Study On The Relationship Between Macroeconomic And Term Structure Of Interest Rate In China Banks Treasury Market

As interest rates on the financial market is the most important variable is the measure of all financial transactions, financial products, price tag, market participants realized price hedging, risk aversion and financial products through the analysis of interest rates to make decisions. At the same time the interest rate is an important indicator of macroeconomic development, and economic output, inflation and other macroeconomic variables are closely linked, based on this, the monetary authorities use interest rate reflects macroeconomic information. In the financial reform and the progressive realization of the interest rate market today, the market-oriented interest rates gradually deepened, it has played in the economic development role has become increasingly important. Accordingly, the term structure of interest rates is the risk-free rate and the time series of combinations, is to study the term structure of interest rates combined with the time.Interest rate term structure contains a number of important economic information, not only for the financial markets and reasonable pricing basis, can provide useful information for the monetary authorities, and to improve the accuracy of the macro-control system as well as the research results to improve the term structure of interest rates financial risk prevention and control capabilities, and therefore have a very important academic value. In recent years, more and more scholars began to study the term structure of interest rates.This selection of Nelson-Siegel model of the term structure of China’s interbank bond market to fit the term structure model derived parameters, and then proceeds through the use of parametric model to calculate the value of long and short term interest rate as the slope of the term structure of interest rates. Meanwhile paper selected economic output, inflation, money supply and stock market capitalization in circulation as a representative of the four macroeconomic variables, VAR model and the value of the term structure slope to test the inter-bank bond market term structure and macroeconomic interrelationship between.Through empirical study concluded that the presence of the interaction between macroeconomic variables and the term structure of interest rates. In explaining the intensity, the term structure of inflation and changes in economic output have shown relatively strong reasons to explain the intensity of more than 15%, while for the money supply and market capitalization of the stock market are below 10%, the overall to reflect on the role of the term structure of interest rates in the economy warning device. Between economic output and interest rate term structure interaction relationship and effects of changes in the current period of economic output for the term structure of interest rates is short-term, while inflation also has a strong influence on the relationship between the term structure of interest rates. Correspondence, in addition to the economic output of macroeconomic variables affected the term structure of interest rates is relatively weak. On the Granger causality analysis of the term structure of macroeconomic information transmission is valid, and the term structure of macroeconomic information transmission is invalid. Described above, the inter-bank bond market term structure is not perfect, imperfect reflect the inter-bank bond market development and construction, as well as interest rate formation mechanism is unreasonable, and therefore improve the bond market as well as to accelerate the construction process of the interest rate market is China’s financial reform The important goal.