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Time and frequency structure of causal correlation networks in the China bond market
Wang, ZX; Yan, Y; Chen, XS; Yan, Y (reprint author), Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100080, Peoples R China.; Yan, Y (reprint author), Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China.; Yan, Y (reprint author), Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China.
2017
发表期刊EUROPEAN PHYSICAL JOURNAL B
卷号90期号:7页码:137
文章类型Article
摘要There are more than eight hundred interest rates published in the China bond market every day. Identifying the benchmark interest rates that have broad influences on most other interest rates is a major concern for economists. In this paper, a multi-variable Granger causality test is developed and applied to construct a directed network of interest rates, whose important nodes, regarded as key interest rates, are evaluated with CheiRank scores. The results indicate that repo rates are the benchmark of short-term rates, the central bank bill rates are in the core position of mid-term interest rates network, and treasury bond rates lead the long-term bond rates. The evolution of benchmark interest rates from 2008 to 2014 is also studied, and it is found that SHIBOR has generally become the benchmark interest rate in China. In the frequency domain we identify the properties of information flows between interest rates, and the result confirms the existence of market segmentation in the China bond market.
学科领域Physics
资助者National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences
DOIhttp://dx.doi.org/10.1140/epjb/e2017-70049-5
关键词[WOS]GRANGER CAUSALITY ; TERM STRUCTURE ; LINEAR-DEPENDENCE ; INTEREST-RATES ; SEGMENTATION ; CONNECTIVITY ; FEEDBACK ; SERIES ; POLICY
语种英语
资助者National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; National Science Foundation of China [71573243, 1121403] ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences ; Key Laboratory of Big Data Mining and Knowledge Management of the Chinese Academy of Sciences
WOS类目Physics, Condensed Matter
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文献类型期刊论文
条目标识符http://ir.itp.ac.cn/handle/311006/22008
专题理论物理所SCI论文
通讯作者Yan, Y (reprint author), Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100080, Peoples R China.; Yan, Y (reprint author), Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China.; Yan, Y (reprint author), Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China.
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GB/T 7714
Wang, ZX,Yan, Y,Chen, XS,et al. Time and frequency structure of causal correlation networks in the China bond market[J]. EUROPEAN PHYSICAL JOURNAL B,2017,90(7):137.
APA Wang, ZX,Yan, Y,Chen, XS,Yan, Y ,Yan, Y ,&Yan, Y .(2017).Time and frequency structure of causal correlation networks in the China bond market.EUROPEAN PHYSICAL JOURNAL B,90(7),137.
MLA Wang, ZX,et al."Time and frequency structure of causal correlation networks in the China bond market".EUROPEAN PHYSICAL JOURNAL B 90.7(2017):137.
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