This paper proposes a new method for detecting abnormal movements of short‐term interest rates by using permutation entropy (PE) as a complementary early‐warning signal. Empirical results have shown that the PEs of the US T‐Bill rates plunged below the thresholds of normal movements before the financial crisis of 2007–2009, and the PE of 3‐month Euribor similarly dropped before the European sovereign debt crisis of 2010. Additionally, it was found that the PEs of spreads of both domestic interest rates and Libors dropped against the US T‐Bill rates below the thresholds in 2005. This evidence could serve as useful information for policymakers in crisis periods.

中文翻译：

---

短期利率的置换熵作为预警信号

本文提出了一种利用置换熵（PE）作为补充预警信号来检测短期利率异常变动的新方法。实证结果表明，美国国库券利率的市盈率在2007年至2009年金融危机之前跌破了正常波动的阈值，而3个月期Euribor的市盈率在2010年欧洲主权债务危机之前也有所下降。 ，我们发现，与2005年美国国库券利率相比，本国利率和Libors利差的市盈率均下降至阈值以下。这一证据可为危机时期的决策者提供有用的信息。