Abstract: Under the background of unconventional monetary policy and high budget deficits, the effects on interest rate term structure by supply and demand of treasury bond has got wide attention of academic group. Using the data from China inter-bank bond markets, the paper gives an empirical test on the preferred-habitat term structure model with supply and demand factors. The results show that, the interest rate term structure is not sensitive to bond supply factors , while the bond demand variable has significantly negative effects not only on the key interest rates, but also on level factor , slope factor and curvature factor of interest rate term structure.

摘要： 近些年来，在欧美国家实施非常规货币政策与政府高赤字债务危机的双重背景下，国债供求因素对利率期限结构的影响问题引起理论界的广泛关注。本文利用中国银行间国债市场数据对含有国债供求因素的优先偏好利率期限结构模型进行实证检验，结果显示，我国国债利率期限结构对国债供给的变化并不敏感; 而反映国债需求的变量不但与各关键期限国债利率呈明显的负相关，而且还对利率期限结构的水平因子、斜率因子和曲度因子均有一定程度的负向影响。