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Research on Term Structure of SHIBOR

Author: WangYouZuo
Tutor: RenZhaoZuo
School: South China University of Technology
Course: Finance
Keywords: Shanghai Interbank Offered Rate Term Structure of Interest Rates Term structure
CLC: F822.0
Type: Master's thesis
Year: 2010
Downloads: 212
Quote: 0
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Abstract


Shanghai Interbank Offered Rate from January 4, 2007 , run , marking the Chinese money market benchmark interest rate development work started . Shibor shouldering the interest rate market , many of the important goals of internationalization of the RMB , the transformation of monetary policy regulation , financial market standardization significance . To run for three years , in support of the central bank to promote and market the parties , not only as financial products more and more , and the very close relationship between the quoted interest rates and other market interest rates , initially with the market the prototype of the benchmark interest rate . The short end Shibor determined mainly refer to the same term government bond repurchase rate , medium - and long - term the Shibor with the corresponding period of the commercial release rate trend is almost exactly the same , commercial banks offer reflects the central bank , by the other interest rates in the comparison market indicators monetary policy is expected . Cointegration test further found that , in the long end Shibor rate ( 3 months , 6 months and 1 year ) and there are long-term stable equilibrium relationship between the one-year savings deposit rate , the consumer price index , the Shanghai Composite . Shibor various maturities of interest rate structure short and long term interest rates combination the expected empirical test of the theory found pure expectations theory can not be verified , between short-term and long-term interest rates , there is the term premium . Overnight interest rates for short-term interest rates to verify the expected assumption of the interest rate term structure , is still unable to meet the pure expectations theory , empirical conditional term premium by the level of short-term interest rates , the conditional variance of the short-term interest rates , as well as the different deadline spreads factors . Single factor diffusion model these overnight Shibor and 1 week Shibor showed a better ability to characterize and describe , but consider a GARCH effects in the diffusion term interest rate model , model fitting effect can be better improved . Thus Shibor fluctuations in interest rates , there is not only the level effect also exists GARCH effect . Taken together look , the better to characterize the effect of adding the GARCH effect the CKLS model for of Shibor short-term interest rates .

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CLC: > Economic > Fiscal, monetary > Currency > China's currency > Principle of policy and its elaborate
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