Monnetary Policy And The Term Structure Of Interest Rates

The term Structure of interest rates is one of the most important topic of financial research and it has become the basis of asset pricing,risk management and monetary policy making.With the deepening of the process of marketization of interest rates and the rapid development of the bond market,the research about the term structure of interest rate is even more necessary.How to construct the term structure in line with the status of China's bond market and examine the dynamic changes of the term structure of interest rate is of great theoretical and practical value.This paper uses empirical methods based on quantitative analysis and did systematic study from the angle of both theoretical and empirical analysis about the term structure of interest rates.The paper introduces the theory of the term structure of interest rates at home and abroad,for the basic model and implementation methods are discussed,also focuses on the analysis of Nelson-Siegel model(NS)and its extension of Nelson-Siegel-Svensson model(NSS)including the corresponding factors of economic implications.We proved that the traditional Nelson-Siegel model is relatively more accurate in term structure forecasting compared with Nelson-Siegel-Svensson model.Then by establishing relevant models we deeply explored the relationship between monetary policy variables and the term structure of interest rates,which provides a reference for scholars to study the term structure of interest rate in the future.