Nelson-Siegel model （ NS model） and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research ...Nelson-Siegel model （ NS model） and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.展开更多
This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary ...This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.展开更多
文摘Nelson-Siegel model （ NS model） and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.
文摘This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.
