第六组我国利率期限结构的理论及应用分析

TheTheoryandAppliedResearchofInterestRateTerm

StructureInChina

2020205020147XiaolinLiu

2020205020151MingjunChen

2020205020138JunjieWang

2020205020161

2020205020139

ZhiWang

QinqinWen

2020205020134ShanhuiPeng

SchoolofandEconomicsandManagement,Year2020,Financial

Management,Finance0006

Abstract:Thetermstructureofinterestrateisacurvecompostedofinterest

ratesofdifferenttermsandatdifferenttimepoints.Itstheoryandapplication

isaveryimportanttopicinfinanceresearch.Thepurposeofthispaperistoreview

thedevelopmentoftheinterestratetermstructureinChina.Theresearchonthe

termstructureofinterestrateisbasedonthedataofinterestratestructurein

thelasttenyearsandthedataanalysisofsecuritiestrading.Therelevant

conclusionswillplayanimportantroleinthemanagementoffinancialassetsin

China.WiththerapiddevelopmentofChina’sdebtmarketandthecontinuous

researchandexplorationofthefinancialindustry,theprocessofinterestrate

liberalizationhasbeenaccelerated.Toacertainextent,thispaperfillsand

enrichestheresearchontheapplicationoftermstructuretheoryofinterestrate

inChina,andhasagoodinfluenceonthereformandinnovationofrelevantfinancial

industryinChina.

Keywords:interestrateterm;benchmarkinterestrate;nationaldebt

Introduction

Thetermstructureofinterestratesisthebasicinterestratesystemofthecapital

market,andthebenchmarkforassetpricing,investmentandfinancingdecisions,

financialproductdesign,assetportfolioandriskmanagement.Thetermstructureof

nationaldebtinterestratesreferstotherelationshipbetweennationaldebtyieldand

maturityatacertainpointintime.Inthefieldofmacroeconomics,thetermstructure

ofTreasurybondinterestrateshastheabilitytoconnectthemoneymarketandthe

realeconomy,andisanindicatorofmacroeconomicoperations;therefore,thekey

problemtobesolvedwhenstudyingTreasurybondyieldcurvesistoanalyze

historicaldataofTreasurybondtransactions.Thequantitativerelationshipbetween

thebondyieldandmaturityperiodisusedasabasicanalysistoolforfurtherresearch.

1TheDevelopmentHistoryandSignificanceofChina’s

InterestRateTermStructure

1.1Researchimpact

1.1.1Optimizethefinancingcostofnationaldebt

Inabroadsense,thetermstructureofinterestratesreferstothecorrelation

betweentheyieldofabondwiththesamecreditratingatacertainmomentandthe

remainingmaturityofthebond.Infinancialmarkets,thetermstructureofinterest

ratesusuallyappliesitsnarrowconcept,thatis,accordingtothenationaldebt-a

Relativelyrisk-freebonds-thecorrespondingrelationshipbetweentheyieldandthe

remainingmaturitytodescribethetermstructureofinterestrates.Thetermstructure

oftheinterestratereflectsthecurrentandfuturemarketbenchmarkinterestratesor

expectationsoffutureinterestrates,andthereforeisanimportantfactoraffectingthe

servicingofgovernmentbonds,thatis,thefinancingcostsofgovernmentbonds.

Therefore,theresearchonthetermstructureofnationaldebtinterestratesishelpful

toanalyzetheactualsituationofthedebtserviceofmycountry'snationaldebtand

supportstheoptimalnationaldebtissuancewiththeminimumfinancing

cost.(Wang,Gao,2020)

1.1.2Conducivetotheformulationofmacropolicies

Althoughthetermstructureofthenationaldebtinterestratedirectlyreflectsthe

relationshipbetweentheyieldanditsremainingmaturity,sincethetermstructureis

thebenchmarkinterestratedeterminedbythemarket,thevalueisequaltothetotal

socialoutput,inflation,andmarketexpectationsofforwardinterestrates.Thereisa

closeinfluence(alsorelatedtotheexchangerateinanopenmarket).Throughthe

analysisofthetermstructureofinterestrates,alargeamountofeconomic

informationsuchaseconomicgrowth,inflationexpectations,andmarketinvestment

canbeobtained,andthegovernment'smacroeconomicpoliciesandgoalscanbe

speculated.Withtherapiddevelopmentofinterestratematurityinmycountry,

combiningthestudyofinterestratematuritystructurewithfiscalpolicyandother

macrovariablescanenabletheissuanceofnationaldebttodevelopatahighspeed

underthebackgroundofmacroeconomicpolicies.Useresearchtoprovidesubstantial

theoreticalandempiricalevidence.

