Using sample data from August 1997 to December 2005,this paper studies the effect of macro economic variables on market interest rate,and the explanation of macro economic variables for bond excess returns in the Chinese bond market.It is found that market interest rates are obviously influenced by official interest rate,especially 1-year deposit interest rate,inflation rate such as growth rate of CPI,real consumption growth rate,and the growth rate of money supply M1.These macro economic and mo...