标题:Empirical research on forecasting power of Chinese bonds' interest rate term structure
作者:Chen, Wei ;Su, Ming ;Chang, Dejian
通讯作者:Chen, W
作者机构:[Chen, Wei ;Su, Ming ;Chang, Dejian ] School of Economics, Shandong University, Jinan, China
会议名称:2010 International Conference on Management and Service Science, MASS 2010
会议日期:24 August 2010 through 26 August 2010
来源:2010 International Conference on Management and Service Science, MASS 2010
出版年:2010
DOI:10.1109/ICMSS.2010.5578257
关键词:Expecations hypothesis; Inflation rate; Interest spread; Term structure of interest rates
摘要:According to the expectations hypothesis theory of interest rate term structure, the interest rate term structure contains the information about future interest term spread and future inflation rates changing. In this paper, based on Chinese whole dealing bonds' monthly data of five years, from 2004.07 to 2009.06, by using numerical methods we construct term structure both against time and against maturity first. Then we do the empirical study to test the forecasting power of Chinese bonds' interest term structure, in other words, we use the long and short term spread to analyse the expectation of the future term spread and the inflation rates changing. The empirical result shows that, Chinese bonds' spread can forecast the future term spread and future inflation rates changing. © 2010 IEEE.
收录类别:EI;SCOPUS
资源类型:会议论文;期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-78649392438&doi=10.1109%2fICMSS.2010.5578257&partnerID=40&md5=9c4567e0560001d1d13e4950c6cbe7c6
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