Research On The Yield Curve Structure Of Chinese Bond Market

The bond market plays an important role in the financial market.At present,the scale of China’s bond market has surpassed that of the stock market.The participants of the bond market are increasingly diversified,and the financial products of the bond market are continuously enriched.Meanwhile,the pace of the opening of the bond market is faster and faster.To construct accurate term structure of the benchmark yield accurate rate curve and then get help on the bonds and interest rate derivatives to make more rational pricing,and study dynamic linkage relationship between the yield curve and macroeconomic variables can not only help us to better predict and explain the behavior of the bond market,can also help us to better predict and understand the macro economy,and make for a great help for the monetary policy.The term structure of interest rates is a functional relationship between the interest rate and the time limit,and the interest rate at a certain time point is a curve.While the term structure or the yield curve is the basis of financial asset pricing,financial product design,hedging,risk management,arbitrage and speculative activities,not only provides a reference for pricing of fixed income securities,is also the basis for pricing derivatives,so the effective estimation of the term structure of interest rate is a very important problem.In addition,the term structure of yield curve plays a very important role in economic and financial theory and practice.It has been highly concerned by monetary policymakers,financial economists and financial practitioners.This paper constructs the Nelson-Siegel model and its extensions based on this model using exponential polynomials to estimate the term structure of interest rate,the interest rate curve everywhere derivative,satisfy smoothness,and has strong economic significance of the model parameters,model fitting results meet the expectations theory of the term structure of interest rates.In this paper,we first use the data of treasury bond yield in China’s interbank market,and discuss two typical facts in the yield curve data: 1.,the yield curve can be basically determined by three principal components: level,slope and curvature.2.,the autocorrelation coefficient of the square terms of the yield differential is significantly greater than the autocorrelation coefficient of the yield ratio square term,that is,on the two moment,the variance of the yield difference is more unstable than the yield ratio.In fact a typical basis,this paper discusses the static Nelson-Siegel and the extended Svensson model properties and advantages and disadvantages,and then studied the static fitting and calibration of Nelson-Siegel model,firstly tests the heuristic optimization based on differential evolution algorithm can be flexible and accurate calibration of the yield curve by numerical analysis,zero coupon bonds one day Chinese curve in the interbank market and calibrated with the DE algorithm.This paper discusses the application of static Nelson-Siegel yield curve model and the extended Svensson model in portfolio risk management.The study found that the use of Nelson-Siegel model based on the hedge and compared with the traditional duration and convexity hedging based on interest rate risk management can be more accurate,especially for the yield curve of non parallel shift scenarios,and push derived hedge ratio Nelson-Siegel model.Then we discuss the modeling and estimation of the dynamic Nelson-Siegel model,and use Diebold-Li two step method and Calman filter state space method to estimate the parameters,respectively.It is found that the estimation based on the state space is smaller in terms of more time.Using the method of self Fa Montecarlo simulation to examine the Nelson-Siegel whether the model satisfies the no arbitrage constraint,it is found that the level of the slope factor and the curvature factor,load factor,and the short end of the long end of the confidence interval can be effective in three,but due to the load in the curve End Sub slightly fall at 90% confidence interval outside.It shows that the national bond market between banks in China is basically effective,but the efficiency of the middle end of the curve is relatively low.Finally,this paper studies the factor effect of macro variables on the yield curve from macro aspect.The DOLS regression is used to identify the macro variables that affect the dynamic factors.According to the previous study,a SVAR model with constraints is constructed.It is found that long-term factors are mainly influenced by money supply,policy interest rate and real economy.Mid-term factors are mainly affected by inflation rate and policy interest rate.Short-term factors are mainly affected by money supply growth and policy interest rates.At present,the weak conduction ability of monetary policy to the middle end of yield curve is one of the factors that restrict the price regulation.