Term Structure of Interest Rates with B-Spline Model during the Money-Shortage-Event in China

Peng Zheng; Lian Qiang Yang; Zhen Ni Dai

doi:10.4028/www.scientific.net/AMR.989-994.5634

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Term Structure of Interest Rates with B-Spline Model during the Money-Shortage-Event in China
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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 989-994Term Structure of Interest Rates with B-Spline...

Term Structure of Interest Rates with B-Spline Model during the Money-Shortage-Event in China

Abstract:

Using the price data of bonds’ transactions during June 2013, the discounting function is fitted by non-uniform cubic B-Splines and yield curves are modeled. Models’ single parametric test and total test are both significant. Furthermore, the structural change’s test shows that there is no significant structural change between adjacent transaction days, which means that the bonds’ market is relatively steady during June 2013.

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Periodical:

Advanced Materials Research (Volumes 989-994)

Pages:

5634-5637

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.989-994.5634

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Online since:

July 2014

Authors:

Peng Zheng*, Lian Qiang Yang, Zhen Ni Dai

Keywords:

Bond, Structural Change, Term Structure of Interest Rate, Yield Curve

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* - Corresponding Author

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