Empirical Research on Repo Rates Based on Exponenti- al Smooth Transition Autoregressive Model

Qi-zhi He

School of Statistics, Anhui University of Finance and Economics.

DOI: 10.4236/jssm.2008.11007                

Abstract

In the process of China's marketization of interest rates, researching the characteristics of interest rates has very important theoretical and practical significance. Based on Chinese interbank repo interest rates, the characteristics of daily interest rates and monthly interest rates and their spreads have been researched, and unit root tests are paid to the level, the first difference and the spread of daily interest rates and monthly interest rates based on the traditional method and the exponential smooth transition autoregressive method (ESTAR) respectively. The results show: Firstly, as for different term of repo interest rates, the characteristics are different. Secondly, both lists of daily rates and monthly rates are integrated of order 1. Thirdly, the spread of daily interest rates and monthly interest rates is not stationary by use of ADF, but stationary by use of ESTAR. Finally, the long-run equilibrium relationship between daily repo interest rates and monthly repo interest rates is stable with nonlinear adjustment.

Keywords

Repo interest rates, Unit root, Nonlinear, Augmented Dickey-Fuller (ADF), Exponential smooth transition autoregressive

Conflicts of Interest

The authors declare no conflicts of interest.

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