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Chinese short-term money market interest rate fluctuations dynamic weighted estimates

Author: XuZuo
Tutor: WuYaoHua
School: University of Science and Technology of China
Course: Probability Theory and Mathematical Statistics
Keywords: SHIBOR R07D Volatility Estimated time domain Frequency domain estimation Dynamic Integration
CLC: F822.0
Type: Master's thesis
Year: 2009
Downloads: 76
Quote: 1
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Abstract


China's money market has long been the lack of a benchmark interest rate. Launched in 1996, the national interbank lending rates of CHIBOR hasn't been able to become a benchmark interest rate, is not so far. On January 4, 2007, the Shanghai interbank offered rate as officially be unveiled the prototype of the benchmark interest rate in our country, on a journey to becoming the benchmark interest rate again. SHIBOR is at the early stage of development at present, is still more or less influenced by other interest rates, such as pledged repo transaction between bank interest rates. In this article, we pledged repo transactions between the Banks trading volume is the largest, the most frequent short-term trading R07D interest rate, the repurchase rate, 7 days and 7 days of SHIBOR is analyzed, can see guide the relationship between them. We will introduce a kind of the time-domain estimation and frequency domain estimation of dynamic integration of the volatility estimation method, and use it to R07D volatility analysis, at the same time and several other volatility estimation method of comparison, get a good result.

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