Studies of Chinese bond markets an empirical approach
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| Format: | Abschlussarbeit Buch |
| Sprache: | German |
| Veröffentlicht: |
Frankfurt am Main
Lang
2003
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| Schriftenreihe: | Europäische Hochschulschriften
Reihe 5, Volks- und Betriebswirtschaft ; 2957 |
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| 245 | 1 | 0 | |a Studies of Chinese bond markets |b an empirical approach |c Anxing Wang |
| 264 | 1 | |a Frankfurt am Main |b Lang |c 2003 | |
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| 490 | 1 | |a Europäische Hochschulschriften : Reihe 5, Volks- und Betriebswirtschaft |v 2957 | |
| 502 | |a Zugl.: Eichstätt, Kath. Univ., Diss., 2002 | ||
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Bond market |x Econometric models | |
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Datensatz im Suchindex
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| adam_text | ANXING WANG STUDIES OF CHINESE BOND MARKETS AN EMPIRICAL APPROACH A
235530 PETER LANG EUROPAISCHER VERLAG DER WISSENSCHAFTEN CONTENTS
FIGURES TABLES CHAPTER 1 INTRODUCTION: CHINESE FINANCIAL MARKETS 1 ] 1.1
FINANCIAL INSTITUTIONS IN CHINA 1 1.2 CHINESE FINANCIAL MARKETS 4 1.3
REGULATIONS OF CHINESE FINANCIAL MARKETS 6 1.3.1 RESTRICTIONS OF MARKET
ENTRANCE 6 1.3.2 CASHFLOW RESTRICTIONS ON FINANCIAL INSTITUTIONS AND
CHINESE CITIZEN.. 8 1.3.3 REGULATIONS FOR FOREIGN FINANCIAL INSTITUTIONS
9 1.4 ARBITRAGE CHANCES IN CHINESE FINANCIAL MARKETS 9 1.5 BOND PRICE
FORMING AND INTEREST RATES DETERMINING 13 1.6 IMPORTANT NOTES 15 1.7
SURVEY OF EMPIRICAL RESEARCHES OF CHINESE FINANCIAL MARKETS 15 1.8
SURVEY OF RESEARCHES OF CHINESE BOND MARKETS ^ CHAPTER 2 INTEREST RATES,
INTEREST RATE MODELS: A SURVEY 19 2.1 BONDS AND INTEREST RATES 20 2.1.1
BONDS 20 2.1.2 INTEREST RATES . 21 2.1.3 FORWARD INTEREST RATES AND
INSTANTANEOUS FORWARD RATES 23 2.1.4 MARKET PRICE OF INTEREST-RATE RISK
24 2.2 EQUILIBRIUM MODELS FOR INTEREST RATES: ONE-FACTOR MODELS 24 2.2.1
MARKET DESCRIPTIONS AND MARKET PRICE OF INTEREST-RATE RISK 24 2.2.2
PRICING BONDS 26 2.2.3 VASICEK MODEL 26 2.2.4 CIR MODEL 27 2.3
EQUILIBRIUM MODELS FOR INTEREST RATES: TWO-FACTOR MODELS 28 2.3.1 FONG
AND VASICEK MODEL 29 2.3.2 LONGSTAFF AND SCHWARZ MODEL 29 2.4 TERM
STRUCTURE CONSISTENT MODELS 29 2.4.1 TERM STRUCTURE CONSISTENT MODELS:
ONE-FACTOR MODELS 30 CONTENTS 2.4.2 HO & LEE MODEL 31 2.4.3 HULL & WHITE
MODEL 32 2.4.4 OTHER ONE-FACTOR MODELS 34 2.5 TERM STRUCTURE CONSISTENT
MODEL: TWO-FACTOR MODELS 35 2.5.1 HULL AND WHITE-TWO FACTOR MODEL 35
2.5.2 HEATH, JARROW AND MORTON MODEL 35 APPENDIX 2.1 36 CHAPTER 3
APPROACHES FOR ESTIMATING TERM STRUCTURES 39 3.1 SURVEY OF APPROACHES
