中国金融学术研究网

所属栏目：资本市场/资产定价

Modeling the dynamics of Chinese spot interest rates

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发布日期：2009年11月08日上次修订日期：2009年11月08日

Yongmiao Hong Cornell University Hai Lin Xiamen University Shouyang Wang

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.

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关键词：

Spot rate models Term structure of interest rates Market segmentation Nonparametric specification tests

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