The Test Of Term Structure Of Chinese Government Bond Interest Rate

As the basis of asset pricing,the term structure of Treasury bond interest rate can not only provide reference for investors to invest,but also help government departments to manage bonds and analyze the implementation effect of monetary policies.It is an essential condition for the efficient operation of financial departments,so it is favored by academic research.At present,researches on the term structure of the interest rate of national debt mainly focus on dynamic prediction and macro financial model,while researches on its formation cause are relatively few and the conclusions are outdated,and it has a vital role to really understand the national debt term structure of interest rates and to launch the study above.Therefore,this paper discusses the formation cause of the term structure of the interest rate of national debt:In this paper,the Neslon-Siegel-Svensson model with better economic meaning and better description of the term structure of medium and long term interest rates is adopted to fit the term structure of Chinese government bonds.Through the analysis of the estimated values of the estimated parameters of the fitting equation,it is found that the term structure of the interest rates of government bonds reflects the "expected" information.To test whether such expectations in line with the expectations theory,in this paper,the expectations theory was tested by Campbell and Shiller model by using 2006 to 2018 of Treasury bonds zero coupon yield data and fitting data from NSS model.In addition,it innovatively introduced the dynamic analysis into the test process.By observing the change trend of the test conclusion of each test interval and analyzing the test conclusion,it drew the conclusion that the term structure of China's national debt interest rate rejects the expectations theory,and it is easy to be influenced by external economy and significantly deviate from the expectations theory.