Modeling the dynamics of Chinese spot interest rates

被引：13

作者：

Hong, Yongmiao ^{[4
,5
,6
]}

Lin, Hai ^{[1
,6
]}

Wang, Shouyang ^{[2
,3
]}

机构：

[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

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Spot rate models; Term structure of interest rates; Market segmentation; Nonparametric specification tests; CONTINUOUS-TIME MODELS; TERM STRUCTURE; SPECIFICATION ANALYSIS; JUMPS; BOND;

D O I：

10.1016/j.jbankfin.2009.11.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：1047 / 1061

页数：15

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