Skip to main content
SpringerLink
Log in

Time and frequency structure of causal correlation networks in the China bond market

  • Regular Article
  • Published:
The European Physical Journal B Aims and scope Submit manuscript

Abstract

There are more than eight hundred interest rates published in the China bond market every day. Identifying the benchmark interest rates that have broad influences on most other interest rates is a major concern for economists. In this paper, a multi-variable Granger causality test is developed and applied to construct a directed network of interest rates, whose important nodes, regarded as key interest rates, are evaluated with CheiRank scores. The results indicate that repo rates are the benchmark of short-term rates, the central bank bill rates are in the core position of mid-term interest rates network, and treasury bond rates lead the long-term bond rates. The evolution of benchmark interest rates from 2008 to 2014 is also studied, and it is found that SHIBOR has generally become the benchmark interest rate in China. In the frequency domain we identify the properties of information flows between interest rates, and the result confirms the existence of market segmentation in the China bond market.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  1. R.N. Mantegna, H.E. Stanley, Introduction to econophysics: correlations and complexity in finance (Cambridge University Press, 1999)

  2. R. Albert, A.L. Barabási, Rev. Mod. Phys. 74, 47 (2002)

    Article  ADS  MathSciNet  Google Scholar 

  3. E. Nier, J. Yang, T. Yorulmazer, A. Alentorn, J. Econ. Dyn. Control 31, 2033 (2007)

    Article  Google Scholar 

  4. G. Buccheri, S. Marmi, R.N. Mantegna, Phys. Rev. E 88, 012806 (2013)

    Article  ADS  Google Scholar 

  5. R.N. Mantegna, Eur. Phys. J. B: Condens. Matter Complex Syst. 11, 193 (1999)

    Article  Google Scholar 

  6. M. Tumminello, S. Miccich, F. Lillo, J. Piilo, R.N. Mantegna, PLoS ONE 6, e17994 (2011)

    Article  ADS  Google Scholar 

  7. M.L. Bech, E. Atalay, Phys. A: Stat. Mech. Appl. 389, 5223 (2010)

    Article  Google Scholar 

  8. S. Kumar, N. Deo, Phys. Rev. E 86, 026101 (2012)

    Article  ADS  Google Scholar 

  9. D. Song, M. Tumminello, W. Zhou, R.N. Mantegna, Phys. Rev. E 84, 026108 (2011)

    Article  ADS  Google Scholar 

  10. C. Xu, Y. Yan, X. Zhu, X. Li, X. Chen, Commun. Theor. Phys. 60, 630 (2013)

    Article  ADS  Google Scholar 

  11. J.B. Glattfelder, S. Battiston, Phys. Rev. E 80, 036104 (2009)

    Article  ADS  Google Scholar 

  12. F.J. Fabozzi, F. Modigliani, Capital markets: institutions and instruments (Pearson College Division, 2003)

  13. A. Ang, M. Piazzesi, M. Wei, J. Econ. 131, 359 (2006)

    Article  Google Scholar 

  14. J. Carr, L.B. Smith, J. Money Credit Bank. 4, 582 (1972)

    Article  Google Scholar 

  15. J.B. Taylor, in Monetary policy rules (University of Chicago Press, 1999), pp. 319–348

  16. A. Estrella, Econ. J. 115, 722 (2005)

    Article  Google Scholar 

  17. R. Bansal, I. Shaliastovich, Rev. Financ. Stud. hhs108 (2012)

  18. G.D. Rudebusch, E.T. Swanson, J. Monet. Econ. 55, S111 (2008)

    Article  Google Scholar 

  19. J. Galí, L. Gambetti, Tech. Rep. (National Bureau of Economic Research, 2014)

  20. Q. Duan, Y. Wei, Z. Chen, Econ. Modell. 38, 220 (2014)

    Article  Google Scholar 

  21. B. Wen, Stud. Int. Financ. 11, 54 (2005) (in Chinese)

    Google Scholar 

  22. G.D. Rudebusch, J. Monet. Econ. 35, 245 (1995)

    Article  Google Scholar 

  23. E. Gutiérrez, S. Lozano, Comput. Oper. Res. 39, 785 (2012)

    Article  MathSciNet  Google Scholar 

  24. J.D. Hamilton, O. Jorda, J. Polit. Econ. 110, 1135 (2012)

    Article  Google Scholar 

  25. K.N. Kuttner, J. Monet. Econ. 47, 523 (2001)

    Article  Google Scholar 

