Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate

Rongbao Gu, Xi Chen and Xinjie Li

Physica A: Statistical Mechanics and its Applications, 2014, vol. 412, issue C, 101-112

Abstract: In this paper, we investigate the Shanghai Interbank Offered Rate (SHIBOR) employing the chaos recognition and fractal analysis. We find that all interest rates of SHIBOR are chaotic systems with multifractal nature. The volatilities of the short-term interest rates are larger than the medium- and long-term interest rates and the magnitudes of these fluctuations decrease with the term increases. The smaller fluctuations of all interest rates have long-term memory property. The larger fluctuations of medium- or long-term interest rates have also long-term memory property but not for those of short-term rates. Moreover, there is long-term memory property between the two interest rates of SHIBOR with one medium- or long-term, but not for both short-term interest rates. Especially, there is also long-term memory between SHIBOR and USD LIBOR. These findings are beneficial not only to understand well the SHIBOR’s running but also to price accurately financial products.

Keywords: SHIBOR; Chaos; Fractality; Long-term memory; Cross-correlation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:412:y:2014:i:c:p:101-112

DOI: 10.1016/j.physa.2014.06.036

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