跳至主要内容

Empirical Research on Repo Rates Based on Exponenti- al Smooth Transition Autoregressive Model

Read  full  paper  at:
http://www.scirp.org/journal/PaperInformation.aspx?PaperID=41#.VNhq6yzQrzE

Author(s)   

ABSTRACT
In the process of China's marketization of interest rates, researching the characteristics of interest rates has very important theoretical and practical significance. Based on Chinese interbank repo interest rates, the characteristics of daily interest rates and monthly interest rates and their spreads have been researched, and unit root tests are paid to the level, the first difference and the spread of daily interest rates and monthly interest rates based on the traditional method and the exponential smooth transition autoregressive method (ESTAR) respectively. The results show: Firstly, as for different term of repo interest rates, the characteristics are different. Secondly, both lists of daily rates and monthly rates are integrated of order 1. Thirdly, the spread of daily interest rates and monthly interest rates is not stationary by use of ADF, but stationary by use of ESTAR. Finally, the long-run equilibrium relationship between daily repo interest rates and monthly repo interest rates is stable with nonlinear adjustment.
 
Cite this paper
Q. He, "Empirical Research on Repo Rates Based on Exponenti- al Smooth Transition Autoregressive Model," Journal of Service Science and Management, Vol. 1 No. 1, 2008, pp. 77-82. doi: 10.4236/jssm.2008.11007.
 
References
[1]Martellini，L. and　Priaulet，P.， Fixed-income Securities， John Wiley　& Sons,Ltd. ，Chichester，2001.
 
[2]ZHU Shi-wu, CHEN Jian-heng, “Empirical Research of the Term Structure of Interest Rates of Stock Exchange”, Journal of Financial Research, 2003, Vol.280（10）, pp.63-73
 
[3]HE Qi-zhi, HE Jian-min, “Real Option Pricing Method for R&D Investment under Changing Risk-free Rate and Discount Rate”. Journal of Southeast University, 2008, Vol,2.
 
[4]HE Qi-zhi, “A New Method for Heteroscedasticity of Term Structure Model Using Exponential Splines”,IEEE. International Conference on Communications, Services, Knowledge and Engineering, Shanghai, 2007, pp.4068-4071.
 
[5]He Qi-zhi, “Empirical Tests for Term Structure of Interest Rates Based on Nonlinear Adjustment , ” IEEE. International Conference on Wireless Communications, Networking and Mobile Computing, Shanghai, 2007, pp.4096-4099.
 
[6]SHI Min, WANG Shou- yang,etc, “Empirical analysis on term structure of China interbank offered rates”, Journal Of Management Sciences in China,2005,Vol. 5, pp.43-49.
 
[7]Wu Dan, Xie Chi, “Test of the Expectations Theory of the Term Structure of Treasury Market Among China Banks”,Chinese Journal Of Management, 2005，Vol.9(5), pp.536-541.
 
[8]Ying Liu, “Modeling Mortgage Rate Changes with a Smooth Transition Error-Correction Model”. Working paper, 2001.
 
[9]Dick van Dijk, Philip Hans Frances, and Lucas， “Testing for Smooth Transition Nonlinearity in the Presence of Outliers”, working paper.
 
[10]Siliverstovs, Boriss, “The Bi−parameter Smooth Transition Autoregressive model”, Economics Bulletin, 2005, Vol.3, No. 22, pp. 1−11
 
[11]Kapetanios, G., Y. Shin, and A. Snell, “Testing for a unit root in the nonlinear STAR framework”, Journal of Econometrics, 2003,Vol. 112, pp.359-379.
 
[12]Daiki,Maki，“ Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework”, Applied Financial Economics,2006, Vol.11, pp.1301-1307.
 
[13]Daiki,Maki, “ The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework”,Economics bulletin,2005, Vol.5, pp.1-7.
 
[14]ZOU Ping,Financial Econometrics, Shanghai University of Finance & economics Press, Shaihai, 2005, 8.
 
[15]Wen Bin, “An Empirical Study on the Choice of Benchmark Interest Rate after Interest Rates Liberalization in China”, Studies of International Finance, 2004, Vol. 11, pp.54-60.
 
[16]Duffee, G., “Term premia and interest rate forecasts in affine models”, Journal of Finance , 2002 , Vol.57, pp.405-443.
 
[17]Gerlach S,Smets F, “The term structure of Eurorates:Some evidence in support of the expectations hypothesis”,Journal of International Money and Finance, 1997, Vol. 16(2), pp.305-321
 
[18]Hamilton J., Kim D. H, “A Reexamination of the Predictability of Economic Activity Using the Yield Spread”, Journal of Money,Credit, and Banking,2002, Vol. 34(2), pp.340-344.
 
[19]William Poole, “Understanding the Term Structure of Interest Rates”, Federal reserve bank of st.louis review, 2005, Vol. 9, pp.589-595.
 
[20]Caner, M., Hansen, B.E., “Threshold autoregression with a near unit root”. Econometrica, 2001, Vol, 69, pp.1555-1596.                                                                                                              eww150209lx
标签：

评论

发表评论

此博客中的热门博文

Does Immigration Promote the Investment of the Monopolistic Firm?

In the present paper, we examine the effect of increasing uncertainty of immigrants’ growth on the optimal timing of investment of a firm that has a monopolistic power over the labor market. It is revealed that when the uncertainty of immigrants’ growth is more than a threshold level, increasing uncertainty of immigrants’ growth accelerates the optimal timing of firms’ investment and enhances the economic growth, even if the uncertainty of immigrants’ growth is formulated by the geometric Brownian motion, which is in sharp contrast to the standard result that an increase in the uncertainty postpones the optimal timing. With an increase in the immigrants over the past ten years, workforces in the host countries have been growing significantly to the extent that the immigrants represent 70% of the increase in the workforce in Europe, and 47% in the United States as OECD indicates. In the present paper, we attempted to investigate the effect of increased uncertainty caused by the growi...
发表评论
阅读全文

Education Policy Implementation: A Mechanism for Enhancing Primary Education Development in Zanzibar

Education is one of the fundamental rights of individuals; therefore, the government of a country needs to develop and strengthen educational policy and quality as well as to ensure that everyone has equal access to basic education. The improvement of access and quality of education in the world is becoming as an essential factor in development, whereas the basic education (primary school), is acknowledged as a foundation of the higher educational development for every country. To fulfill this goal, governments introduce several policies and procedures; however, it requires some reforms and participation from the politician, policymakers, and other stakeholders to re-examine educational policy so that it can lead to multiplication and betterment of the reforms. Educational reforms actually focus on accountability. A positive educational development and reform is very challenging and needs more effort and strategy on how to use and utilize the resources effectively as such it can achie...
发表评论
阅读全文