Study On The Relationship Between Term Structure Of Interest Rates And Macroeconomic Variables In China Based On Svensson Model

Since the founding of new China,our socialist economy has enjoyed rapid development.In the early stage of economic development,China has finally entered the stage of reform and development after a period of exploration.This also means that the economic and social development in our country is undergoing earth-shaking changes.With the advent of the 21 st century,our country is facing more opportunities and challenges,and economic development has also entered a new historical stage.In the financial markets,the financial products are more innovative and diversified,and the process of marketization of interest rates is also accelerating.Although the bond market started relatively late,it has been gradually improved in recent years and the types of derivatives have also gradually increased.The interest rate The study of the term structure lays the foundation for the market.All of these put forward higher requirements for the healthy development of macroeconomics and put forward new challenges to the diversity and complexity of economic control measures.The content of this paper includes five parts.The first chapter is the introduction part,which discusses the background and significance of the topic selection,the literature review and the content structure of this article.The second chapter introduces the theoretical foundation and model of term structure of interest rate.According to the development course of interest rate term structure,from the beginning of the basic theory research to the construction of model,introducing different types of models,the term structure of static interest rate and the term structure of dynamic interest rate,For the following fitting model to lay the theoretical foundation.Based on the Svensson model,the third chapter chooses China's inter-bank bond market data from the last day of each month from 2008 to 2016 in China as the research object,fits the term structure of interest rate and obtains the parameters,extracts the long-term interest rate Poor and medium-term interest rate factor,slope factor and curvature factor.In the fourth chapter,we use the three factors fitted in the third chapter to establish the VAR model with the macroeconomic variables and use the econometric methods such as Granger causality test,impulse response analysis and variance decomposition analysis to explore the relationship between the term structure of the interest rate and the macroeconomic variables The relationship between.The fifth chapter is the conclusion and the suggestion.First,we analyze the above empirical results to draw the conclusion of the research,and then put forward reasonable improvement countermeasures and suggestions according to the conclusion of the research.The conclusion drawn in this paper finally finds that the level factor is the least affected by the macroeconomic variables of the three factors,but also has the greatest impact on the macroeconomic variables.Long-term interest rates contain many macroeconomic information and can be used as an indicator of economic stability.Short-term interest rates and medium-term interest rates are more likely to be affected by fluctuations in economic variables than long-term interest rates.However,they can not,in turn,play a role in influencing macroeconomic development.That is to say,short-term interest rates and medium-term interest rates Temporary fluctuations have a certain impact,but the influence does not last long.In general,the term structure of interest rate contains many macroeconomic information to study the relevance of the term structure of interest rates and macroeconomic variables.It first instructs macroeconomic regulation and control.Second,it can help predict the macroeconomic trends and prevent Problems that may arise in the macroeconomy and promote a more healthy and sustainable development of the macroeconomy.