Multifractal Properties of Interest Rates in Bond Market

In the article, we investigated the multifractal properties of interest rates, which are the core variables in bond market. In a large sample including nearly all the interest rates in China bond market, we found a clear empirical evidence of long-range correlations and multifractality. Furthermore, by tracking the shape of multifractal spectra, we found the dynamics of large price fluctuation is significantly different from that of the small ones, and the spectrum widths of interest rates are related the maturity terms and market development stage. Finally, we destroyed the long-range memories by shuffle the data to detect the underlying mechanisms of multifractality and identified the non-linear temporal correlation to be the major cause.