Macroeconomic Factors In The Stability Of The Structure Determination Of Term Of Interest Rates

Abstract：This article is based on a significant impact on the VAR model to study the macroeconomic each term interest rates caused by different macroeconomic shocks is different term interest rates caused by the impact，And mature market is more similar to most of the changes in interest rates can pan， tilt and curvature of the three forms described， and most of them are represented by parallel movement；Variance decomposition and impulse responses over， you can clearly see the changes in prices for the level of interest rates has a greater impact， changes in monetary policy is mainly to change the inclination and curvature have a greater impact，This is not just the central bank monetary policy operational effectiveness of important performance， but also the performance of banks during the current market to reflect the term structure of interest rates. This is a major feature of a mature market.

Key words：Term；Model Analysis；Macroeconomic； Autoregression model

1. Foreword

Before very long period of time， the term structure model people have done a lot of research. Economists Litterman and Scheinkrnan （1991）， Longstaff and Schwartz （1992）， Duffle and Singelton （2000）， have tried to establish factors that can not be directly observed to describe the structure of the Term. However， these models only been established to reflect the relationship between the various factors of interest in the data， but not able to change the models to analyze the actual market interest rate， and therefore past research， there are some limitations. Economists such as a three-factor model Litterman and Scheinkman （1991） created the model established by its \"horizontal\"， \"tilt\" and \"curvature\" three factors to describe the dynamic changes in the term structure of interest rates， but this model It can not reflect the actual situation in the economic situation changes.

The interest rate is an important macroeconomic factor， is present in the internal economic factors， the term structure of interest rates is a different kind of interest rate term comprehensive type， so it is a factor of the economy and interest rates inside. In recent years， domestic and foreign economists increasingly focused on the study of the dynamic model of macro-economic factors， it is simply by macroeconomic factors to represent the dynamic changes of the interest rate term structure， this model is called \"macro - financial models.\" For example Evans andMarshall （1998） studied the results of monetary policy shocks can cause very significant impact on the rate slope.

Wu （2001） constructed equilibrium model of the term structure， this structure fully proved that the \"tilt\" Most of the change is due to factors exogenous monetary policy shocks arising. Evans and Marshall （2001） and Wu （2001b） use Wu （2001a） theory into the study of macroeconomic factors through SVAR model are observed at the beginning \"tilt\" outside factors， \"horizontal\" This factor has also been macroeconomic Tremendous influence. Other significant research in the field such as Dewachter and Lyrio （2002）， Ang and Piazzesi （2003）， Ang eta1. （2004） and the like.

Our current research is mainly focused on the test curve and the term structure of interest rates， such as studies Lin （2006）， Guo Tao （2007） and in Xin （2007） and others， but for macro-economic factors and the term structure of interest rates dynamic change much， and the research method also has some drawbacks. Wang Yiming， et al. （2005） and ex - only （2007） model to take advantage of both ADL ties have been tested and found \"horizontal\"， \"tilt\" and \"curvature\" and has significant changes in the macroeconomic linkages， However， only using past test model studies have not explored deeper. Rate Liu congruent （2007） award among banks as the research goal by VAR model to examine the situation of different Term suffered macroeconomic impact and found that， for the short-term changes in the macroeconomic yield curve has a more lasting impact long-term interest rates are less affected. But the study， from the whole， a relatively small amount of data selected， and VAR model is not able to analyze the relationship between the current interest rate， so that a certain lack of convincing results. Through the above analysis， this paper will change in the interest rate curve between banks as the research objectives， the role of effective research methods at home and abroad， changes in macroeconomic factors into the SVAR model， and thus the term structure of interest rates on macroeconomic variables the impact of a more in-depth analysis.

2. Select Specific Research Methods And Variables

（1） Study of structural vector autoregression model （SVAR）

In recent years， modeling and forecasting economic variables related to economic variables gradually from the structural equation model toward vector auto regression （VAR） time series of changes， but not marked as VAR model between the variables in the current period of the specific relationship which makes modeling of economic variables over a certain lack of accuracy， can not be perfect to play a role； this is caused by non-orthogonal pulse response of important reasons， resulting in confidence in results is not high. SVAR this model can perfectly compensate for these two drawbacks. In the presence of k variables， P-order structural vector autoregression model SVAR （P） is.

Unit of a change in the coefficient bij representatives variable yj the variables yj， generated by the role， although uit and ujt in the yi and yj random shocks simply appear， but once bij ≠ 0， then acting on yj random shocks uit through its impact on yj， produce， be able to pass on to affect yj， this immediate impact is generated through indirect means. The （1） rewrite the formula into a lag operator form：

Equation （3） is to simplify the VAR model， it can be observed， in this SVAR model， ut not able out of sight， and the residuals εt VAR model contains to be constituted as ut synthetic linear， which is a complex form of shock. For the above two models， with the same period of ε1t

Ε2t， their covariance is：

As can also be seen when b12≠ 0 or b21≠ o， disturbance simplified form VAR model contains more relevant than the SVAR. In the process of modeling studies， we can increase the B0 bound to discriminate on the SVAR model. P-order with respect to k yuan SVAR model must be applied to the structure of formula （k-1） / 2 restriction conditions to be able to determine the structure of the shock.

