Term Structure of Interest Rate in China and Its Influencing Factors Based on Principal Component AnalysisChinese Full Text
LIU Wen-wen;
Abstract: Shanghai interbank offered rate（SHIBOR）, as China’s benchmark interest rate, has been continuously developed and improved since its operation. Taking it as the research object, through principal component analysis, we extract three characteristic elements that can reflect more than 96% of the change in the term structure of interest rates, namely,“horizontal”,“inclined”and“curved”factors; in addition,macroeconomic variables are added, and structural vector autoregression（SVAR） model is used. It ... More
Keywords：
principal component analysis; term structure of interest rate; structural vector autoregression; influence factor;
- Series：
(J) Economics ＆ Management
- Subject：
Finance
- Classification Code：
F822;F832.3
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