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- W2097611802 abstract "The jump sizes of interest rate in the credit market in China can be represented by ordinal numbers. The interest rate level, the industrial output growth rate, and the inflation rate are key factors that influence the jump sizes of interest rate. An ordered Probit regression model is established to forecast the jump sizes of interest rate. The explanatory variables of the model are the deviation from the mean of interest rate, the deviation from the mean of industrial output growth rate, and inflation rate respectively. The empirical study shows that the coefficient of the deviation from the mean of interest rate is insignificant, while the coefficient of the deviation from the mean of industrial output growth rate, and the coefficient of inflation rates are significant." @default.
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- W2097611802 date "2011-05-01" @default.
- W2097611802 modified "2023-10-18" @default.
- W2097611802 title "Forecasting jump size of interest rate with ordered Probit model" @default.
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- W2097611802 doi "https://doi.org/10.1109/icebeg.2011.5881522" @default.
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