Abstract: Treasury yield curve is the most important yield curve for the financial market. It is the pricing benchmark for many financial assets; it also plays a key role in monetary policy-making, transmission, and assessment of policy impact. As early as in 1970s, several countries began to develop treasury yield curves. China’s work in this area remains in the early stage and the methodologies used need to be further improved. This paper provides a review of the international practices of yield curve modeling, including methodologies on data selection, processing and modeling. It also puts forward a few recommendations on how to improve the construction of treasury yield curves in China.

Full report ：WP No.201611 Methods for Constructing Treasury Yield Curves International Experiences and Lessons for China.pdf