Time and Frequency Structure of Causal Correlation Network in China Bond Market

Zhongxing Wang, Yan Yan and Xiaosong Chen

Papers from arXiv.org

Abstract: There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper, 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 inverse Page Rank scores. The results indicate that some short-term interest rates have larger influences on the most key interest rates, while repo rates are the benchmark of short-term rates. It is also found that central bank bills'rates are in the core position of mid-term interest rates'network, and treasury bond rates are leading the long-term bonds rates. The evolution of benchmark interest rates is also studied from 2008 to 2014, and it's found that SHIBOR has generally become the benchmark interest rate in China. In the frequency domain we detect the properties of information flows between interest rates and the result confirms the existence of market segmentation in China bond market.

Date: 2016-01
New Economics Papers: this item is included in nep-cna, nep-net and nep-tra
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/1601.00263 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1601.00263

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().