Cross-correlations between the P2P interest rate, Shibor and treasury yields

Abstract

Using interest rate market data, this paper employs a multifractal cross-correlation analysis (MFCCA) to study the cross-correlations between market interest rate, treasury yields and policy interest rate. Cross-correlation statistics and coefficients verify the existence of cross-correlations, and the MFCCA method quantitatively confirms the presence of multifractality between the three time series for both the long and short term. Small fluctuations are persistent, while large fluctuations are generally anti-persistent in the long term. The results of the rolling window analysis reveal that cross-correlation scaling exponents are sensitive to external shocks.