FOR ESTIMATING TERM STRUCTURE 39 3.1.1 TECHNIQUE APPROACHES FOR
ESTIMATING TERM STRUCTURE OF INTEREST RATES 40 3.1.2 EQUILIBRIUM MODEL
APPROACHES FOR ESTIMATING TERM STRUCTURE OF INTEREST RATES 41 3.1.3
APPROACHES OF CALIBRATING TERM STRUCTURE CONSISTENT MODEL 42 3.2 THE
STRATEGY FOR ESTIMATING SHORT-INTEREST RATE MODEL 43 3.2.1 USING MARKET
PRICE OF RISK 44 3.2.2 USING PRICING FORMULA OF BOND TO ESTIMATE MODEL
OF INSTANTANEOUS RATES OF INTEREST 44 3.2.3 NUMERICAL APPROACHES FOR
ESTIMATING MODEL OF INSTANTANEOUS RATES OF INTEREST 47 3.3 STRATEGY FOR
ESTIMATING CHINESE INTEREST RATE MODEL 47 CHAPTER 4 BOND PRICING AND
TERM STRUCTURE UNDER A FAMILY OF INTEREST-RATE MODELS 49 4.1 EQUILIBRIUM
MODELS OF INTEREST RATES 49 4.2 VASICEK-TYPE MODELS WITH MARKET PRICES
OF INTEREST-RATE RISK LINEAR ON INSTANTANEOUS RATES OF INTEREST 51 4.3
CIR-TYPE MODEL WITH MARKET PRICE OF INTEREST-RATE RISK Q=QR LA 58
CHAPTER 5 APPROACH AND EQUATIONS FOR ESTIMATING PARAMETERS 63 5.1
APPROACH DESCRIPTION 64 5.2 EQUATIONS FOR ESTIMATING PARAMETERS UNDER
VASICEK-TYPE MODELS 65 5.3 EQUATIONS FOR ESTIMATING PARAMETERS UNDER
CIR-TYPE MODELS 70 CHAPTER 6 CHOOSING INTEREST RATE MODELS FOR CHINESE
BOND MARKETS 75 6.1 MACROECONOMIC BACKGROUND 75 6.2 EXAMINING PRICES AND
YIELDS TO MATURITY 77 6.3 CHOOSING INTEREST RATE MODELS UNDER
VASICEK-TYPE MODELS 79 6.4 CHOOSING INTEREST RTE MODELS UNDER CIR-TYPE
MODELS 81 6.5 CONCLUSIONS 82 APPENDIX 6.1 ESTIMATING RESULTS UNDER
VASICEK-TYPE MODEL 83 APPENDIX 6.2 ESTIMATING RESULTS UNDER CIR-TYPE
MODEL 87 CHAPTER 7 ESTIMATING CHINESE TERM STRUCTURE 91 7.1 FORMULAE FOR
COMPUTING INSTANTANEOUS RATE OF INTEREST, PRICE OF ZERO- COUPON BONDS
AND TERM STRUCTURES 92 CONTENTS 7.1.1 FORMULAE UNDER V-MODEL 92 7.1.2
FORMULA UNDER C-MODEL 92 7.2 ESTIMATING CHINESE INSTANTANEOUS RATE OF
INTEREST 93 7.2.1 ESTIMATING CHINESE INSTANTANEOUS RATES OF INTEREST
UNDER V-MODEL... 93 7.2.2 ESTIMATING CHINESE INSTANTANEOUS RATES OF
INTEREST UNDER C-MODELS.. 94 7.2.3 ESTIMATING CHINESE INSTANTANEOUS
RATES OF INTEREST 96 7.3 EVALUATION OF ESTIMATE OF CHINESE INSTANTANEOUS
RATE OF INTEREST 98 7.3.1 EVALUATION OF ESTIMATES OF CHINESE
INSTANTANEOUS RATE OF INTEREST UNDER V-MODEL 98 7.3.2 EVALUATION OF
ESTIMATES OF CHINESE INSTANTANEOUS RATE OF INTEREST UNDER C-MODEL *. 102
7.3.3 SUMMARY 106 7.4 ESTIMATING CHINESE TERM STRUCTURE 106 7.4.1
ESTIMATING CHINESE TERM STRUCTURE UNDER V-MODEL 107 7.4.2 ESTIMATING
CHINESE TERM STRUCTURE UNDER C-MODEL 108 7.4.3 ESTIMATING CHINESE TERM
STRUCTURE 109 CHAPTER 8 LESSONS FROM STUDYING CHINESE BOND MARKETS 117
8.1 YIELDS TO MATURITY COULD BEHAVE IN DIFFERENT WAYS 117 8.2 TERM
STRUCTURE COULD BE DOWNWARD SLOPING AND SHIFT DOWNWARDS 118 8.3 MARKET
PRICE OF INTEREST-RATE RISK COULD BE ZERO 119 8.3.1 MUST INVESTORS BE
REWARDED FOR HOLDING RISK ASSET? 119 8.3.2 CHINESE FINANCIAL MARKET
