英文标题：
《Time and Frequency Structure of Causal Correlation Network in China Bond
  Market》
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作者：
Zhongxing Wang, Yan Yan, Xiaosong Chen
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最新提交年份：
2016
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英文摘要：
  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.
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中文摘要：
中国债券市场每天公布的利率超过800个。对大多数利率有广泛影响的基准利率是经济学家的主要担忧。本文发展了多变量格兰杰因果关系检验，并将其应用于构建一个有向利率网络，该网络的重要节点被视为关键利率，并用反向页面排名分数进行评估。研究结果表明，部分短期利率对最关键利率的影响较大，而回购利率是短期利率的基准。研究还发现，中央银行票据利率在中期利率网络中处于核心地位，国债利率在长期债券利率中处于领先地位。对2008年至2014年基准利率的演变进行了研究，发现SHIBOR已普遍成为中国的基准利率。在频域中，我们检测了利率之间信息流的性质，结果证实了中国债券市场存在市场分割。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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