关键词: 利率期限结构,预期理论,非线性,MS-VECM模型

Abstract: This paper conducts an empirical study of the nonlinear dynamic process of China’s term structure of interest rates under the adjustment of the expectation theory with MS-VECM model. The results indicate that the expectation theory is tenable in China’s term structure of interest rates. The term structure of interest rates in China has the nonlinear dynamic characteristics of two regimes, which can be described as“strong adjustment regime”and“weak adjustment regime”according to the intensity of adjustment of the expectation theory. The average interest rate changes and the average risk premium level at different terms will change along with the changes of the regimes, and the changing of each regime is asymmetric. The term structure of interest rates has some similarity as the non-linear zone partition of price pressure; the price fluctuation is one of the important reasons for the nonlinear dynamic changes of the term structure of interest rates.

Key words: term structure of interest rates; expectation theory; nonlinear; MS-VECM model