Abstract: The long-term interest rate information plays an important guiding role in the formulation of monetary policy, and is related to the implementation effect of monetary policy. The paper uses the affine no-arbitrage macro-financial model to construct benchmark, backward, forward-looking and forward-backward mixed-type no-arbitrage four Taylor rules that include the complete information of the yield curve. By comparing with the traditional Taylor single equation model, the paper examines whether medium and long term interest rate information have a significant impact on the reaction of interest rate rules to macroeconomy.The empirical study indicates that the response of the long-term interest rate to the macroeconomic and the macro-variables endogenous volatility have reduced the response of the interest rate to the output, and been more positive for inflation, but still less than 1;The macro-consistent expectation information provided by term structure of interest rate makes the no-arbitrage forward-looking and mixed-type rules effectively avoid the excessive stimulation to output led by the single equation model,which lacks high-quality forward-looking information, while the inflation response is significant and pro-cyclical; to some extent, China′s monetary policy has the law that is characterized by the no-arbitrage forward-backward mixed-type Taylor rule.

Key words: monetary policy, Taylor rule, term structure of interest rate, no-arbitrage, MCMC