Empirical Analysis And Application Of The Term Structure Of China's National Debt Interest Rate

With the continuous advancement of China's interest rate marketization,the guiding significance of the national debt interest rate for the financial market has become more significant.Although China's national debt market started late,in recent years,the national debt market has been developing rapidly,the scale is gradually expanding,and the liquidity is also increasing.Therefore,the relationship between the maturity structure of the national debt interest rate and the macro economy,monetary policy,and capital market has become more closely,research on the term structure of government bond interest rates has also become crucial.This paper first introduces the term structure model of interest rate,selects the national debt transaction data at the end of each month from January 2015 to December 2018 as a sample of empirical analysis,and then uses the N-S model to fit the data and adopts the ARMA model for 2019.The term structure of the national debt interest rate from January to March 2019 is predicted.Finally,the practical application of the term structure of interest rates is studied,mainly the application of monetary policy formulation and the application of the treasury bond portfolio trading strategy.The results show that the NS model has a good effect on the medium and long-term interest rate.The loosening or tightening of monetary policy can refer to the future trend of the bond term structure.Different yield curve changes can adopt different bond investment strategies to obtain excess.Benefits,the parameter changes of the N-S model also have greater application value to the investment strategy.