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Empirical Analysis on Term Structure of Interest Rate of China’s Treasury Bonds

Author: LiuWei
Tutor: YangBaoChen
School: Tianjin University
Course: Quantitative Economics
Keywords: National debt Term Structure of Interest Rates Cubic polynomial model Principal Component Analysis
CLC: F832.51
Type: Master's thesis
Year: 2007
Downloads: 309
Quote: 0
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Abstract


The theoretical studies of the term structure of interest rates is one of the most challenging issues in financial research , fixed income securities as well as a very important in the field of financial engineering basic research work . This paper first reviews the theory of the term structure of interest rates nearly twenty years of development , the model analysis under the framework of general equilibrium framework and the no-arbitrage the research term structure representative . The static fitting empirical analysis of the shape of the Treasury yield curve , fitting the general shape of the Treasury yield curve in China . Then , the yield to maturity of the different points of the trunk on the Shanghai Stock Exchange announced the Treasury yield curve spread points after the yield curve movements mode dynamic principal component analysis . Guidance related conclusions . This article uses the cubic polynomial model in April 2007 the Shanghai Stock Exchange Term Structure of Treasury , empirical concluded that : (a) a cubic polynomial model has a strong practicality and effectiveness in the simulation of Interest Rate Term Structure . (B) on the basis of analysis of the shape of the Treasury yield curve , interest rates and other features , drawn flattening of the Treasury yield curve , the national debt maturity structure is irrational , there such as long-term Treasury bonds yield low levels of long-term and short-term gains rate the curve spreads too small and other issues , should attract the appropriate attention . (C ) to study the changes in the Treasury yield curve in China , the empirical results show the effectiveness of the exchange bond market continue to improve . Currently , the government bond market in China there are still many are not conducive to the formation of perfect , reasonable interest rate term structure factors , these issues is the focus of the the future Treasury market reforms , therefore , points to improve the term structure of Treasury rates in the final recommendations .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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