（2） For select model variables

In this paper， empirical analysis is based on all of January 2002 to March 2008， monthly data as objects of empirical analysis. $ VAR macroeconomic factors included in the model is the behavior of the real economy， in the name of economic behavior and behavior change Price：

First，The behavior of the real economy. Article using industrial added value （IP） indicates that the behavior of this indicator， this indicator after seasonal correction by X-lI， and select the number of simultaneously erasing trends difference.

Second，Conduct of monetary policy. Select supply M1 in a broad sense to indicate that， after seasonal adjustment， the number of the selected differential.

Third，Price changes in behavior. China has a price in terms of a variety of indicators， subjects select different price indicators are not the same， this article the retail price index Fourthas，an example of change in price behavior indicators. In order to facilitate comparison of prices， the data used in an index into the base to use than the index of the last selected logarithmic differential.

Empirical data selected above three factors are derived from the Chinese database. ADF using the above indicators reasonable test， the result is a smooth sequence.

Fourth，Term structure of interest rates. Through the transfer of bank 1 year， 2 years， 3 years， 5 years， 7 years， interest rate and monthly data for 10 years on 15 years of records， through principal component analysis of the interest rate curve data of a \"horizontal\"， \"tilt \"and\" curvature \"these three factors to describe the term structure of interest rate changes. During the analysis of data， each select only one factor into the SVAR model. In this process， the data rate can also be referred to as the spot rate， after Nelson. Siegle model fitting results， the conclusion is based on data Red Roof database.

3. Empirical Analysis

（1） For The Main Component Of The Interest Rate Term Structure Analysis

Want to change the structure and macroeconomic Term SVAR model are integrated into many， the need to use principal component analysis to the performance of interest rate volatility curve three factors were extracted. Use unit root using ADF important years of data for testing. According to Table l， the level of interest rates in different periods has significant differences， showed a first-order each time series are stationary series， it will be the first difference as the analysis target.

Interbank results of the principal component of the term structure of the bond market see Table 2. You can obviously find that the contribution rate of the three factors is very high， reaching 89.99%， 7.38%， 2.35%， for an overall resolution of the variance even reached 99.72%， shows that three factors are described almost all the changes of the yield curve， the use of these three factors to build dynamic model of interest rates can be roughly depict the power situation of China's bond yields. Secondly， based on principal component analysis point of view， the situation with the foreign market situation is very similar.

According to Figure 1 can be found， the first main component coefficients into large than 0， the curve is almost horizontal， which is a parallel shift in the interest rate in one direction， the same can also be said that this is a parallel movement component； a second primary curve is downward sloping， indicating that changes in the opposite direction of short-term rates and long-term interest rates， which can be seen from the slope of changes in interest rates， it can be said that this is the tilting movement of the composition； curves of the third main component of the presentation \"u\" shape， indicating that the interest rate and the direction of the long changes short-term is the same， but the medium-term interest rate is the change in the opposite direction， this is the description of the change in curvature of the curve interest rate will be， it can be said that this is the curvature component movement. From a certain point of view， no matter which feature vectors can be regarded as an independent \"Simple changes in the form of interest rate curve\" that every point on the curve of change changes can be deemed to be separate and distinct from each other the simplest form of interest rate changes. This is below the level of the use of standard， tilt and curvature of three factors， denoted reasons.

（2） Term Structure and macroeconomic factors changing dynamic link

In this paper a horizontal factor， tilt and curvature factors and three factors constitute macro-economic variables SVAR model， showing the term structure of interest rates， access to a lag of （Evans and Marshall， 2001）. After calculating SVAR model factors in the change in interest rates with respect to the impulse response function of economic shocks， and decomposition of the variance. Impulse response function mentioned here refers to the additional one-time impact on the performance of the disturbance， the current fluctuations in the value of endogenous variables included and the future value caused by the expression of this function is the formula s finger the impact of the delay time after the paper selected in s are on 20month. In the variance decomposition process should take into account the scale model of each factor can be described by macroeconomic factors. Pan， tilt and curvature factors can Levd， Slope and Curvature to represent.

First，The level of contact factor changes in the macroeconomic factors

2 graph based on the real economy， the impact of price changes and the corresponding changes in monetary policy curve. Can be clearly observed in accordance with the curve in the figure， under the changes in macroeconomic factors， changes in the term structure of interest will have a positive impact， but according to the degree of influence of different factors and changes in different degree of fluctuation curve is not the same. In the fifth， when the impact of factors affecting the level of the real economy as well as the formation of the largest price changes， respectively， 2%， 3.6%， after which slowly began to decrease in the trend of decline in the process， the price level is the fastest rate of decline， although the latter stages of the overall impact of the trend is down， but still has some influence in the 20 time； little change in monetary policy this factor to the horizontal curve effects， when confronted with the impact of changes in the level factors only increased by 1%， even if the change is the highest rate of the first four is only changed by 1.5%， after they began to decrease， at 20 times the impact has been very small. The empirical results and Evans and imhaU （2001） findings are consistent， that is， the point of view of macroeconomic factors for horizontal factor is the presence of relatively stable overall and sustained impact.

