Research On The Spot Yield Curve Of Treasury Bonds In The Interbank Market

With the reform of the financial markets,the development of China's bond market keeps growing.The issuance is more frequent.The scale is lager.The prices get more market-oriented.The motivation becomes diversity.Bond market reflects both China's fiscal policy and monetary policy.The yield curve of bond has crucial meaning to relevant government departments and participants of the financial markets.The bond market of China can be divided into the inter-bank market and security exchange market.Bonds which contain various term classes traded by professional participants in the inter-bank market have a huge volume.So the interbank market is more representative.This paper summarizes the research of yield curve and introduces the DNS yield curve models,then uses the data March 2014 to February 2016 of spot market of goverment bonds in the inter-bank market.Depending on the Sample.Two-step mothed is adopted to estimate the DNS yield curve model's parameters.The analysis of structured part and unstructured part of the model are respectively.According the quantitative analysis result of the unstructured,the yield curve's accuracy reaches plus or minus 10BP,and 20BP.and 30BP range at the confidence degrees of 75%,and 90%.and 95%.Additionally the residual's distribution has been estinmated.For structured part,Main analysis is the temporal variation characteristics of structure factor.Results show that the factors,both single of them or combined vector,are significant stable autoregressive process.Furthermore,the pulse response and the variance decomposition in the vector autoregressive process indicate that level factor has significantly effect.According to conclusions,the return ratio of the spot market of government bonds in the inter-bank market can be displayed and predicted through the DNS model.