Analysis On The Term Structure Of Shanghai Internet Offered Rate And Its Influencing Factors

The term structure of interest rates is an important reference standard of the bond market and interest rate derivatives pricing, which reflects the relationship between the yields on bonds of different maturities and maturity between, it not only reflects the influence of time factor on the rate of interest, at the same time, it also shows the capital supply and demand situation of the capital market, investors in the investment period of the preferences and expectations on the market, is provided to investors and financiers good reference standard, it is not only an important reference index for individual and institutional investors to invest in, and have an important influence on the central bank’s monetary policy. So the research of the term structure of interest rates has been one of the hot research topic in the financial sector.This paper reviews the literature related to the term structure of interest rate theory and empirical analysis, identify suitable for China’s bond market model, choose the principal component analysis method for the optimal model of interest rate term structure fitting with the dismantling of the Bank of Shanghai. The three factor analysis method to estimate the sequence represents the interest rate curve by using the principal component factor:level, slope factor and the curvature factor. The fitting results show that fitting effect is better, the principal component analysis method, suitable for the Shanghai interbank lending interest rate term structure fitting, and the three factors can reflect the characteristics of the interest rate curve.This paper discusses the relationship between the term structure of interest rates of three factors and macroeconomic factors. We will be a large number of macroeconomic variables are divided into three categories:the level of the real economy, monetary policy and the price level, the first principal component extraction sequence and various categories of variables by principal component analysis method, established the structural vector auto regression (SVAR) model, the term structure of interest rates of three potential factors into the model, using the impulse response function and variance decomposition technology to study the macroeconomic impact on the term structure of interest rates. We get the following conclusions:(1) the response factor term structure of interest rates to macroeconomic factors more strongly, the slope factor and the curvature factor are significantly weaker. A higher rate of macroeconomic factors on the variance of the level factor contribution, and the slope factor and the curvature factor variance contribution rate maintained at about 20-30%. (2) the price level factors on the level factor has a significant and lasting effect, are the main factors leading to changes in long-term interest rates, and the variance of the level factor contribution rate is the highest, the empirical results are basically consistent with the theory. (3) expansion of the monetary policy will cause the steepening of the yield curve, but there is a lag period of about 2. The level of the real economy of the slope factor variance contribution rate is larger, the price level of the slope factor. (4) the growth of the real economy, expansionary monetary policy and inflation will increase the curvature rate curve, but the response amplitude caused by various factors is not sensitive to the change of curvature difference, factors of macro factors.