And impulse response function has a significant difference， variance decomposition can be from a new perspective on the economic system a description. Impulse response function is obtained by endogenous factor observing system for dynamic description； and variance decomposition of error can be divided equally to the overall impact of the contribution of each part of the process to offer. According to the data in Table 3 it can be seen， with other macroeconomic factors there is a clear difference between the interest rates banks can maximize the impact of changes in the price level， for example， in the first four， when， where， money supply M1 can be used as the level of 7.72% of the variance factors， but the degree to explain the real economy and monetary policy changes are lower， reaching only 1.81% and 2.07%. After the change， the explanatory power of the CPI gradually stabilized， reaching 11 percent， there are no major changes in the real economy in terms of explanatory power， explanatory power of monetary policy changes show a downward trend. Horizontal movement of the factors of each term interest rates symbolizes the parallel motion， thereby proving that the level of price volatility for the overall situation of the bond market has a very big impact.

By observing Figure 3 can be found， with different levels of inclination for this factor after the impact of monetary policy reactions are almost beyond the reactions of the other two shocks after the first phase of the reaction reached a maximum of 10%， after began to decrease at the end of the first 20 are still weak reaction； little real economic factors and price levels of these two factors for the inclination factor generated both reactions are relatively similar， then begins to decrease after the first period， until the 20's when the impact has been very low. This shows that when monetary policy came into effect， the investors in the market are quickly responded and contained claims for itself have carried out certain adjustments. This finding will be compared with the international market， which means that the central bank through monetary policy to jump on the short and long term interest rate， it is possible to control the market， investment intended purpose. From the variance decomposition results in Table 4， the impact of monetary policy in the tilt factor during certain delayed effects， delayed effects in eighth when further enhance to ll%， the empirical results of Evans and Marshall （ 2001） results are not consistent in their results that the monetary policy is an important factor affecting the slope of the change. However， efforts to explain the changes in the real economy and the price level is very low， the eighth time，

Explanatory power of about 1.8% and 0.8% began to stabilize. Thus， a variety of factors in the process of changes in the macroeconomic impact of the interest rate curve resulting time is limited. Among these， the curvature of this factor in the reaction after the actual economic impact generated negative items； influence changes in the price level of this factor on the curvature of the more obvious early， but began to decline in the second period after the maximum ； overall， the changes in macroeconomic factors can affect the interest rate curve up to 25%， but the analysis from the interpretation efforts but there is a big difference.

4. Conclusion

Based on the empirical analysis of the VAR model， some conclusions below：

First， after analysis of the main city of the component factors of the horizontal tilt factor and curvature factors studies can be found on the interest rate curve can be more than 90% change in volatility be explained， that is three-factor model of the yield curve for the description of the Exchange rate term structure can be the perfect description， and with foreign mature market is very similar to the situation and found that changes in the interest rate curve is almost all relatively stable， it can be seen as a parallel shift in the empirical process.

Second，after the reaction of the three factors for each pulse macroeconomic factors and variance decomposition by-analysis showed that the impact of macroeconomic factors in the term structure factors have a very significant impact， but according to the term structure caused by macroeconomic factors differ in among the changes in the price is an important factor causing the interest rate level change curve， monetary policy is the main factor and the impact of dumping of oblique curvature fluctuation factors， but its impact has a certain time interval not immediately take effect. The actual impact of the effect of economic activity is unlikely， the situation with foreign mature market is not consistent.

Must be noted that changes in the term structure of interest rates and changes in macroeconomic factors affect each other， on the one hand， interest rates are essential to economic activity in an endogenous factor， it is subject to changes in the macroeconomic factors change， this is the focus of this analysis； on the other hand， according to the Fisher equation and the expectations theory of interest rates， many foreign economists Mishkin （1990）， Eslrella and Mishkin （1997） Gnan （2004） have said， by the nominal interest rate research on future changes in interest rates can be a reasonable prediction， such as changes in inflation， real interest rates as well as changes in GDP， etc. economic factors reasonable prediction， which is increasingly focused in recent years on the term structure research a major reason. According to the Bank of England released the \"Inflation Report\" since 1994， regularly released under the term structure of interest rates and the calculation of the expected rate of inflation. Prior to 1996， the Fed official interest rate term structure as a leading economic sentiment index to study the changes in short and long term interest rate to calculate the frequency of a certain publication. Therefore， the term structure of interest rates to help formulate monetary policy in the future may be able to perform as a tool of monetary policy， which is our concern