1.1.3ContributetotherationaldesignofproductsbyChinesenational

debtissuers

Fromtheperspectiveoftheparticipantsinthenationaldebtmarket,themain

investmententitiesinthemarketarecommercialbanks,insurancecompanies,funds,

securitiescompanies,financialcompanies,andnon-independentlegalpersons.

Treasurybondissuersmustcomprehensivelyconsiderthecomposition,structure,and

needsofmanymarketparticipants.Onlythroughthisstrategycantreasurybond

issuersdetermineareasonabletermstructureofinterestratesfortreasurybonds,

determineareasonableinterestratelevelandtheshort-andmedium-termtrendofthe

yieldcurve,andbereasonableArrangethetiming,pace,andvarietyofbondissuance,

notonlytoreducebondissuancecosts,butalsotosuccessfullycompletebondsales

andachieveanoptimalbalance.

1.2Empiricalresearch

1.2.1Datacollection

Figure1.2020-2019ShanghaiStockExchangeNationalDebtData

Coupon

rate(%)

Rateof

BondcodeBondname

Term(years)Expirydate

return(%)

019630

019646

019631

019643

019644

019628

20G-bonds04

20G-bonds16

20G-bonds05

2G-bonds013

2G-bonds014

20G-bonds02

30

10

5

2050/3/16

2030/11/19

2025/4/9

3.39

3.27

1.99

3.02

2.88

2.2

3.9

3.27

3.17

3.02

2.88

2.34

5

2025/10/22

2023/11/5

2022/2/13

3

2

Source:ShanghaiStockExchange

1.2.2Interestratetermstructure

Figure2.InterestRateTermStructureCurve

Source:CentralGovernmentBondRegistrationandSettlementCo.,Ltd

2TheInfluenceofInterestRateliberalizationonBondMarket

andFinancialIndustry

Lookingbackonthehistoryofinterestrate,China'sinterestratemarketizationreform

iscarriedoutinanorderlymanneraccordingtothegeneralthinkingofthecentral

government.SinceChina'sinterestratemarketizationprocesswasofficiallylaunched

onJune1,1996,aftermorethantenyearsofdevelopment,thereformofinterestrate

marketizationhasbeenadvancingsteadilyandhasmadephasedprogress.

2.1TheimpactofinterestratemarketizationonbondmarketinChina

2.1.1Reducebonddemandandraiseshort-terminterestrateintheshort

term.

First,affectbondinvestorsholdperiodyield.Forbondinvestorsarethemost

investorsnottobondhasbeenheldtomaturity,sothattheinfluenceoffallinginterest

rateswillcausebondpricestorisedirectlyaffectthesebondinvestorsholdingperiod

return,althoughthesebondinvestorsareabletoobtaintheinterestgeneratedbythe

bonditself,butduetotheincreasingofbondpriceitselfwillbringadditionalbenefits

onthepartoftheprice,sothiswillcauseduringtheperiodofbondsinvestmentyields

willriseduetolowerinterestrates.

Second,affectthevolatilityofbonds.Whentheeconomicsituationisontherise,

enterprises'demandforcapitalincreases,ortheyborrowmoneyfrombanks,orissue

bondsandstockstothesociety.Inthemarket,capitallendingbehaviorincreases

obviously,andcompetitionalsoaccompanies,whichmakesthesupplyofcredit

capitaloffinancialinstitutionstendtobetense,leadingtotheincreaseofbond

interestrate.Atthistime,inthebondcirculationmarket,thetransactionpricewill

declineandtheinvestmentyieldwillrise.Onthecontrary,thebondcirculationyield

willdeclineandthecirculationpricewillrise.Inaddition,incountrieswithdeveloped

monetaryrelations,changesinexchangeratesandforeigninterestrateswillalsohave

acertainimpactonthefluctuationofdomesticbondmarket.

