  There are more than eight hundred interest rates published in China bond
market every day. Which are the benchmark interest rates that have broad
influences on most interest rates is a major concern for economists. In this
paper, multi-variable Granger causality test is developed and applied to
construct a directed network of interest rates, whose important nodes, regarded
as key interest rates, are evaluated with inverse Page Rank scores. The results
indicate that some short-term interest rates have larger influences on the most
key interest rates, while repo rates are the benchmark of short-term rates. It
is also found that central bank bills'rates are in the core position of
mid-term interest rates'network, and treasury bond rates are leading the
long-term bonds rates. The evolution of benchmark interest rates is also
studied from 2008 to 2014, and it's found that SHIBOR has generally become the
benchmark interest rate in China. In the frequency domain we detect the
properties of information flows between interest rates and the result confirms
the existence of market segmentation in China bond market.
