative financial instruments and other methods. At the same time, the theory and empirical research for the Treasury market, also should not be limited to the area of the market. In recent years, the Treasury bond futures market in China successfully restarted, Chinese key term bond yield curve formal construction, Chinese bond ETF products successfully listed in USA market. A large number of major economic events are closely related to the bond market have occurred, making China’s bond market in economic importance, the financial sector becomes more and more prominent, but also new challenges and higher requirements for the Treasury market research.Treasury rate as the risk free rate of the best approximation expression, has the important instruction function to the pricing of securities, investment decision, asset management, policy and other economic activities. In this paper, starting from the interest rate on the bond market of China has carried out some research, mainly is carries on the empirical analysis on the application of the theory of liquidity preference hypothesis in Chinese treasury field using the term structure of interest rates. Liquidity preference bond, refers to the long-term bonds need to bear higher investment risk, more willing to hold short-term bond behavior preference hypothesis better liquidity conditions in the same return investors, is one of the most important theories to explain the cause of the formation of the term structure of interest rates. This paper will also bond market and its external financial market linked to both intrinsic mechanism research, but also to reflect the liquidity preference level premium index as the breakthrough point.This study first elaborated the important status of the bond interest rate term structure in China, in-depth discussion of the urgency and applicability of the theory of liquidity preference; empirical testing analysis of important attribute and then use the liquidity premium on bond market indicators of liquidity preference; then combined with the theory of money supply and demand, the government bond market liquidity preference up contact with the external financial environment, through the empirical finding of potential relevance to mechanisms, to open up market between occlusion, forming a deeper cognition of the financial market. The study found that, the theory of liquidity preference hypothesis is basically suitable for China’s national debt market; synchronous phenomenon exists certain bond market liquidity preference and external financial market supply and demand changes, changes when the entire financial market bond market through the liquidity premium to reflect the regulation right. This potential linkage mechanism of collaborative classical interest rate adjustment mechanism, also helps to stabilize and develop financial market.