Research On Term Structure Of Interest Rate Based On Nelson-siegel Parameter Class Model

In recent years,with the development of China's financial market,the number of financial products is increasing and the number of investors is also growing.The large number of bonds issued so that the status of treasury bonds in the financial market gradually highlighted,The process of interest rate marketization makes the importance of interest rate term structure become more and more important.Interest rate term structure has become the key to financial market interest rate risk management,financial asset pricing and monetary policy making,Therefore,it is an important research topic to study the term structure of interest rate of treasury bonds,provide valuable reference for financial market and carry out risk management.In this context,firstly,the traditional theory and the modern theory of interest rate term structure are analyzed and studied.It is found that the parameter model has the advantages of good fitting effect,obvious economic meaning of the parameters,stable model and so on.However,it is not suitable for the study of the term structure of China's national debt interest rate,In order to study which model is more suitable for China's national debt market,this paper first selected in January 2012 to March 2017 the monthly yield of bond yields data,This paper divides these data into one to 30 years according to the maturity period.The principal component analysis method is used to analyze the interest rate term structure of this time period.The factors influencing the change of interest rate tenn structure are obtained.The factors of affecting the structure of interest rate structure are horizontal factors,tilt factors,curvature factors.The variance contribution rate of the previous major factors to the change of interest rate term structure curve is 82.2002%,16.9948%and 0.6283%respectively,The level factor represents the position of the term structure of the interest rate.The tilt factor represents the degree of inclination of the interest rate term structure.The curvature factor determines the degree of curvature of the interest rate term structure,which paves the way for the Nelson-Siegel model and the Svensson model to be studied below.The factors influencing the change of interest rate term structure correspond to the parameters of Nelson-Siegel model and Svensson model.In particular,the three parameters of Nelson-Siegel model correspond to horizontal factor,tilt factor and curvature factor respectively,It means that the Nelson-Siegel model and Svensson model can fit the term structure well.In order to compare the fitting effect of Nelson-Siegel model and Svensson model,this paper analyzes the two models from four aspects:the cross-section data,the sample,the sample,the stability of the model parameters,The empirical results show that the Nelson-Siegel model is more suitable for the study of the term structure of interest rate of China's national debt because of its low parameters,the obvious economic meaning of the model,the good fitting effect of the model and the stability of the model.