Research And Forecast Of Term Structure Of Bond Interest Rate Based On Nelson-Siegel Model

The term structure of interest rate is of great economic significance.It can well reflect the characteristics of the yield curve.By understanding the term structure of interest rate,people can predict the future trend of the economy,thus pricing other financial assets.In addition,the term structure of interest rate plays a guiding role in the design of financial derivatives,asset hedging and risk control.In the financial market,the term structure of interest rate has always been the focus of financial research.In recent years,with the continuous development of China's bond market,the deepening of market-oriented interest rate reform,the continuous expansion of the scope of national debt issuance,a variety of maturities,and the diversification of the types of transactions,the role of term structure of interest rates and market guidance are gradually emerging.Therefore,it is of great significance to study the term structure of interest rate of treasury bonds and to fit the curve of term structure of interest rate in line with the characteristics of our country.Firstly,this paper introduces the background and significance of the topic selection,the literature review and analysis at home and abroad,the methods adopted by the Research Institute and the structure of the paper.Then it introduces the relevant knowledge of term structure theory of interest rate,how to define term structure theory of interest rate,and three main theories of term structure of interest rate.Then it introduces the current situation,classification of China's treasury bond market and the problems existing in the Treasury bond market,such as the single variety of bonds in the Treasury bond issuance market,the unbalanced supply and demand,the serious segmentation of the Treasury bond circulation market,the poor market liquidity,and the imperfect market legal basis and regulatory system.Then the classical Nelson-Siegel model is introduced.The model includes both static Nelson-Siegel model and dynamic Nelson-Siegel model.The empirical analysis of Nelson-Siegel model includes sample selection and descriptive statistics,fitting estimation,description and test of relevant parameters when_is not fixed and_is fixed.Finally,the maturity rate of return from July to December 2018 is predicted by the fitted term structure model of interest rate.The AR(1)plus GARCH(1,1)model is used in the prediction,and two macro variables are added to improve the prediction accuracy.The macro factors include inflation and monetary policy.The results show that the model can predict the term structure of interest rate of national debt better.