This study investigates the term structure of interest rate and how it is differently perceived in the macroeconomic and finance field. To calculate the coupon rate, we directly use the zero coupon bond as our term structure of interest rate instead of using the general bond. Then we also applied classified economic variables to calculate the correlation coefficient to find information on the exchange rate. Later we explore how economic and financial variables are related to exchange rates. We find a link between the macroeconomic and finance factors. Our result shows that most countries can be sure that the level and slope factor is related to the domestic output. However, the exchange rate performance of some currencies is not very relevant to the theoretical results. We classify the cause as the hedge currency and it does not have greater volatility during the economic development. As expected, the level factor is connecting with inflation rate or inflation expectations, and the slope factor is connecting with the business cycle. Finally, we use the predictive accuracy statistics to measure the prediction results of the yield curve model using three methods and found that the Monte Carlo and bootstrap prediction methods have high accuracy. This is evident as most countries can explain these results from the empirical analysis. In the economic system there is a close relationship between the field of macroeconomics and finance that can help to decide the inflation rate, business cycle and even market liquidity or market risk.

Chapter 1 Introduction 1
Chapter 2 The Model: Regression and Forecasting 5
Chapter 3 Data Estimation and Empirical Results 13
Chapter 4 Conclusion 21

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