Empirical Research On Fitting And Influence Factors In Term Structure Of Chinese Treasury Bonds Interest Rate

The level of interest rate is one of the most important economic indicators of a country.Treasury bonds with different remaining maturities have different interest rates in the market,and the relationship between the remaining maturities and interest rates has also been changing.If we link those bond yields with different maturities,the term structure of the treasury bonds rate can be formed.The term structure of the national debt interest rate contains the characteristics of a national capital market and various macroeconomic factors.The term structure of the interest rate market changes with the changes of the market every day.Therefore,exploring which factors and how they affect the term structure of the interest rate of national debt is meaningful.This paper first sums up the academic research on the term structure of the interest rate of the treasury bonds.There are mainly two aspects.One is the theory of the relevant determinants of the term structure of the interest rate,which includes not only qualitative theoretical assumptions but also quantitative modeling analysis.The other is how macroeconomic variables effect the yield of treasury bonds.According to the findings of this article,the relevant studies have focused on two major aspects: the economic situation and monetary policy.This paper explores the related exploration of term structure of interest rates of treasury bonds in three aspects: First,we find out the characteristics of the term structure of treasury bonds in our country,draw lessons from the mature practice in the world,analyze the principal component of Chinese treasury bonds transaction data in recent years,extract the term structure itself.Finding characteristics of these components,indicating the significance of these main components.The second is to adopt a suitable model to fit the term structure of the interest rate of Chinese treasury bonds.This paper selects the extended DNS model of the Nelson-Siegel model,which is commonly used in the world,and discusses the practical significance of the model fitting parameters.Thirdly,for the main component score of the macroeconomic variables and the term structure of the interest rates of Chinese treasury bonds,taking into account the long-term effects and the short-term impact,empirical analysis of the structural equation model is conducted to explore the relationship between them.Through the above empirical analysis,the main conclusions drawn in this paper are as follows: 1.Whether its composition and meaning are not exactly the same,whether it is through principal component analysis or NS model fitting analysis,it can be found that the term structure of the interest rate of Chinese treasury bonds can be extracted of the three factors as level,slope,curvature,respectively,on behalf of long-term,medium-term,short-term impact.2.On the relationship between macroeconomic variables and yield curves: The strengthening of the economic situation has led to a steeper curvature of the yield curve by raising the level of the yield curve over a long period of time,thus making the curvature upward.The increase of capital supply make the yield curves more concave,reduces the level of the yield curve through long-term factors to make the yield curve gentler,making the curve of yield rate steeper by the medium and short-term factors.Market benchmark interest rates increase,will make the yield curve gentler,so that curvature is more concave.