Estimation Of China's Term Structure Of Interest Rate And Its Macro-information Interpretation

The bond market plays an important role in the economic development and financial stability of a country.The accurate characterization of the term structure of interest rate not only helps investors to make pinpoint investment decisions,but also facilitates the central banks to forecast and implement the monetary policy.In this paper,the principal component and model fitting of the term structure of interest rate in China's securities market and inter-bank market are analyzed and compared.Therefore,the market which is most responsive to the term structure of China's interest rate is obtained.Since the introduction of SHIBOR,it is considered as the benchmark risk free interest rate of the Chinese market.In this paper,the CIR model and the Vasicek model are used to fit the overnight lending rate,and the conclusion of the mean reversion of the SHIBOR market is acquired.It is found that there are jumps in the SHIBOR market,the reason of which lies in that the SHIBOR market has accurate control of the information.This paper also analyzes the relationship between term structure of interest rate and macro economy.By selecting CPI index and PMI index as macroeconomic variables,the precise relationship between macro economy and term structure of interest rate is analyzed by impulse response function.