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International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title: Empirical Research Of Chinese Short Rate Under Jump Diffusion Process
Source: International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 3843-3846)
Author(s): Yue-liang Su, School of Business Administration , South China University of Technology,Guangzhou,China,510640
jin Li, School of Business Administration , South China University of Technology,Guangzhou,China,510640
Abstract: Abstract: By introducing jump component whose jump intensity is related with two macroeconomic variables which are the rate of inflation and stock market volatility into the Vasicek model, this paper sets up a more general dynamic jump-diffusion term structure model. The jump intensity of the short rate exhibits significant positive level effect and macroeconomic effect, and macroeconomic effect of the jump intensity is more significant than level effect. Through empirical research it is obvious that introducing the embodiment of China's stock market makes the model better fitting the fluctuations and jumping behavior of the short-term interest rates in China. It can also better reflect another significant factor effecting on China's short-term interest rates.
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