Research On The Term Structure Of Interest Rates,Commercial Bank Portfolios And Macroeconomic Volatility

Term structure of interest rates,is described with the same risk and liquidity of the relationship between the yield to maturity and maturity of the bond.Accurately revealing the dynamic relationship between the term structure of interest rates and the macro economic variables,has been the important basis of the central bank to monitor the financial system and monetary policy by the following three aspects of reasons:first,the term structure of interest rates is called as the"indicator" of economic operation,it contains many valuable economic information,and can reflect the operation of the macro economic situation;Second,the term structure of interest rates plays an important role in the asset pricing,project investment and financing decisions,the present value of the expected cash flow calculation of risk assets in the future are decided by the term structure of interest rates;Finally,under a given state of the economy,through the anglicizing the affection of the short-term interest rates to the long-term interest rates,term structure of interest rates can help improving the rationality of the monetary policy decisions for the central bank.the basic research model based on DSGE model,term structure of interest rates selected interest rates of three month and interest rates of 10-year of Treasury bonds as short-term interest rates and long-term interest rates reflect variables,sample interval was from 2010 quarter 1 to 2013 quarter 4,a total of 16 quarterly data.By establishing the partial equilibrium model which contains"class credit trade business of commercial Banks" portfolio,profits,and the term structure of interest rates,and embed it in a family,entrepreneurs,commercial Banks and manufacturers for the economic subject DSGE model,research the dynamic relationship between the term structure of interest rates,commercial bank portfolio and macroeconomic fluctuations.The content of this article is divided into five chapters.The first chapter is the introduction.The First elaborated the research background and research significance of this article;Then the research content and structure of the thesis is given;finally,introduced the thesis research methods and innovation points.The second chapter for theory research and literature review.First of all,describes the basic economic theory of term strcture of interest rates:the unbiased expectations theory,the liquidity preference theory and the market segmentation theory;Secondly,for the term structure of interest rates of literature review,divided into two categories:a class of literature describing the changing rule of the term structure of interest rates;Another kind is pay attention to the dynamic relationship between the term structure of interest rates and macroeconomic variables.The third chapter is the model First of all,to build local equilibrium model consists of two economic agents which were a family and commercial Banks,and established a link between the term structure of interest rates,portfolio in the commercial bank and profits;Then,on this basis,the local equilibrium model was embedded in a family,entrepreneurs,commercial Banks and companies to DSGE model for the economic subject,the dynamic relationship between the term structure of interest rates,commercial Banks,investment portfolio and macroeconomic fluctuations.The forth chapter is about the empirical analysis.The first step is,according to the historical data and research results set related parameters calibration value,and the Bayesian estimation methods for parameter estimation;The second step is,through the impulse response and variance decomposition,analysis the influence of economic growth,the mismatching of commercial bank risk impact,the type of quantitative monetary impact and price monetary impact respectively on the term structure of interest rates.The last chapter is conclusion and policy recommendations.This article conclusion is:the economic growth impact and mismatch risk impact have the largest effect on term structure of interest rate in our country,followed by the type of quantitative and prices monetary policy,In the sample period under the background of slowing economic growth in China,the influence of the commercial bank's risk mismatch impact on term structure of interest rates after the effect of economic growth impact,it is a kind of abnormal phenomenon.Finally,combining with the conclusion,the paper proposes the relevant policy recommendations to promote the reaction of term structure of interest rates accurately to economic operation state of.