Relationship Between Macroeconomic And Term Structure Of Interest Rate In China Exchange Treasury Bond Market

Interest rate is the price of money, and also an important reference index of the financial activities. For market participants, the attention to interest rate can help them to achieve the optimal allocation of financial assets. For economic policy makers, the change of interest rate can reflect a certain macroeconomic situation. In the increasingly development of the market-oriented interest rate reform today, interest rate is becoming a key of bond market policy research. Term structure of interest rates is the risk-free interest rate under the condition of different periods of the curve. It is a comprehensive consideration of time and interest rate. But the Treasury bond market in China is not mature. The Treasury bond market in China has been experienced the counter trade, bourse and interbank market. Now our country's national debt market is roughly divided into two parts, namely the interbank bond market and the stock exchange market. In the recent years, the inter-bank bond market dominates, and most of the literature analyze the term structure of interest rates using the data of the inter-bank bond market. This article is based on the data of the stock exchange bond market to discuss the term structure of interest rates. Although the bourse market is not dominate in proportion, considering the whole Treasury bond market. But its size is still large, and the treasury bonds have continuous data in the weekdays in the bourse market. And the price is determined by a bidding mechanism, with the aid of stock bidding system. The main participants of inter-bank bond market are commercial Banks. And the participants of the stock exchange market are some institutional investors and also include a number of individual investors. So as a new try, we can compare the results with the inter-bank bond market.The article has five parts. The first part is the introduction, including the selected topic background and research significance, the basic framework of the article and the domestic and foreign research literature review. The second part introduces the traditional theories of term structure of interest rates, and also analyze the relationship of the term structure of interest rates and macroeconomic. The third part introduces the theoretical derivation model, especially the Nelson-Siegel model and its extended models. And then the article choose to use N-S model to fit the Chinese bond yield curve of the stock exchange market. The fourth part is the empirical part. We choose CPI, industrial added value growth rate, growth rate of the M2, the market value of the stock market and the exchange rate. Then, according to the sample data, we establish three VAR models to analyze the relationship of the three factors and the macroeconomic, using the method of impulse response function and variance decomposition analysis. The fifth part gives the conclusion of the empirical test and makes the relevant policy recommendations.This paper has three conclusions. Firstly, we can use N-S model to fit the term structure of interest rate in the bourse market. And the three parameters of factor all have good economic meanings, making a good foundation for the subsequent empirical test. Secondly, through the empirical test of the VAR model, this article proved that the selected five macroeconomic variables have no significant effects on the level factor. But the selected five macroeconomic variables have a significant effects on the slope factor and the curvature factor. This paper proved that the five macroeconomic variables explain the 21% change of the slope factor and the 28% change of the curvature factor. In the five kinds of macroeconomic factors, the stock market factor has a significant effect on the slope factor and curvature factor. Finally, although the change of macroeconomic variables can explain the reason for the part of the term structure of interest rates changes, but the change of the three factors of term structure of interest rates are not the cause of the change of macroeconomic variables.