期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

基于门限协整的长短利率关系研究 被引量：3

The Analysis of Relationship between Long-Term Interest Rate and Short-Term Interest Rate Based on Threshold Cointegrate
下载PDF
导出
摘要 This paper concentrates on the relationship between the short and the long interest rate by regression and cointegration.It was found that they have same direction to each other,and the spread can explain some variant of the long interest rate.The granger cointegration relationship was not found by Johansen Test,but a threshold cointegration relationship was found between them by Enders-Siklos test.In the end,the paper gives some suggestions for the authority. This paper concentrates on the relationship between the short and the long interest rate by regression and cointegration. It was found that they have same direction to each other, and the spread can explain some variant of the long interest rate. The granger cointegration relationship was not found by Johansen Test, but a threshold cointegration relationship was found between them by Enders-Siklos test. In the end, the paper gives some suggestions for the authority.
作者 徐小华 陈正旭 何佳
机构地区 海交通大学安泰经济与管理学院 上海交通大学安泰经济与管理学院 香港中文大学财务学系
出处 《统计研究》 CSSCI 北大核心 2006年第12期62-65,共4页 Statistical Research
关键词 协整 利差 门限协整 MTAR
分类号 F832.1 [经济管理—金融学]
  • 相关文献

参考文献7

  • 1徐剑刚,唐国兴.短期利率与长期利率间的隐藏协整分析[J].复旦学报（自然科学版）,2003,42(5):779-786. 被引量：4
  • 2Arize,A.C,Malindretos,and Obi,Zlke,Long and short-term interest rates in 19 countries:tests of cointegration and parameter instability[J].Atlantic Economic Journal,2002,30,No.2:105 ～ 120.
  • 3Campbell,J.Y.,Shiller,R.J.,Yield spreads and interest rate movements:a bird's eye view[J].Review of Economic Studies,1991,58:495 ～ 414.
  • 4Chan,KS (1993).Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model.Ann.Statist.21:520 ～ 533.
  • 5Enders,Walter & Granger,Clive WJ,1998.Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates[J].Journal of Business & Economic Statistics,American Statistical Association,16:304～311.
  • 6Granger,C.W.J,Yoon,G,Hidden cointegration,Working Paper,2002.
  • 7Neftci.S.N (1984).Are economic time series asymmetric over the business cycle[J].Journal of Political Economy.

二级参考文献10

  • 1Campbell J Y, Shiller R J. Yield spreads and interest rate movements: A bird's eye view [J]. Rerview, of Economic Studies, 1991, 58: 495-514.
  • 2Anderson H M. Transaction costs and non-linear adjustment towards equilibrium in the us treasury bill market[J]. Oxford Bulletin of Economics and Statistics, 1997, 59: 465-484.
  • 3Nautz D, Wolters J. The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the U S and Germany [J]. Weltwirtschaftliches Archiv, 1999, 135: 397-411.
  • 4Engel R F, Granger C W J. Cointegration and error correction: Represention, estimation and testing[J]. Econometrica, 1987, 55: 252-276.
  • 5Enders W, Siklos P L. Cointegration and threshold adjustment[J]. Journal of Business and Economic Statistics, 2001, 19: 166-176.
  • 6Granger C W J, Yoon G. Hidden cointegration [ R]. San Diego: University of California, Department of Economics Working Paper, 2002.
  • 7Petrucelli J, Woolford S. A threshold AR(1) modal [J]. Journal of Applied Probability, 1984, 21: 270-286.
  • 8Tong H. Non-linear time-series: A dynamical approach[M]. Oxford: Oxford University Press, 1990.
  • 9Chan K S. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model [J]. The Annals of Statistics, 1993, 21: 520-533.
  • 10Stock J, Watson M. Testing for common trends [J]. Journal of American Statistical Association, 1988, 83:1097-1107.

共引文献3

同被引文献26

  • 1黄英伟,汪娟.中国生猪生产与粮食生产关系的变迁[J].新疆农业科学,2007,44(B06):212-216. 被引量：11
  • 2吕杰,綦颖.生猪市场价格周期性波动的经济学分析[J].农业经济问题,2007,28(7):89-92. 被引量：122
  • 3Beckworth David, Kenneth P Moon and J. Holland Toles, 2012, "Can Monetary Policy Influence Long-term In- terest Rates? It Depends", Economic Inquiry, Vol. 50, No. 4, October 2012, 1080- 1096.
  • 4Berument, H., & Froyen, R., 2006, "Monetary policy and long-term U.S. interest rates". Journal of Macroeconomics, 28(4), 737 - 751.
  • 5Berument, H., & Froyen, R., 2009, "Monetary policy and U.S. 1ong--tema interest rates: How close are the linkages?, Journal of Economics and Business 61 (2009) 34 - 50.
  • 6Cochrane, J. H., & Piazzesi, M.,2002, "The fed and in- terest rates--A high-frequency identification", American Eco- nomic Review, 92(2), 90 - 95.
  • 7Cook, T., Hahn, T., 1989, "The effect of changes in the federal funds rate target on market interest rates in the 1970s", Journal of Monetary Economics 24, 331 - 351.
  • 8Evans, C. L., & Marshall, D. A, 1998, "Monetary policy and the term structure of nominal interest rates: Evidence and Theory", Carnegie Rochester Series on Public Policy, 49, 53 - 111.
  • 9Lange, J., Sack, B., &Whitesell,W., 2003, "Anticipa- tions of monetary policy in financial markets", Journal of Mon- ey, Credit, and Banking, 35(6), 889 - 909.
  • 10Kobayashi Teruyoshi, 2004, "On the Relationship Be- tween Short and Long Term Interest Rate", International Fi- nance, 7(2), 261-286.

引证文献3

二级引证文献10

统计研究
2006年 第12期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部