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.

中文翻译：

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P2P利率，Shibor与国债收益率之间的相互关系

利用利率市场数据，本文采用多重分形互相关分析（MFCCA）来研究市场利率，国债收益率和政策利率之间的相互关系。互相关统计量和系数验证了互相关的存在，而MFCCA方法定量地确认了长期和短期三个时间序列之间存在多重分形。较小的波动是持久的，而从长远来看，较大的波动通常是持久的。滚动窗口分析的结果表明，互相关缩放指数对外部冲击很敏感。