CHARACTERS 120 8.3.3 RISK PREFERENCES OF INVESTORS IN CHINESE FINANCIAL
MARKETS 120 8.3.4 EMPIRICAL EVIDENCES 121 8.3.5 THE STORY 123 8.4
EVALUATING MY APPROACH: CASE STUDY 124 8.4.1 DATA DESCRIPTION 125 8.4.2
EMPIRICAL RESULTS 125 8.4.3 CONCLUSIONS 126 8.5 SUMMARY 126 8.5.1
FINDINGS APPLYING MY APPROACH 126 8.3.5 REMAINING PROBLEMS 127
REFERENCES (FROM WESTERN COUNTRIES) 129 REFERENCES (FROM CHINA IN
CHINESE) 134
|
| any_adam_object | 1 |
| author | Wang, Anxing |
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| dewey-full | 332.63/23/01595 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.63/23/01595 |
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| geographic_facet | China |
| id | DE-604.BV016500608 |
| illustrated | Illustrated |
| indexdate | 2024-12-23T16:09:27Z |
| institution | BVB |
| isbn | 3631507607 |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010198038 |
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| physical | XII, 136 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
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| publisher | Lang |
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| series | Europäische Hochschulschriften |
| series2 | Europäische Hochschulschriften : Reihe 5, Volks- und Betriebswirtschaft |
| spellingShingle | Wang, Anxing Studies of Chinese bond markets an empirical approach Europäische Hochschulschriften Ökonometrisches Modell Bond market Econometric models Bond market China Kapitalmarkt (DE-588)4029578-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4043212-9 (DE-588)4121262-9 (DE-588)4009937-4 (DE-588)4113937-9 |
| title | Studies of Chinese bond markets an empirical approach |
| title_auth | Studies of Chinese bond markets an empirical approach |
| title_exact_search | Studies of Chinese bond markets an empirical approach |
| title_full | Studies of Chinese bond markets an empirical approach Anxing Wang |
| title_fullStr | Studies of Chinese bond markets an empirical approach Anxing Wang |
| title_full_unstemmed | Studies of Chinese bond markets an empirical approach Anxing Wang |
| title_short | Studies of Chinese bond markets |
| title_sort | studies of chinese bond markets an empirical approach |
| title_sub | an empirical approach |
| topic | Ökonometrisches Modell Bond market Econometric models Bond market China Kapitalmarkt (DE-588)4029578-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Ökonometrisches Modell Bond market Econometric models Bond market China Kapitalmarkt Festverzinsliches Wertpapier China Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010198038&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000001798 |
| work_keys_str_mv | AT wanganxing studiesofchinesebondmarketsanempiricalapproach |