Third,itaffectsthecomparisonbetweenbondriskandotherassets.Underthe

conditionthatotherconditionsremainunchanged,thereformofinterestrate

liberalizationwillincreasetheinterestrateriskandmarketriskofthemarket.In

comparison,theriskofbondsisgreaterthanthatofotherassets,resultinginthe

decreaseofbonddemand.

2.1.2.Breakthecapitalsupplypatternofbondmarket.

Intheprocessofinterestratemarketization,aseriesofinstitutionalreformsare

needed.Oneoftheimportantcontentsistobreakthemonopolyofstate-owned

commercialbanksonfinancialresources,speedupthedevelopmentofnonbank

financialinstitutionsandfinancialmarketstoreplacetheoriginalsinglefinancial

structure.

2.1.3.Improvethestructureandfunctionofthebondmarket.

Themarketizationofinterestrateshouldfirstdevelopthebondmarket,release

themoneymarketfunctionofthebondmarket,andimprovethebreadthanddepthof

thenationaldebtmarket.Theimpactofinterestratemarketizationonthestructure

andfunctionofbondmarketisfar-reaching,gradualandlong-term.

First,ithelpstopromotetheunificationofbondmarket.Atpresent,thereare

mainlythreemarketsinChina'sbondmarket:theexchangemarket,theinter-bank

marketandthecountermarket.Althoughtheinvestorsandtheyieldlevelsaremoving

inthesamedirection,insomeaspects,thetradingmechanismineachmarkethasno

obviouscharacteristicsanddoesnotgivefullplaytotheirrespectiveroles.Therefore,

thepromotionofinterestratemarketizationmustpromotetheunificationofbond

market,Tocreateagoodmarketfoundationforinterestratemarketization.

Second,itishelpfultoimprovethefunctionofbondmarketandtrading

mechanism.Withthecontinuousimprovementofinterestratemarketization,the

sensitivityofeconomicentitiestointerestrateshasincreased,theexogenousnatureof

marketinterestrateshasenhanced,andthepriceleveragefunctionofinterestrateshas

beenhighlighted.Therefore,marketentitieswillinevitablyseektradingtoolsand

waystoavoidinterestrateriskandobtainincomebyusinginterestratefluctuations,

soastoimprovethetradingmechanismandrestorethemissingmarketfunctions.

2.2Theimpactofinterestratemarketizationonfinancialindustryin

China

First,intermsoffinancialmarket:intheshortterm,thedepositinterestratewill

showanupwardtrend,andtheinterestmarginislikelytonarrow;similarly,theprice

offinancialassetswillfluctuatesharplyintheshorttermandriseinthelongterm;the

directfinancingmarketwillbevigorouslydeveloped;andthecomprehensive

operationtrendoffinancialinstitutionswillbestrengthened.(Xu,2012)

Second,commercialbanks:bankfinancialmanagementwillbetransformedinto

personalizedandcomprehensiveservices;thefunctionofabsorbingsavingsof

financialproductswillbegraduallyweakened,andtheboundarywithdepositswillbe

moreclear;themarketshareoffinancialproductsandoverseasfinancialproductsfor

customerswillbeexpanded;theproportionoffixedincomeproductswithbreakeven

willbereduced,andnonbreakevenproductswillbeconcernedbyinvestors.

Third,intheaspectofsecurities,themarketizationofinterestratewillnarrow

thespreadincomeofsecuritiescompaniesandincreasethecostoffinancing;promote

thediversifiedinnovationoffinancialproductsofsecuritiescompaniestomeetthe

diversifiedhedgingneedsofinvestorsundertheconditionofmarketization;inthe

mediumandlongterm,interestratemarketizationwillleadtotheincreaseofcapital

yield,whichisconducivetothedevelopmentofbondmarket;itwillchallengethe

pricingabilityofsecuritiescompanies,Itinvolvesthepricingofnewproductsand

bondpricing.(Deng,Li,2018)

Fourth,funds:facingmorefiercecompetition,fundsneedtostrengthentheir

productdesignandriskcontrol.Interestratemarketizationhasagreatimpactonbond

fundsandcashmanagementfunds,mainlyfromthecompetitionofbankfund

companies.

