In order to study the dynamic characteristics of the interest rate term structure of zero-yield bonds in China's bond market, and why China's interest rate term shows such changing characteristics 96-month interest rate structure data at the end of December. Among them, the term structure of interest rates in the securities market is from 1 year to 20 years, and the term structure of interest rates in the interbank market is from one year to 30 years. Analyze the data to find out the basic characteristics of the dynamic change of the term structure of China's interest rate, and find the entire term structure of China's bond market from the perspective of trends. This feature is evident in short-term interest rates in the interbank market, influenced by central bank financial policies. In terms of statistical characteristics, as the yield to maturity of Chinese bonds increases on average, that is, the inclination of the term structure of interest rates increases. The volatility of yield to maturity of short-term bonds is significantly higher than that of long-term bonds, and the volatility of yield to maturity in the securities market is lower than that of the interbank market, mainly because short-term bonds and the interbank market are easily affected by the central bank’s financial policies. Experiments show that the level of inflation rate (PPI growth rate) is an important factor that determines the level of the term structure of interest rates. Inflation rate and interest rate levels are important determinants of skew and curvature factors.