A Research On Influencing Factors Of The Yield Curve Of National Debt Based On Nelson-siegel Model

Under the background of the development of China's interest rate marketization reform,the operation of China's capital market is becoming more and more free and efficient.As the price of funds,interest rates themselves reflect rich market information,and the term structure of interest rates reflects the relationship between maturity and rate of return,so it is important for macroeconomic judgment,policies making,asset pricing,risk management and so on.The purpose of this paper is to explore the most suitable model to fitting the bond yield curve in China.and to study the influencing factors associated with the maturity structure of China's national debt.After reading a large number of documents,I find that the Nelson-Siegel model works well in China.Secondly,most of the research focuses on domestic macroeconomic variables,especially monetary policy indicators.Therefore,this paper first explores the interest rate term structure fitting model suitable for China's national debt.After various explorations and innovations,the improved version of the dynamic Nelson-Siegel model is used.Based on Chinese data,the model gets 3 parameter factors of the structural yield curve.Then,the paper studies the influencing factors of the yield curve of the national debt,and chooses 5 variables from 5 aspects: monetary policy,inflation,economic growth,RMB exchange rate and stock price,and study the relationship among the 3 parameter factors and 5 variables based on SVAR model.The article has been innovative from models,research objects and research methods.This paper draws the following conclusions: First,the improved version of the dynamic Nelson-Siegel model fits well in Chinese market,which minimizes the loss of goodness and retaining the advantages of the dynamic NS model itself.Second,among the traditional domestic macroeconomic influencing factors,the monetary policy is the most closely related indicator.Third,the stock price has a strong correlation with the maturity structure of the national debt interest rate.Fourth,the domestic bond yield curve is increasingly affected by fluctuations in international factors such as the RMB exchange rate.Therefore,we can apply the conclusions of the study.We can predict the change in the maturity structure of the long-term and short-term interest rates of treasury bonds according to the changes of different indicators,and then make better investment decisions.We can also predict the situation in China through the morphological changes of the bond yield curve.On the other hand,we propose relevant policy recommendations,improve the monetary policy formulation framework,take factors such as stock prices and RMB exchange rate into account,and accelerate the reform of interest rate marketization to improve the construction of China's national debt market.