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Modeling the Dynamics of Chinese Spot Interest Rates

Id：2118 Date：20131014 Status：published ClickTimes：
作者Yongmiao Hong, Hai Lin, Shouyang Wang
正文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.
JEL-Codes：E4; C5; G1
关键词：Spot rate models; Term structure of interest rates; Market segmentation; Nonparametric specification tests
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