The Analysis Of The Influence Of Benchmark Interest Rate For Bond Yields

With the promotion of interest rate marketing and China's term structure of interest rates showing a different reference and guidance characteristics,bond market as an important part of the capital market,the vitality of the market and bond yield are largely influence by the benchmark interest rate,and changes in yields will continue to affect the bonds and other financial assets pricing.Therefore,it is of great practical significance to explore the influence of the benchmark interest rate on the yield of the bond market.With the help of the study of the existing literature and bond market practice,choose the Shanghai Bank inter-bank lending rate(Shibor),the national inter-bank bond market pledge repo rate,the central bank bill rate(replaced by the central bank bills income rate)as the bond market's benchmark interest rate,which mainly use Shibor as the representative.At the same time using the Shanghai Composite national debt Index yields,the Shanghai Composite Corporate bonds Index yields and the index of financial bond yields as a representative of the bond market yields.Based on descriptive statistics,correlation analysis and stability test,vector autoregressive model(VAR)and modified vector autoregressive(VEC)model were constructed.Through Granger causality test and the impulse response method studied the effection of benchmark interest rate to the bond yield,and through variance decomposition to obtain the strength of the relationship,finally,summarizes the bond yields continuity.The study found: first,Shibor as the benchmark interest rate has a strong reference in the short,and with the benchmark interest rate to the long,the central bank bills yield become better,the bank pledged repo interest rate effects in between.Second,the influence of central bank bill rate on national bond yields is larger,the short effect is stronger than that of the long,but Shibor and bank pledge repo rate only have long influence on bond yields.Third,Shibor has a strong impact on the corporate bond yield rate,its impact focused on the short-term of the yield,and central bank bill rate has little effect on corporate bonds.Fourth,the influence of the central bank bill rate and Shibor on financial debt is strong,the influence is also focused on the short-term rate of return,1 year-term Shibor and central bank bills rate are the best reference.Fifth,the continuity and influence of corporate bond market yields is better,and higher than the national bond and financial bond market yields.By studying the influence of benchmark interest rate on the fluctuation of bond market yields,on the one hand,added to the choice theory of bond market benchmarkinterest rate,enriched the research of influence factor of bond yields results.on the other hand,the research conclusion has important practical reference significance for the government macroeconomic regulation and for investor to make investment decision.