https://doi.org/10.1140/epjb/e2017-70049-5
Regular Article
Time and frequency structure of causal correlation networks in the China bond market
1 School of Economics and Management, University of Chinese Academy of Sciences, 100080 Beijing, P.R. China
2 Research Center on Fictitious Economy and Data Sciences, Chinese Academy of Sciences, 100190 Beijing, P.R. China
3 Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, 100190 Beijing, P.R. China
4 Institute of Theoretical Physics, Chinese Academy of Sciences, 100190 Beijing, P.R. China
5 School of Physical Sciences, University of Chinese Academy of Sciences, 100080 Beijing, P.R. China
a
e-mail: yanyan@ucas.ac.cn
Received: 21 January 2016
Received in final form: 28 February 2017
Published online: 24 July 2017
There are more than eight hundred interest rates published in the China bond market every day. Identifying the benchmark interest rates that have broad influences on most other interest rates is a major concern for economists. In this paper, a 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 CheiRank scores. The results indicate that repo rates are the benchmark of short-term rates, the central bank bill rates are in the core position of mid-term interest rates network, and treasury bond rates lead the long-term bond rates. The evolution of benchmark interest rates from 2008 to 2014 is also studied, and it is found that SHIBOR has generally become the benchmark interest rate in China. In the frequency domain we identify the properties of information flows between interest rates, and the result confirms the existence of market segmentation in the China bond market.
Key words: Statistical and Nonlinear Physics
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2017
