Research On The Term Structure Of Interest Rate Based On Chinese Market

With the rapid development of China's economy,the financial market is expanding,in which the term structure of interest rate,as an index to reflect the impact of the term on the future rate of return,is an important benchmark for asset pricing and financial risk management,so it has gradually become an important research topic in the financial field.Because the research level of the term structure model of interest rate is increasing gradually,the research on it has gradually changed from simple to complex,from single-factor model to multi-factor model,and from constant model to dynamic model,the main research content of this paper is to consider the housing investment on the basis of the term structure model of interest rate,link the real estate market with the financial market,and provide new ideas for the study of the relationship between the real estate market and interest rate on the basis of improving the term structure model of interest rate.This paper mainly adopts a new way of thinking.The concrete research steps are as follows:First,to prove that the simple single factor dynamic equilibrium model can be used to describe the dynamic behavior of short-term interest rate in China to some extent,we selected the data from 2006 to 2018 on the official website of interbank lending rate,carried out a stationary test and a simple statistical description,then established a relatively simple single factor dynamic equilibrium model,and a brief statistical analysis of the model.Secondly,in order to better simulate the market interest rate of our country,we introduce the time series model.because through our test,it is proved that there are more obvious conditional heteroscedasticity,we introduce the time series model based on the fitted single factor dynamic equilibrium model,and do the fitting graph analysis.Finally,we predict the data from 2010 to 2018 by introducing the term structure model of interest rate after the GARCH model,and add the index of housing investment on the basis of our fitting forecast interest rate,control the three indicators of per capita GDP,per capita savings and money supply,and carry out regression.Based on theregression analysis we do,we can know that the model fits well and the housing investment parameters are significant.It makes sense for us to consider the factor of housing investment on the basis of the term structure of interest rate,and proves that we can study the relationship between real estate market and interest rate in China by introducing the term structure model of interest rate after introducing time series model.