  26. D. Duffie, J.C. Stein, J. Econ. Perspect. 29, 191 (2015)

    Article  Google Scholar 

  27. D. Duffie, P. Dworczak, H. Zhu, Tech. Rep. (National Bureau of Economic Research, 2014)

  28. P.G. Dunne, M.J. Moore, R. Portes, Tech. Rep. (National Bureau of Economic Research, 2002)

  29. G. Dai, F. Liang, J. World Econ. 29, 3 (2006) (in Chinese)

    Google Scholar 

  30. H. Zhao, F. Peng et al., J. Math. Financ. 5, 26 (2015)

    Article  Google Scholar 

  31. Y. Fang, M. Fang, J. Financ. Res. 7, 84 (2012) (in Chinese)

    Google Scholar 

  32. Z. Wang, Rev. Invest. Stud. 1, 25 (2012) (in Chinese)

    Google Scholar 

  33. N. Wiener, Mod. Math. Eng. 1, 125 (1956)

    Google Scholar 

  34. C.W. Granger, Econ.: J. Econ. Soc. 37, 424 (1969)

    Article  Google Scholar 

  35. J. Geweke, J. Am. Stat. Assoc. 77, 304 (1982)

    Article  Google Scholar 

  36. J.F. Geweke, J. Am. Stat. Assoc. 79, 907 (1984)

    Article  Google Scholar 

  37. S. Guo, A.K. Seth, K.M. Kendrick, C. Zhou, J. Feng, J. Neurosci. Methods 172, 79 (2008)

    Article  Google Scholar 

  38. L. Barnett, A.K. Seth, J. Neurosci. Methods 223, 50 (2014)

    Article  Google Scholar 

  39. J. Pearl, Causality (Cambridge University Press, 2009)

  40. P.A. Valdes-Sosa, A. Roebroeck, J. Daunizeau, K. Friston, Neuroimage 58, 339 (2011)

    Article  Google Scholar 

  41. K. Friston, R. Moran, A.K. Seth, Curr. Opin. Neurobiol. 23, 172 (2013)

    Article  Google Scholar 

  42. J.D. Hamilton, Time series analysis (Princeton University Press, Princeton, 1994), Vol. 2

  43. L. Page, S. Brin, R. Motwani, T. Winograd, Stanford Infolab 9, 1 (1999)

    Google Scholar 

  44. A.D. Chepelianskii, arXiv:1003.5455 (2010)

  45. D.S. Kidwell, T.W. Koch, J. Financ. 37, 73 (1982)

    Article  Google Scholar 

  46. D. Dong, Bond Market Investment Notes (Economic Science Press, 2011) (in Chinese)

  47. J.M. Culbertson, Quart. J. Econ. 71, 485 (1957)

    Article  Google Scholar 

  48. F. Modigliani, R. Sutch, Am. Econ. Rev. 56, 178 (1966)

    Google Scholar 

  49. D.S. Kidwell, T.W. Koch, J. Money Credit Bank. 15, 40 (1983)

    Article  Google Scholar 

  50. D.P. Simon, J. Financ. Quant. Anal. 26, 97 (1991)

    Article  Google Scholar 

  51. P.H. Hendershott, D.S. Kidwell, J. Money Credit Bank. 10, 337 (1978)

    Article  Google Scholar 

  52. R. Greenwood, D. Vayanos, Am. Econ. Rev. 100, 585 (2010)

    Article  Google Scholar 

  53. Z. Wang, Y. Yan, X. Chen, Phys. A: Stat. Mech. Appl. (2017)

Download references

Author information

Authors and Affiliations

  1. School of Economics and Management, University of Chinese Academy of Sciences, 100080, Beijing, P.R. China

    Zhongxing Wang & Yan Yan

  2. Research Center on Fictitious Economy and Data Sciences, Chinese Academy of Sciences, 100190, Beijing, P.R. China

    Zhongxing Wang & Yan Yan

  3. Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, 100190, Beijing, P.R. China

    Zhongxing Wang & Yan Yan

  4. Institute of Theoretical Physics, Chinese Academy of Sciences, 100190, Beijing, P.R. China

    Xiaosong Chen

  5. School of Physical Sciences, University of Chinese Academy of Sciences, 100080, Beijing, P.R. China

    Xiaosong Chen

Authors
  1. Zhongxing Wang
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Yan Yan
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Xiaosong Chen
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Yan Yan.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Wang, Z., Yan, Y. & Chen, X. Time and frequency structure of causal correlation networks in the China bond market. Eur. Phys. J. B 90, 137 (2017). https://doi.org/10.1140/epjb/e2017-70049-5

Download citation

  • Received:

  • Revised:

  • Published:

  • DOI: https://doi.org/10.1140/epjb/e2017-70049-5

Keywords

Search

Navigation