China should be cautious when buying U.S. Treasury bonds, experts say Despite the global credit crunch,China increased its U.S.Treasury bonds holdings to$541 billion by the end
We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factor...We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factors is determined using Chan and Grant's(2016)deviation information criteria.The predictors in our model include lagged daily,weekly,and monthly volatility variables,the corresponding volatility factors,and a speculation variable.In addition,the time-varying properties of the best-performing DMA(DMS)-HAR-2FX models,including size,inclusion probabilities,and coefficients,are examined.We find that the proposed DMA(DMS)-HAR-2FX model outperforms the competing models for both in-sample and out-of-sample forecasts.Furthermore,the speculation variable displays strong predictability for forecasting the realized volatility of financial futures in China.展开更多
This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in China.The rising uncertainty and a...This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in China.The rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear relationship.To this aim,we apply Shin et al.'s(2014)nonlinear autoregressive distributed lag(NARDL)model with asymmetric dynamic multipliers for the sample period 2002M7-2018M4.The empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in China.Furthermore,we find that 20-year bond rates experience the lowest partial Fisher effect.展开更多
文摘China should be cautious when buying U.S. Treasury bonds, experts say Despite the global credit crunch,China increased its U.S.Treasury bonds holdings to$541 billion by the end
基金supported by grants from the National Natural Science Foundation of China(72171088,71803049,72003205)the Ministry of Education of the People's Republic of China of Humanities and Social Sciences Youth Fundation(20YJC790142)the General Project of Social Science Planning in Guangdong Province,China(GD22CYJ12).
文摘We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factors is determined using Chan and Grant's(2016)deviation information criteria.The predictors in our model include lagged daily,weekly,and monthly volatility variables,the corresponding volatility factors,and a speculation variable.In addition,the time-varying properties of the best-performing DMA(DMS)-HAR-2FX models,including size,inclusion probabilities,and coefficients,are examined.We find that the proposed DMA(DMS)-HAR-2FX model outperforms the competing models for both in-sample and out-of-sample forecasts.Furthermore,the speculation variable displays strong predictability for forecasting the realized volatility of financial futures in China.
文摘This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in China.The rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear relationship.To this aim,we apply Shin et al.'s(2014)nonlinear autoregressive distributed lag(NARDL)model with asymmetric dynamic multipliers for the sample period 2002M7-2018M4.The empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in China.Furthermore,we find that 20-year bond rates experience the lowest partial Fisher effect.
