000050157 001__ 50157
000050157 005__ 20181129231742.0
000050157 037__ $$a1076-2016-87158
000050157 037__ $$a1076-2016-87211
000050157 041__ $$aen
000050157 084__ $$aC52
000050157 084__ $$aE43
000050157 245__ $$aAn Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models
000050157 260__ $$c2007
000050157 269__ $$a2007
000050157 270__ $$mwardb@lincoln.ac.nz$$pWard,   Bert D.
000050157 300__ $$a18
000050157 336__ $$aJournal Article
000050157 520__ $$aThis paper uses the one-factor models proposed by Chan, Karolyi, Longstaff and Sanders (CKLS, 1992) to study the short-term interest rate in China. Nine stochastic models of the short-term interest rate were estimated with GMM. For the Chinese one-month inter bank loan rate, the research finds strong evidence for a mean-reverting feature in the short-term interest yield curve, but no evidence was found to indicate that the volatility is highly positively correlated with the level of interest rates. What is more, evidence was found that the CKLS model, the CIR SR model, and the Brennan-Schwartz model are correctly specified to model the Chinese short-term interest rate, so that these three models are able to adequately capture the dynamics of this interest rate. Finally, Theil’s U2 statistics and the Diebold and Mariano test were applied to explicitly evaluate the predictive power of the single factor models.
000050157 542__ $$fLicense granted by Amber  Besch (besch014@umn.edu) on 2009-05-20T15:15:40Z (GMT):

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000050157 650__ $$aFinancial Economics
000050157 6531_ $$asingle-factor models
000050157 6531_ $$amean reversion
000050157 6531_ $$aGMM estimation
000050157 6531_ $$aprediction tests
000050157 700__ $$aXu, Hai Yan
000050157 700__ $$aWard, Bert D.
000050157 700__ $$aNartea, Gilbert V.
000050157 773__ $$d2007$$j 03$$k 1-2$$o78$$q61$$tReview of Applied Economics
000050157 8564_ $$s144005$$uhttp://ageconsearch.umn.edu/record/50157/files/4-Hai%20Yan%20Xu.pdf
000050157 887__ $$ahttp://purl.umn.edu/50157
000050157 909CO $$ooai:ageconsearch.umn.edu:50157$$pGLOBAL_SET
000050157 912__ $$nSubmitted by Amber  Besch (besch014@umn.edu) on 2009-05-20T15:20:02Z
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  Previous issue date: 2007
000050157 982__ $$gReview of Applied Economics>Volume 3, Number 1-2, 2007
000050157 980__ $$a1076