Research on Term Structure of Treasury Interest Rates Using a New Model

Based on Chinese treasury market´s characteristic and oversea methods for estimating term structure of interest rates, a new model for computing Chinese term structure is represented. The empirical research and comparison of this model with others are carried out using the data of Chinese treasury market. The results show that the model can significantly decrease the errors of forecasting yields to maturity. The new model is suitable to our national fact. Using this model, ten pieces of interest rates curves, representing Chinese treasure markets from 1996 to 2007, are offered and analyzed. From the ten yield curves, it is shown that: Firstly, the variation range of yield curves has still been restricted by deposit interest rates. Secondly, the variation range of long-term interest rates is smaller than that of short-term interest rates. Thirdly, in recent years, the long-term interest rates of Chinese treasure bonds are lower.