An Empirical Analysis Of Factors Influencing Chinese Treasury Bond Yield Curve

As the background of rapid booming in Chinese bond market and liberating interest rate,analyzing the factors influencing Chinese treasury bond yield curve is of great significance to expand our capital market.This article demonstrates the relevant concept of treasury bond yield curve in the first place,using the theory of term structure of interest rate to illustrate the basic pattern of bond yield curve.Then,introduce the current status of Chinese treasury bond yield curve and summarize the movement pattern via simple empirical analysis.The core problem in research is:according to bond yield rate in interbank bond.market in recent five years,we need to find the factors to irnfluence bond yield rate,distinguishing which factors are important,which are not.From the theoretical view,the four factors which have impact on Chinese treasury bond curve are economic basic factor,capital factor,policy factor and market expectation factotr From the empirical view,constructed factor model and used principal method to make analysis.The principal method has three factors level factor,slope factor and curvature factor.In this method,the level factor is the utmost explaining one.With the previous understanding of theoretical view,choose 10 economic indicators as independent variables,the level factor as dependent variable to find the influence they have on Chinese treasury bond yield curve by linear regression.Finally,make a linear regression between significant economic indicators and monthly bond yield data(the;key term:1 year,5 years,10 years,20 years,30 years)to know how the significant economic indicators to influence treasury bond yield in different terms.Through above empirical analysis,several conclusions will be illustrated.On account of the conclusions,it will give some suggestions for investors in interbank bond market.