Empirical Study On Macro-financial Model In China

According to the classical theory of term structure of interest rates is expected,long-term interest rates is the average expected future short-term interest rates,but according to actual interest rate data,long-term interest rates change response to changes in short-term interest rates is not obvious.This suggests that the expectations theory in the Chinese market is not established.Summarizing the existing research can be found that the change of the financial market volatility and macroeconomic variables exist very strong correlation,some variables predicting macro economic cycle can predict financial asset prices to some extent.It is very important to add economic variables when considering the financial market risk.This article use simplified macro-finance model and structured macro-financial model to study the relationship between yields and consumption of growth and inflation,and then it is expressed in the form of state space model which is estimated by maximum likelihood estimation through kalman filter.Found by simplified macro-finance model,it can fit macroeconomic variables and bond yields very well.But when more yields was added into the model as observations,the cross-sectional error of macroeconomic variables was increased,so there is misspecification in the model.Empirical results found that only no-arbitrage constraints imposed without applying constraints on the risk premium does not improve the fitting results.So,from the perspective of an agent with recursive utility,the pricing nuclear was derived by Euler equation,and then I get the equation of the yields.This method not only link the macroeconomic variables to the zero coupon bond yields from the theoretical level,but also from the empirical results.Structured macro-finance model found that joining the yield information can effectively improve the accuracy of model to estimate the dynamic macroeconomic variables,so as to improve the fitting precision of bond yields.Nominal short-term yields have strong ability of explaining macro economic variables,the information in macro economic variables about the nominal bond yields have a large part of the reaction in the short-term nominal rate of return,but the short-term nominal rate of return can’t contain all of the information about the nominal bond yields,macro economic variables is important to fit the term structure of interest rates.Nowadays,our country’s economic development is facing many uncertain factors,especially in China’s economy after entering "new normal " of economy,the degree of marketization of interest rate is increasing,the linkage between currency and commodity markets is further deepen,the relation between the various market fluctuations between is increasing,foreign economic fluctuation has a greater influence on China.The 19 th session of National Congress of the CPC indicated that " Keep the bottom line of no financial risk ",it’s important to focus on the relationship between the economic variables across markets.It is of great importance to combine macro economic theory and financial theory,and combine the macroeconomic variables to consummates interest rate term structure theory and the theory of monetary policy.