Research On Structure And Evolution Of Global Interest Rate Market Based On Complex Network

At the present time, the liquidity of the capital market is increasing with the growing internationalization of trade. On the other hand, as the degree of openness of the countries is further improved, the linkage between the international interest rate market is growing as well. Since the reform and opening up policy and the accession to the WTO, China has kept contact with the international market more and more closely. At the same time, China also try to spare no effort to promote the interest rate market reform. Under such realistic situation, by reviewing of the classical literature, this paper found the important theoretical basis of the study of the relevance of the interest rate market through and found out the shortcomings of the traditional empirical methods, then introduced the complex network theory.The research about application of complex network theory has been through for more than ten years. Most of the domestic and foreign scholars have used it in the stock or stock index futures markets. The research on the application of complex network theory in the interest rate market is very rare, and the domestic research is almost blank. Through the in-depth comparison and discussion about the co-movement on finance market and the linkage on complex network theory, the author try to use complex network to observe the correlation structure between the interest rate markets. In this process, firstly the author made a reference to the method of building complex networks in the general research literature, and finally used the threshold method to construct the interest rate market network. In the threshold method, we analyze the different effects of the static and dynamic threshold. After constructed the global interest rate market network, we research the network’s structure model, topological features and network’s invulnerability. We find that the global interest rate market network is in line with the characteristics of small world network model, which is characterized by the clustering coefficient and average length path. In the observation of the network average degree in the time trend, we found that it have the obvious characteristics in the vicinity of 2009. At this point, we also use another group of "day rate" data as verification, and found that the results are consistent with it. Through the comparison of these two groups of data, we also find that the interest rate market has the characteristics of self similarity. Finally, we combine the actual analysis of the global interest rate market in the United States before and after the U. S. sub loan crisis- the process of network structure changes.Further more, this paper makes a deep research on the clustering properties in the community structure of the interest rate market. The n-clique concept, which is based on the reachability of condensing subgroup, is introduced. We have carried out the 1-clique of the national structure analysis of the network and 2-clique of the national component analysis. In these two aspects, we have some key findings: Firstly, the linkage of the interest rate in the region has a certain distribution on the regional space. Secondly, this linkage in the countries also has a certain degree of distribution characteristics on the economic development. Based on these two phenomena, we construct the geographic space matrix and economic space distance matrix, then use correlation test between the interest rate correlation matrix and these two matrix respectively. The results show that the correlation between the two rates is not significant, we think that the correlation is based on other factors. The effect of the distance between the economic space and the interest rate is that the linkage between the two countries increases with the decrease of the economic space distance.At the end of this paper, we make a summary and evaluation of all the work, and put forward suggestions on the current capital opening process and interest rate marketization process about China, and point out the shortcomings of this paper and the next research direction.