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Chinese interbank rates and the relationship between the repo rate and the benchmark interest rate for the Selection of country

Author: ChengZhanXing
Tutor: PanGuanZhong
School: Yunnan University of Finance
Course: Finance
Keywords: Lending rate Repo rate Correlation Causality Shibor
CLC: F832.2
Type: Master's thesis
Year: 2010
Downloads: 298
Quote: 0
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Abstract


With the deepening of financial reform, the overall development of various financial markets very rapidly, as an important basis for market money market, practical significance of the research is particularly prominent. In this paper, drawing on the basis of relevant research, from a more specific perspective - China interbank rates and the relationship between the repo rate to start, more in-depth analysis of the structure of the money market and focused on the two interest rates relationships. Through systematic econometric analysis provides information on China's money market benchmark interest rate options and other findings have important practical significance. The inter-bank market interest rate is the benchmark interest rate of the financial markets, interest rates on the interbank market research study the term structure of interest rates throughout the financial markets guiding role, but also the financial market investment, financial product innovation has important guiding significance. In this paper, China's money market nearly a decade since the primary data, especially for inter-bank lending rate, the repo rate and the 2007 bond Shibor started a systematic empirical data analysis, including correlation, cointegration and causality test results in the current interbank rate of the money market and bond repurchase rate there is a strong correlation and long-term balance, but there is no obvious causal relationship. Then through the international money market benchmark interest rate chosen general principles and empirical tests discussed Shibor become China's money market benchmark interest rate possibilities, combined with China's current situation and the currency market some of the problems which exist to make policy-making advice. This paper is divided into six parts in general. The first part of this paper introduces the research background, purpose and research ideas. The second part introduces the domestic and foreign interest rates on the money market research trends and innovation of this paper. The third part of the basic theory of the currency market and the interest rate term structure theory to do a systematic summary and an overview of the overall structure of the money market. The fourth part focuses on the two markets: the interbank market and the repo market, especially for the development of China's two market situation and inadequacies were more fully explained and identified two markets its main interest rate varieties. The fifth part as a core part of this article, with the empirical analysis of the two way relationship between interest rates (correlation and causality), and analyzes its causes. Part VI discusses the money market benchmark interest rate, drawing on the successful experience of Libor, for our country to find a reasonable benchmark interest rate that the direction of the currency markets. Shibor also analyzed as a benchmark interest rate of the money market and made a perfect possibility Shibor suggestions.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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