Dissertation > Excellent graduate degree dissertation topics show

Forecasts and Analysis of China’s Interbank Interest Rate

Author: SuXianMeng
Tutor: RenYanYan
School: Shandong University
Course: Quantitative Economics
Keywords: SHIBOR ARIMA Model Event Study Reserve Requirements Rate
CLC: F822.0
Type: Master's thesis
Year: 2011
Downloads: 211
Quote: 0
Read: Download Dissertation

Abstract


Started from the year 1986, interbank rate market in China has become the unified interbank rate market. Then it was deeply reformed before SHIBOR began operating since October 8th 2006. SHIBOR was officially released, which gradually grew to be a mature interbank market. Meanwhile, interbank rate has aslo become one important benchmark interest rate of money market, which works as an important direction for both capital market and real economy. Comprehensively and deeply understanding of interbank rate can insure central bank make effective financial supervision, lead financial institutions to implement reasonable management of asset and liability, avoid some related risk of interest rate, and ultimately promote the further development of China’s interbank market.As to the study of interbank rate, so much work has been done by both domestic and foeign scholars. However, most of the research are analysis basing on the interest rate of specified period and particular type.This paper uses all the data since SHIBOR bagan operating (daily data for 1,068 and monthly data for 52). Based on the time series analysis and event study method, this paper explores whether interbank rate responses obviously when central bank raise the required required reserve ratio, so that we can comprehensively analyze the fluctuation feature in the face of important events.The structure of this paper goes as follows:The first chapter introduces the background and significance of chosing this topic and the main study methods. Then, the relevant theories are presented, as well as the study results of domestic and foreign scholars for this topic. In chapter three, making use of daily and monthly data, ARIMA model is applied to analyze proper model for interbank rate which has different terms and under different data samples, aslo, the internal fluctuation law is analized. Based on chapter three and applying event study method, chapter four carries out the analysis as for wether interbank rates are interacted by the money policy adjustment of central bank, which demonstrated wether interbank rates can work as the indicator of money market. Therefor, this study can present the fluctuation feature of interbank rates more comprehensively. The last chapter will conclude the empirical outcoming and proposes some policy suggestions.The empirical outcome basing on ARIMA model show that:(1) Using daily data, interbank rate sequence which differs in term is suitabe for different models, in which interbank rate of four short terms can get better results using ARMA model. At the same time, interbank rate of the four longer terms can aslo receive better performance when applying ARIMA model. (2) When monthly data is involved, the model differs little by which interbank rate sequence of different term is suited. Interbank rate of three-month term is suitable for AR(2) model, and other interbank rate of different term is suitable for AR(1) model. (3) The law underlying in fluctuation of different terms is different. The interbank rate which has short term is mainly used for satisfying the short-term demand of financial institutions, which comes out with the up and down regular fluctuations, while interbank rate with longer term expresses as a certain trend, which provides basis for the mid and long term financial planning for financial institutions.The measurement results of event study show that:(1) When required required reserve ratio is raised, interbank rate with longer term reacts more sensitive than which with shorter term. (2) Announcement and implementation of raising required reserve rario have different influences on interbank rate, and interbank rate responds more sensitive with implementation of events. (3) The announcement leads to over response when the policy of raising required required reserve ratio is released, which is due to the information leakage in advance and irrational panic of market. (4) The significance of the abnormal returns ratio of interbank rate reveals most obvious in the event day during the event period, which is gradually weakend to the two sides.The innovation of this paper is:(1) For the analysis of data from SHIBOR, this paper adops the whole data sample, and carry out analysis of sequence basing on daily and monthly data seperatel. The comprehensive data ensure avoidance of limitation and one-sidedness in previous analysis. (2) Attempting to analyze the impact of raising reserve requirements rate on interbank rates using event study method. So far, there is little study on the fluctuations of interbank rate by this method. Applying event study, analysis of fluctuations of interbank rates can help comprehensively understand fluctuations characteristics of sequences.

Related Dissertations

  1. Analysis and Prediction of the Epidemic Situation of Schistosomiasis in Qianjiang City,R532.21
  2. Quality management in the network monitoring application performance study,F626
  3. Research on International Express Market and Its Cyclical Characteristics,F224
  4. Jiangxi energy demand forecasting model and econometric analysis,F426.2
  5. Study on Spatial and Temporal Distribution of Wastewater Quality of Three Gorges Reservoir Area,X703
  6. Characteristics Analysis for DNA Sequences of the Influenza Virus Based on the Time Series Theory Methods,R346
  7. The GEM IPO underpricing Studies based on Shibor,F224
  8. Empirical Research on the Influence of Short-term Financing Bonds Spread in China,F224
  9. China 's regional economic disparities research,F127
  10. Using the Lee-Carter Method to Forecast Urban China Mortality,F224
  11. Research on the Coal Transport by Ro-Ro Turn Dam Transportation of Hung-shui Ho,U695.2
  12. Establishing a Syndromic Surveillance System for School Emergency of Health in Zhuhai,R183
  13. The Research on the Effect of Chinese Monetary Policy to Stock Price,F822.0;F832.51
  14. The Study of the Anomalistic Demand Risk of Supply Chain,F274
  15. The Analysis and Forecast of the Resident Consumption of Economic and Technology Development Area of DaLian,F127
  16. Research on the China’s Inflation Forecasting Based on the ARIMA Model,F224
  17. Volatility based research SHIBOR,F224
  18. Term Structure of Credit Spread and Credit Spread Option Pricing Based on a Jump-diffusion Interest Rate Model,F275;F832.51
  19. The Study on Exchange Rate Exposure of Chinese Listed Company of Textile and Garment Industries,F832.6
  20. Empirical Study of China 's benchmark interest rate shibor,F224
  21. Do IPOs Have an Impact on the Other Stocks?,F832.51

CLC: > Economic > Fiscal, monetary > Currency > China's currency > Principle of policy and its elaborate
© 2012 www.DissertationTopic.Net  Mobile