Modeling the dynamics of Chinese spot interest rates

doi:10.1016/j.jbankfin.2009.11.002

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	Modeling the dynamics of Chinese spot interest rates
	Hong, Yongmiao 4,5,6; Lin, Hai 1,6; Wang, Shouyang2,3
	2010-05-01
发表期刊	JOURNAL OF BANKING & FINANCE
ISSN	0378-4266
卷号	34 期号:5 页码:1047-1061
摘要	Using the daily data of Chinese 7-day repo rates from January 1, 1997 to December 31, 2008, this paper tests a variety of popular spot rate models, including single-factor diffusion, GARCH, Markov regime-switching and jump-diffusion models. We document that Chinese spot rates are subject to both market forces and administrative forces. GARCH, regime-switching and jump-diffusion models capture some important features of the dynamics of Chinese spot rates, but all models under study are overwhelmingly rejected. We further explore possible sources of model misspecification using diagnostic tests. (C) 2009 Elsevier B.V. All rights reserved.
关键词	Spot rate models Term structure of interest rates Market segmentation Nonparametric specification tests
DOI	10.1016/j.jbankfin.2009.11.002
语种	英语
WOS研究方向	Business & Economics
WOS类目	Business, Finance ; Economics
WOS记录号	WOS:000276665800014
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/9535
专题	系统科学研究所
通讯作者	Lin, Hai
作者单位	1.Xiamen Univ, Dept Finance, Sch Econ, Xiamen, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100864, Peoples R China 3.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100864, Peoples R China 4.Cornell Univ, Dept Econ, Ithaca, NY 14853 USA 5.Cornell Univ, Dept Stat Sci, Ithaca, NY 14853 USA 6.Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen, Peoples R China
推荐引用方式 GB/T 7714	Hong, Yongmiao,Lin, Hai,Wang, Shouyang. Modeling the dynamics of Chinese spot interest rates[J]. JOURNAL OF BANKING & FINANCE,2010,34(5):1047-1061.
APA	Hong, Yongmiao,Lin, Hai,&Wang, Shouyang.(2010).Modeling the dynamics of Chinese spot interest rates.JOURNAL OF BANKING & FINANCE,34(5),1047-1061.
MLA	Hong, Yongmiao,et al."Modeling the dynamics of Chinese spot interest rates".JOURNAL OF BANKING & FINANCE 34.5(2010):1047-1061.