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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.
Time and frequency structure of causal correlation networks in the China bond market
Source PublicationEUROPEAN PHYSICAL JOURNAL B
Language英语
AbstractThere 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.
2017
Volume90Issue:7Pages:137
Subject AreaPhysics
DOIhttp://dx.doi.org/10.1140/epjb/e2017-70049-5
Funding OrganizationNational 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
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Document Type期刊论文
Identifierhttp://ir.itp.ac.cn/handle/311006/22008
CollectionSCI期刊论文
Corresponding AuthorYan, 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.
Recommended Citation
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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