Research On The Relationship Between Term Structure Of Interest Rate And Macroeconomics

The relationship between term structure of interest rate and macro economy is a hot issue in macro-economics.The term structure of interest rate covers a large amount of macroeconomic information,which can be effectively interpreted and utilized to predict future economic change trend,and anticipate and prevent financial crisis in advance,as well as provide an effective basis for the central bank to formulate monetary policy.Regarding the previous studies,most of them focused on the study of the correlation between term structure of interest rate and macro economy from linear perspective,however,in reality,due to the influence from various factors,both often present a nonlinear dynamic relation.Therefore,under the background of complicated and changeable economic situation at home and abroad,it is particularly important to study the nonlinear characteristics between them.The paper,first of all,summarized the basic theory of the term structure of interest rate and its common estimation models,and then elaborated the relationship between the term structure of interest rate and the macro economy with the support of a string of classical macroeconomic theories and models,such as Fisher equation,Phillips curve,IS-LM model and Taylor's rule.On this basis,the interconnectedness between both in different regime-switching was analyzed further.From the perspective of regime-switching,the paper,with the adoption of Markov regime-shift vector vector auto-regression(MS-VAR)model,studied the regime switching characteristics between both sides.Referring to the research methods and thoughts of Diebold and Li(2006),the paper extracted three potential factors in term structure of interest rate by means of empirical proxy variable method.In the meantime,three representative indicators,that is,economic growth,currency inflation and short-term interest rate,were selected from the macro-economic variables,selecting the monthly data between January 2007 and June2018,and MS-VAR model was used to analyze the interaction among all latent factors of yield curve under different economic growth state,different inflation state and different monetary policy tightness states.Besides,the impact of various variables on each other was analyzed on the basis of impulse response.Based on above,the paper draws the following conclusions,firstly,China's term structure of interest rate indeed present significant differences under different economicconditions,with nonlinear symmetric relationship and obvious regime-switching characteristics.Secondly,different economic growth states and different inflation states reflect a strong positive correlation property,and the division of the district system is extremely similar,which indicates that China's overall economy shows the characteristics of "low growth accompanying with low inflation,high growth together with high inflation",and the economic growth and inflation basically maintain the characteristics of "rise and fall together".Thirdly,based on the pulse response analysis,the yield curve of China's national debt presents asymmetric characteristics under different economic growth states,different inflation states and different monetary policy tightness states.Among which,curvature factor of the term structure of interest rate is very sensitive,having a great response to the impact while the long-term factor has a relatively small response to the impact.And the slope factor is the most special one,which varies greatly under different district systems.The paper tries to analyze dynamic relationship between the term structure of interest rates and macro economy under the perspective of regime-switching with MS-VAR model,and to develop the aspects of the data selection,research,design,model building and so on.According to the results,it puts forward the corresponding political recommendations,as well as provide a theoretical basis for the central bank to control macro economy.But there is a shortage of method on the latent factors of yield curve,without using the methods of the principal component,the NS model fitting term yields to analyze the results.