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National Debt Term Structure

Author: DuSiCheng
Tutor: ChenYongSheng
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: Term Structure Treasury yield curve Yield to Maturity Current interest rates Forward rate
CLC: F832.51
Type: Master's thesis
Year: 2006
Downloads: 383
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Abstract


The rapid development of the bond market research to promote the continuous development of national debt. The most important issue is the stock market gains a risk relationship, and Treasury bond a relationship is reflected in the description of the risk yield to maturity (gain) a maturity (risk) of the Treasury yield curve, the curve is represented by relationship is called the term structure of interest rates. Treasury yield curve is therefore the most important analytical tool for research, analyze it for market pricing of interest rate movements and provide the basic tools. And the Treasury yield curve is an important basis for investment, it can be on the market for investors in a bid to determine interest rate bonds in the secondary market for government bonds opened Quanzhong provide the basis for selection and prediction; but also for the government issuing treasury bonds, treasury management to strengthen the implementation of monetary policy and interest rates adjust to provide a reference. Treasury term structure of interest rates (yield curve) key to solve the problem is through the bond transaction analysis of historical data, looking for overseas bond yields and the quantitative relationship between maturity and thus be able to accurately calculate fitting any point on the curve theory yields and predict the future of any given period corresponding to the forward rate bonds. In such conditions, the paper of the national debt interest rate term structure (yield curve) conduct research. Objective: To estimate the current interest rate yield curve on the form of pricing the future cash flows, and bond derivatives pricing has an important role. On the one hand, investors in the bond market is currently short-term speculation, \similar to the \This paper on the basis of previous studies, using a combination of qualitative and quantitative methods, research and application of the Treasury yield curve. Research ideas: First, this study investigated qualitatively different periods of the shape of the Treasury yield curve and causes, followed by previous studies combined with comprehensive yield curve plot yield curve for different periods were modeled using the model of quantitative judgments market interest rates, and long-term interest rates to make predictions, based on empirical findings on the final bond investment and management of a number of conclusions and recommendations. Main contents of each chapter: This paper focuses on the Treasury yield curve to analyze, Chapter 1 of the current research in the field Treasuries Review; Chapter 2 is a theoretical term structure of interest rates and the yield curve theory overview; Chapter 3 is bond yields An Empirical Analysis of the curve. From our qualitative analysis of the Treasury yield curve began to study the different periods of the shape of the Treasury yield curve and causes, and then depending on the different characteristics of the Treasury yield curve during the modeled separately and compare the advantages and disadvantages of the model; Chapter 4 Treasury yield curve is the application of empirical analysis. According to the theoretical yield curve fitting equation for quantitative analysis, such as the use of the model judged interest rates, the interest rates on the long-term forecast, etc.; Chapter 5 is the conclusion, according to the results of previous empirical research on China's investment and treasury management a number of conclusions and recommendations.

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