Empirical Research On The Interest Rate Term Structure Of Chinese Coupon Treasury Bond

Today,with rapid development of economy,as one of the most core and the most fundamental index,how interest rate change can be studied clearly and to make it predict and guide the future economy,which is the concern problem of all people at present.In order to analyze the change of interest rate,a fundamental index,this paper will focus on the interest rate term structure of the Chinese coupon treasury bond.Firstly,we introduce the relevant background and studying significance of this topic,as well as the whole structure of this paper.Secondly,we introduce the achievement of the study of interest rate term structure that scholars studied and the relevant knowledge of interest rate term structure.Thirdly,it is the key point of this paper,we study how to match the yield curve of Chinese coupon treasury bond.We use treasury bond of Shanghai Stock Exchange as a sample,cubic polynomial as a model and R software to match yield curve of Chinese treasury bond,and we obtain the rough shape of yield curve of Chinese coupon treasury bond at last.Finally,we study which reason can influence the change of yield curve of Chinese coupon treasury bond,and put forward some relevant suggests to perfect our treasury bond market.By studying interest rate term structure of Chinese coupon treasury bond,we conclude:(1)According to the data we obtain,the exponential model is better than cubic polynomial model in fitting yield curve of Chinese treasury bond.The shape and the data conform the reality better.(2)Yield Curve of Chinese treasury bond appears to be tilted to the right.But it has the problems that government intervention is more serious than other foreign countries and the interest rate term structure is unevenly distributed.(3)Our treasury bonds do not have the whole term,so that the sample we get is not representative.It makes our treasury market inactive and have liquidity shortage.(4)The factors of influencing the change of yield curve are macro economy,the behavior of investors and monetary policy.But the most important factor is monetary policy,it influences yield curve by influencing some intermediate variable.Aiming at the problems we find,we put forward some relevant suggest to perfect our treasury bond market:(1)We should promote interest rate liberalization,reduce the intervention of our government.It makes interest rate term structure fit the market rules more correctly and the prediction of the future economy more correctly.(2)We should merge the exchange bond market,the inter-bank bond market and the counter bond market,and make funds flow freely between them.Avoiding the same stock has different price in different market and raising the liquidity of stock market.(3)Building perfect market-making system to raise the liquidity of bond market.According to their own will,market-maker can put forward buying and selling prices at any time.It makes intermittent market be a continuous market.