| The development of Chinese monetary market is one of the most important constitutes during the process of interest rate liberalization in China. It serves as a platform to eliminate unbalanced liquidity distributing phenomenon in a society, and to improve the utilization efficiency for one of the most common financial resources—money. Meanwhile, the sophisticated monetary market can serves the macroeconomic regulatory operations of monetary authority as a substantially supportive tool, and the responses of interest rates generated in the monetary market to those operations can promptly reflect the effectiveness of monetary policy behaviors. Since1990s of last century to now, the interest rates in Chinese monetary market, which are completely decided by institutional market participants now, have gotten away from administrative restrictions, also can present the running stance of our financial market and macro-economy efficiently. Since our interest rate liberalization process haven’t completely finished, the main participants of the monetary market are commercial banks, of which investing and lending movements are still suffering some so ft-constraining which make the interest rates in monetary market just a local equilibrium rather than the generalized equilibrium. Due to the immature mechanism of our monetary market, the general movements of interest rates in this market still suffer from the influence of some structural drawbacks in the financial market, which leads to the uncertainty of benchmark interest rate as well as the current multi-candidates phenomenon for the benchmark interest rate, all of which make the financial institutions hard to carry out their relevant businesses such as interest rate risk management and financial products pricing efficiently because of the missing of a generally accepted benchmark interest rate system On the other side, the volatility of interest rates in monetary market will be influenced significantly by the monetary policy behavior conducted by People’s Bank of China (PBC), which would bring about a big shock to balance sheet management of financial institutions. Based on the analysis of the dynamic movements for the short-term interest rates in Chinese interbank monetary market, this research focus on these short-term interest rates’ potential of being the benchmark interest rate in this market, and also focus on studying the features of PBC’s monetary regulations with quantitative tools under the framework of macro prudential supervising framework.The main contents of this paper consist of the quantitative analysis for both the characteristics of short-term interest rates in interbank monetary market of China and PBC’s monetary policy stance by using the methods of GARCH model with shewed-t probability density function, volatility calculation by realized variation theory, non-stationary discrete choices model, non-stationary factor analysis and data mining technique and so forth. In accordance with the situation of our interbank monetary market and the monetary policy regulations under PBC’s macro-prudential supervision scheme, this research aims to shed a light on the benchmark interest rate stance of short-term interest rates in monetary market as well as their price movements and volatility features, also the adjusting acts for required reserve ratio and one-year loan and deposit interest rate by PBC. The results formed in the paper are helpful to the marketers’precisely commanding of the monetary market short-term interest rates movements as well as the commanding of the modification behaviors by PBC’s monetary policy, and can provide the financial institutions with a benchmark interest rate reference for their businesses conducting such as financial products pricing, interest rate risk management and hedging. And also, the results can provide the monetary authority with a theoretical support for its controlling and leading short-term interest rates movements in the monetary market as the market’s most important participant. |
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