The Research On Benchmark Test For Different Term Structure Of Shibor

Benchmark interest rate is the heart of interest rate of mechanism, an important mean of macroeconomic regulation to central bank, plays an important role in a country's financial running. SHIBOR, as China's benchmark interest rate, is released by People's Bank of China on October 9,2006, to promote the interest rate liberalization, increase the autonomy pricing power of financial institutions, guide pricing for money market and improve the monetary transmission mechanism. Since the operation of SHIBOR, more and more discussion about the suitability of SHIBOR as benchmark interest rate has been done. With the increasing degree of the interest rate liberalization and the growing attention of financial subjects, short-term financing bonds, corporate bonds, floating interest rate policy of financial bonds, discount, rediscount bills, interest rate swaps and so on have widely used SHIBOR as benchmark to price, its benchmark is continually improved. Which term of SHIBOR is more reasonable as benchmark interest rate? SHIBOR as the important control variable to raise the effectiveness of macroeconomic regulation, it's urgency to choose the reasonable term of benchmark interest rate. Therefore, the research on the benchmark of different term SHIBOR is important to improve the effectiveness of macroeconomic regulation.Based on the background of SHIBOR launched by Central Bank, this article is based on the benchmark interest rate'benchmark of marketability, foudation, and relevance, compared the reasonability of SHIBOR and the other intrest rate as the benchmark interest rate, test the benchmark of different term SHIBOR to determine the reasonability of SHIBOR as the benchmark interest rate, and determine the term of benchmark interest rate. And from the perspective of risk to further research the benchmark of SHIBOR, after the statistical test of different structure SHIBOR, the model on describing the risk of SHIBOR has been established, and comparing the risk of different structure SHIBOR has been done, trying to provide some reference for fixing the China's benchmark interest rate and improve the effectiveness of macroeconomic regulaton.Finally, the research on benchmark has concluded, from the point of marketability, foundation, and relevance, SHIBOR is better as benchmark interest rate than CHIBOR and the rate of Bond Collateral Repurchase. Compared the benchmark for different structure of SHIBOR, overnight SHIBOR plays best basis in short-term SHIBOR, while middle-term SHIBOR has not played the role of benchmark yet, but six month SHIBOR is totally better than other middle-term SHIBOR. From the risk, SHIBOR is suitable as benchmark interest rate because of low risk, but risk is fluctuating, and the risk difference between middle-term SHIBOR is not big, the risk of middle-term SHIBOR is lower than short-term. Therefore, the middle-term SHIBOR is more reasonable as benchmark interest rate.