A Study On The Interest Rate Behavior In China's Interbank Market Based On Complixity Theory

As a money market in which short-term funds transferred between financial institutions, interbank market is an important part of money market. According to its position in the money market, the interbank rates stand for the cost that the financial institutions acquire the wholesale capital, and display the relation between supply and demand without delay. To research interbank rate behavior is helpful to the central bank to carry on valid banking supervising and formulate rightful monetary policy. It is helpful to the commercial banks to match the assets and liabilities, and hedge interest rate risk. It is helpful to develop our country's interbank market and carry forward the reformation in interest rate marketization.Based on complexity theory, this dissertation analyzes the space evolutionary behavior and the time evolutionary behavior of interbank rates. In the space evolutionary behavior, the interbank rates have anti-persistence and scaling invariability. Using R/S analysis method and DFA method, this dissertation measures Hurst exponent and scaling exponent based on DFA calculation of daily logarithmic yields of interbank rates. Using DNA series analysis method, this dissertation analyzes the power law in the interbank rates. By the transformation from interest rate series to symbolic series, this dissertation analyzes the scaling invariability of interbank rates, calculates Power law exponents of symbols and keywords of symbolic series of interbank rates. In the time evolutionary behavior, interbank rates have nonlinear chaotic behavior. There are strange attractors in the fluctuation of interbank rates, which make the long term forecast impossible. Using phase space reconstruction technology, this dissertation calculates correlation dimension D, the maximum Lyapunov exponent and Kolmogorov entropy of daily logarithmic yields of interbank rates. The results show that there is nonlinear chaotic behavior in this system. There are attractors in the fluctuation of interbank rates. And the attractors are strange attractors with fractal dimension and susceptible dependence. Based on this, this dissertation studies effective factors to interbank rate behavior. Using EGARCH model, this dissertation analyzes the effects of the fluctuation of capital market, interest rates of international money market, the trading volume in interbank market to interbank rates. The results demonstrate that these factors have important effects on interbank rate behavior. Using impulse response analysis and variance decomposition method, the dissertation analyzes interaction between interbank rates. There are almost interactions between every two interbank rates. But the repurchasing rates have much effect than unsecured rates.Based on this, the characteristics of space and time evolutionary behavior of interbank rates are applied to risk measurement and forecasting. This dissertation proposes a method of measuring the risk of interest rate by Hurst exponent, and analyzes the risk of interbank rates. This dissertation applies phase space reconstruction technology to forecasting of interbank rates, and makes a forecasting of interbank rates with phase space near isometry method. Using complex adaptive system theory, this dissertation explores system emulation to interbank rate behavior, and establishes an echo model and Agent model of interbank market.