Abstract
Abstract To reflect the country's economic growth, inflation and the implementation of monetary policies. Based on the monthly data of national debt yield from January 2015 to December 2019, these data are divided into 1 year to 30 years according to the maturity period, and the principal component analysis of the term structure of interest rate from 2012 to 2017 shows that the factors affecting the change of term structure of interest rate include level factor, skew factor and curve factor. The variance contribution rates of these factors to the variation of interest rate term structure curve are 82.2002%, 16.9948% and 0.6283% respectively. The horizontal factor represents the position of the term structure of interest rate, the skew factor represents the degree of skew of the term structure of interest rate, and the curve factor determines the interest rate.
Highlights
In financial markets, interest rates reflect the proxy variable of asset prices, reflecting the nation on macroeconomic growth, inflation and monetary policy implementation, and the micro factor is associated with fixed income products pricing, portfolio and risk management of asset returns, which has an important reference, is one of the most core variables of the financial research field [1]
According to the return fitting equation to judge the fitting effect of the model on the fluctuation of government bond yield, the government bond yield is predicted and the estimated results are analysed and discussed dynamically
The horizontal factor represents the position of the interest rate term structure, and the inclined factor represents the degree of the interest rate term structure
Summary
Interest rates reflect the proxy variable of asset prices, reflecting the nation on macroeconomic growth, inflation and monetary policy implementation, and the micro factor is associated with fixed income products pricing, portfolio and risk management of asset returns, which has an important reference, is one of the most core variables of the financial research field [1]. This paper takes the data of interest rate term structure implied by bond prices of the Shanghai Stock Exchange as the analysis object. As is known to all, the term structure of interest rate is of great value to the pricing of financial assets, hedging and the formulation of monetary authorities’ policies, and it is of great significance to select a model to estimate the term structure of interest rate that is suitable for the characteristics of China’s national debt market. In terms of empirical comparative analysis, this paper systematically analysed and studied the Nelson-Siegel model and Svensson model from four aspects of cross-section data, in-sample, out-of-sample, and stability of model parameters, and introduced the mean price absolute error MEAP and root mean square error RMSE to make an intuitive comparison.
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