Title: RESEARCH ON CORRELATION BETWEEN THE TERM STRUCTURE
OF INTEREST RATE AND CHINESE STOCK RETURNS
Authors: Zhang Wenjing
, Xiao Yushun
, Xiao Yushun2 1. College of Economics and Management, Nanjing University of Aeronautics and Astronautics, China
2. College of Computer Science and Technology, Nanjing University of Aeronautics and Astronautics, China
MLA 8 Wenjing, Zhang, and Xiao Yushun. "RESEARCH ON CORRELATION BETWEEN THE TERM STRUCTURE OF INTEREST RATE AND CHINESE STOCK RETURNS." Int. j. of Social Science and Economic Research, vol. 4, no. 1, Jan. 2019, pp. 647-663, ijsser.org/more2019.php?id=51. Accessed Jan. 2019.
APA Wenjing, Z., & Yushun, X. (2019, January). RESEARCH ON CORRELATION BETWEEN THE TERM STRUCTURE OF INTEREST RATE AND CHINESE STOCK RETURNS. Int. j. of Social Science and Economic Research, 4(1), 647-663. Retrieved from ijsser.org/more2019.php?id=51
Chicago Wenjing, Zhang, and Xiao Yushun. "RESEARCH ON CORRELATION BETWEEN THE TERM STRUCTURE OF INTEREST RATE AND CHINESE STOCK RETURNS." Int. j. of Social Science and Economic Research 4, no. 1 (January 2019), 647-663. Accessed January, 2019. ijsser.org/more2019.php?id=51.
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Abstract: The paper first use the dynamic Nelson-Siegel model to estimate the level, slope and curvature
factor of the term structure of Chinese inter-bank bond interest rate, and then construct a timevarying vector autoregressive model between the three factors and the stock market return rate to
find the influence mechanism in them. Finally, we analyze the response function results and find
that the impact of Chinese stock market returns on the term structure of interest rates is greater
than the impact of term structure of interest rate on stock market returns, that the response
direction and degree of the level, slope, curvature factor on the stock market returns are different,
that the impact of the term structure of interest rates on the stock market returns is mainly
generated by the slope factor. Therefore there is a relatively unstable liquidity premium between
the long-term and short-term interest rates of Chinese national debt.
The International Journal of Social Science and Economic Research Inviting Papers/Articles for Current Issue Volume 5 No. 1 January 2020.
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