An Extended Macro Interest Rate Term Structure Model To Estimate And Applications

With the rapid development of economy, people’s living standard and the country’s comprehensive national strength has greatly improved, at the same time, many problems in macroeconomic also have sprung up. Interest rates as an important financial variable, its change trend of asset pricing, arbitrage, hedging, risk management, and other investment decisions play a crucial role, in addition, it is also the central bank monetary policy effective analysis tool. The term structure of interest rates in many of the economic information, we through to the interest rate curve shape and the interest rate level is analyzed, the relationship between the term structure of interest rates and macroeconomic variables, clear understanding and to forecast the future trend of economic operation.Standard as the shot term structure model with a few not look at a cross section of factor and no-arbitrage assumption will be built to touch the yield curve. In spite of the fitting curve dynamic aspects more successful, but these models to explain the factors behind the yield curve change is no help. In comparison, the yield curve of the macro financial model can provide this kind of explanation, and can according to a handful of macroeconomic factors explain the yield curve. Traditional macro financial model gives a two-way flow of information between financial markets and the macroeconomic. First, macroeconomic factors through its impact on monetary policy become important factors in the bond pricing(through expected or risk premiums). Secondly, based on the expected sum of bond prices, the yield curve contains information about current and future macro economic development. In financial markets is almost 24 hours a day uninterrupted trading continuous transmission under the condition of the information, this kind of macroeconomic theory is widely used to evaluate the financial development, especially the macro economic significance of the development of the bond market is not surprising.Although the macro financial model is successful on the whole, but there are still some important pattern recognition problem. Particularly in terms of macro economic variables, benchmark macro financial model factors greatly limit the yield curve. Financial factors such as liquidity generally does not take into account. However, these financial factors in the macro financial model to the model is very important. First of all, according to the current financial crisis, financial shocks might be in financial markets and the macroeconomic has significant and lasting impact. For this reason, currency market spreads closely monitored by the central bank and analysts. Second, due to ignore relevant financial variables, the standard of macro financial model is omitted variable bias, may result in the yield curve of the macroeconomic explain inaccurate or biased. In this paper, we will evaluate the financial impact in explaining the importance of the yield curve dynamic aspects. We by the introduction of liquidity in the financial variables extends the standard macro financial model.The first chapter of this article, first of all, research on term structure of interest rate in the macro background and significance of topics, and the research situation of scholars both at home and abroad are reviewed. In the second chapter of the thesis, combing the about several macroeconomic theory from the term structure of interest rates, the yield curve fitting method are introduced. Paper, the third chapter firstly introduces the present study macro use the basic idea of the term structure of interest rates, and select the VAR-ATSM model was studied, on the basis of the predecessors, add into the liquidity factor, spreads from the period of macroeconomic variables prediction ability, macro economic variables for different period interest rate, term spreads the influence of three aspects on the relationship between the term structure of interest rates and macroeconomic variables has carried on the empirical research. The last part of the paper summarizes the empirical some conclusions, and application of extended macro term structure of interest rates model puts forward some Suggestions.