Thereisnodoubtthatgreatprogresshasbeenmadeinthereformofinterestrate

marketizationinChina.Interestratemarketizationisessentiallytochangetheinterest

ratecontrolpolicyintomarket-orientedinterestratepolicy,whichwillhavea

profoundimpactonthebondmarketandfinancialindustry.

3ThePositiveInfluenceofThisResearchonDeepeningReform

andInnovationofChina’sFinancialIndustry

Atpresent,theslowprocessofcommercialbanksenteringtheexchange

Treasurybondmarkethasbecomethebiggestbottlenecktobreakthedivisionofthe

TreasurybondmarketandestablishaunifiedinterconnectedTreasurybond

market(Zhang,2020).Therefore,itisnecessarytofullyunderstandthenecessityand

feasibilityofcommercialbanks'entryintothestockexchangeTreasurybondmarket,

acceleratetheprocess,andrealizecommercialbanks'entryintothestockexchange

forTreasurybondtrading.(Yan,2020)Atthesametime,furtherpromotethetransferof

Treasurybondscustodyandtrading,settlementefficiency,fortheestablishmentofa

unifiedandinterconnectedcustodyandestimationsystemtolaythefoundation.The

launchofTreasurybondfutureswillpromotethedevelopmentofspotmarketand

promotetheunified,interconnectedandcoordinateddevelopmentofbondmarketin

termsofimprovingpricingefficiency,optimizingparticipantstructureandenriching

bondvarieties.WewillcontinuetoliberalizeinterestratesonTreasurybonds,reduce

governmentfinancingcostsandreducethegovernment'sdebtburden.(Ge,2019)

Undertheconditionofinterestrateliberalization,themarketinterestratechanges

withthefluctuationoftheeconomiccycle.Tochooseamongthenationaldebtof

differentmaturitiesisconducivetothegovernmentactingonitsowndiscretionand

reducingthecostofdebtrepayment.(Shi,2019)Ourgovernmentshouldmakegooduse

ofthefavorableopportunityofthedevelopmentofnationaldebt,activelypromotethe

paceoftakingnationaldebtinterestrateasthemarketbenchmarkinterestrate,atthe

sametimetodeterminetheissuingpriceofnationaldebtbymeansofbidding,

implementflexibleinterestratetoreducetheissuancecostofnationaldebt,reducethe

interestrateriskofnationaldebt.Tofurtherimprovetheconstructionofbondmarket

infrastructureattachesimportancetoandspeedsupthedevelopmentofcorporate

bondmarket,andhasmadenewbreakthroughsinperfectingbondmarketsystemand

organizationalform,innovatingbondissuanceandtransactionmode,strengthening

macromanagementandlawsandregulations,andimprovingbondmarket

mechanism.

China'sfinancialstructurehasbeendominatedbythebankcreditmarketfora

longtime.Thebankcreditmarketplaysanobviouspositiveroleinindustrialstructure

optimizationandinitialupgrading,whichalsopromotesthederivativeand

developmentoffinancialinstruments.Financialinstrumentinnovationcanenhance

thetypesoffinancialcommoditiesinthefinancialmarketandimprovethetypesof

China'sfinancialmarket.(He,Chen,2020)Sincethereformandopeningup,the

innovationspeedoffinancialinstrumentsinChinahasbeengraduallyaccelerated,

andnewfinancialinstrumentshavebeenconstantlyemerging,whichgreatlyenriches

thetypesoffinancialcommoditiesinChina'sfinancialmarketanddrivesthe

generationanddevelopmentofrelevantfinancialmarkets.Atpresent,afinancial

marketsystemhasbeenestablished,consistingoftheinter-banklendingmarket,the

commercialpapermarket,theCDSmarketandothermoneymarkets,aswellasthe

nationaldebtmarket,thecorporatebondmarket,thestockmarketandothercapital

markets.Increasethefinancialmarketsubjectstoavoidrisks,investmentprofit

opportunitiesandmeans,expandthescaleofChina'sfinancialmarket.Different

financialinstrumentscanmeetthedifferentfinancialneedsofmarketparticipantsdue

totheirdifferentrepaymentperiods,liquidity,safetyandrateofreturn.Through

financialinstrumentinnovation,financialmarketsubjectscanhavemorechoicesto

formtheirownassetportfolio,whichgreatlyenhancestheiropportunitiesandmeans

toavoidrisksandmakeprofits,thusattractingmoreinvestorstoparticipateinthe

financialmarketandcontinuouslyexpandingthescaleofthefinancialmarket.

