基于门限协整的长短利率关系研究

作者：徐小华; 陈正旭; 何佳

来源：统计研究, 2006, (12): 62-65.

DOI：10.19343/j.cnki.11-1302/c.2006.12.014

• 协整
• 利差
• 门限协整
• MTAR

This paper concentrates on the relationship between the short and the long interest rate by regression and cointegration.It was found that they have same direction to each other,and the spread can explain some variant of the long interest rate.The granger cointegration relationship was not found by ...

• 单位
  香港中文大学; 上海交通大学