Comparsion And Applied Reasaerch Of The Term Structure In Inter-bank Bond Market And Sse Bond Market

Nowadays China’s inter-bank bond market and stock exchange bond market are separated, which limits the development and efficiency of China’s bond market. The term structure of interest rate contains important information value. With the advance of market-based reform, the term structure of interest rate becomes more important.First, this paper compares the different characteristics of the term structure of interest rate in two markets. Using the data before and after 2006, we estimate a dynamic factor of yield curve with and without macro variables. The different results from two samples show us that the long effect from real economic activity is more obvious and the yield curve plays a role in macro economy after improving the market reform. We also compare the yield curves of inter-bank bond market and SSE bond market. SSE bond market has a higher marketing level before 2006, and then we find both have stronger interaction with macro economy. The yield curve of inter-bank bond is more stable than the other one.Secondly, based on the three factors extracted from models in chapter 3, the paper studies the nonlinear relationship between the three factors and the future economic growth and inflation, and whether the term structure of interest rate can predict the future economic. We find that there is a nonlinear relationship between the term structure factors and the future GDP growth, which is more obvious in the 18 th month. The level factor and slope factor are more important than the curvature factor in predicting the growth of economic.The STR model has less effect on the future inflation, and the three factors all reduce the inflation in nonlinear way. Inter-bank bond market has stronger relationship with macro variables than SSE bond. What’s more, the inter-bank curve’s ability to predict the GDP growth and inflation is better than the whole market curve.Finally,the paper gives some suggestions about the bond market, such as raising the level of marketlization, developing the yield curve, accelerating bond market to unite and so on.