FinancialinstrumentinnovationcancreateconditionsforChina'sfinancialmarketto

connectwiththeinternationalmarket.Inthepasttwodecades,China'sfinancial

markethasachievedgreatdevelopment,andthevarietyoffinancialinstrumentshas

beenincreasing.However,thereisstillabiggapbetweenChinaanddeveloped

countriesandevensomeemergingmarketsandregions.Atpresent,China'sfinancial

instrumentsarestillrelativelyfewinvariety,itsfinancialmarketissmallinsizeand

ofdifferenttypes,andtheRMBisstillnotfreelyconvertibleunderthecapitalaccount.

However,weshouldalsoseethattheinnovationoffinancialinstrumentsinChinais

limitedbyvariousconditions,especiallytheinnovationofderivativefinancial

instrumentsisnotenough.Therefore,thefinancialmarketsystemisnotperfect

enough.Therefore,increasingtheintensityoffinancialinstrumentinnovationwill

surelypromotethedevelopmentoffinancialmarketandimprovethetypeoffinancial

marketinChina.

Therefore,increasetheintensityoffinancialtoolinnovation,graduallyenrichthe

typesoffinancialproducts,toexpandthescaleofthefinancialmarketinChina,

perfectingthefinancialmarkettypes,furtherpromoteChina'sfinancialindustry

openingtotheoutsideworld,tomakeourcountryincorporatedintheinternational

financialmarket,thedomesticfinancialmarkethasbecomeanimportantpart

oftheinternationalfinancialmarket,isofgreatsignificancetorealizethe

internationalizationofChina'sfinancialmarkets.(Lin,Yang,2015)Underthegeneral

trendofglobalization,China'sfinancialinstrumentinnovationshouldpayattentionto

internationalization.WiththereformandopeningupofChina'sfinancialindustry,

newinternationalfinancialinstrumentswillbeintroducedtoacceleratetheintegration

ofChina'sfinancialmarketandtheinternationalmarket,soastorealize

complementaryadvantagesandcontinuouslyenhancethestrengthofChina'sfinancial

industryincompetitionandcooperation.

Conclusion

Reviewingthedevelopmentofinterestratetermstructuretheoryinthepasttwo

decades,ithasbecomeanimportantandfundamentalsubfieldofthewholefinancial

system.Underthebackgroundofsystematizationandprecisionofmodernfinancial

theory,thispaperstudiestheimpactofvariousmarketinterestratereformonbond

marketandfinancialindustrybycombingthemaindevelopmentprocessand

significanceofinterestratetermstructuretheory,soastoanalyzethepositiveimpact

ondeepeningreformandinnovationofChina'sfinancialindustry.Withtheemergence

ofnewproductsandnewtradingrulesintheinternationalfinancialmarket,financial

innovationwillgreatlyaccelerateitspace.Inatimeofextremelyasymmetric

information,theinnovationanddevelopmentofinterestratetermstructureand

interestratederivativeswillcontinuetoprovideinvestorsandcompanieswithtools

andsolutionswithlowercosttosolvetheproblemofreturnandriskoffinancial

assets.Thecalculability,controllabilityorimmunityoffinancialriskshavebeen

regardedastechnologicalprogresswithfundamentalimportance.Therefore,people

mayusefinancialderivativesonalargescaletoimproveeconomicefficiencyina

low-costway.

Similarly,thereisaseriousmarketsegmentationprobleminChina'sfinancial

market,whichispronetoinconsistenttrendofinterestratesindifferentmarkets.

Therefore,weshouldexpandthetypesandquantityofinvestmententities,gradually

openupallkindsofsubjectstoenterthemarket,andconnectthetwomarketsthrough

theactivitiesofmarketsubjectsenteringtheinter-bankbondmarketandtheexchange

marketatthesametime,soastofurtherenhancetheeffectivenessofthefinancial

market.Therefore,itisnecessarytoimprovethebasiclawsandregulationsofthe

financialmarkettoprovideguaranteefortheoptimizationofmarketstructure.

Whetherthetransactionbehaviorinthefinancialmarketisultimatelysatisfiedand

acc