The Chinese Interbank Repo Market: An Analysis of Term Premiums
Due to the lack of short-term government bills, the interbank repo market in China has been providing the best information about market-driven short-term interest rates since its inception. In this paper, we examine the behavior of the repo rates of various terms and their term premiums (i.e., the deviations from the pure expectation hypothesis). The work in this paper supplements the study by Longsta (2000), which reports support for the pure expectation hypothesis over the short range of the term structure using repo data from the US. While we find that the hypothesis is statistically rejected, the term premiums are economically small.
repo market term premiums the pure expectation hypothesis
Longzhen Fan Chu Zhang
Fudan University and The Hong Kong University of Science and Technology (HKUST) Fudan University and The Hong Kong University of Science and Technology (HKUST) Direct Allocation Gr
国际会议
西安
英文
1-30
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）