Modeling the dynamics of Chinese spot interest rates
文献类型：期刊论文
| 作者 | Hong, Yongmiao4,5,6; Lin, Hai1,6; Wang, Shouyang2,3
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| 刊名 | JOURNAL OF BANKING & FINANCE
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| 出版日期 | 2010-05-01 |
| 卷号 | 34期号:5页码:1047-1061 |
| 关键词 | Spot rate models Term structure of interest rates Market segmentation Nonparametric specification tests |
| ISSN号 | 0378-4266 |
| DOI | 10.1016/j.jbankfin.2009.11.002 |
| 英文摘要 | 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. |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000276665800014 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/9534]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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