Time and frequency structure of causal correlation networks in the China bond market

doi:http://dx.doi.org/10.1140/epjb/e2017-70049-5

CORC > 理论物理研究所 > 中国科学院理论物理研究所 > 理论物理所科研产出 > 理论物理所1978-2010年知识产出

	Time and frequency structure of causal correlation networks in the China bond market
	Yan, Y (reprint author), Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China.; Chen, XS; Wang, ZX; Yan, Y; Yan, Y (reprint author), Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100080, Peoples R China.; Yan, Y (reprint author), Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China.
刊名	EUROPEAN PHYSICAL JOURNAL B
	2017
卷号	90 期号:7 页码:137
DOI	http://dx.doi.org/10.1140/epjb/e2017-70049-5
英文摘要	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.
学科主题	Physics
语种	英语
内容类型	期刊论文
源URL	[http://ir.itp.ac.cn/handle/311006/22008]
专题	理论物理研究所_理论物理所1978-2010年知识产出
通讯作者	Yan, Y (reprint author), Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China.; Yan, Y (reprint author), Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100080, Peoples R China.; Yan, Y (reprint author), Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China.
推荐引用方式 GB/T 7714	Yan, Y ,Chen, XS,Wang, ZX,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	Yan, Y ,Chen, XS,Wang, ZX,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	Yan, Y ,et al."Time and frequency structure of causal correlation networks in the China bond market".EUROPEAN PHYSICAL JOURNAL B 90.7(2017):137.