The Research Of Shanghai Interbank Offered Rate (Shibor)as Our Benchmark Interest Rate

The benchmark interest rate plays leading role in the money market interest rate system, is the most representative interest rate. It is doing an important job in the development of monetary market.In the long run, China launched Shibor in2007as the benchmark interest rate is a key step in the process of China’s market-oriented interest rate. It is the inherent requirement of the socialist market economy. It can change the pattern of China’s monetary policy. The benchmark interest rate is the most basic funds price, acting as the bonds of the whole financial market.In the process of China’s market-oriented interest rate, tried to let bond repo rate or interbank interest rates as the benchmark interest rate. But for various reasons, they are unable to successful. In2007, The People’s Bank of China launched Shibor as the benchmark interest rate to cultivate and improve. While the benchmark interest rate in China’s monetary market remains at the cultivation and development stage. In order to avoid making the same mistakes, the artical analyze whether Shibor be the benchmark interest rate on the money market.This paper starts from the definition of the benchmark interest rate, and with the reference to the general principles and selection experience of the benchmark interest rate of the international money market, deeply analyzes the basic framework, the introduction meaning and role of Shibor. Make the theoretical preparation for next empirical tests.This paper has seven chapters:The first chapter is the preface of the paper, which introduces the research background and significance, research ideas and methods, main contribution.The second chapter is literature review. First, the artical get a reviewing of the foreign research about benchmark interest rate. Then, it summarizes from domestic exploration and research on the benchmark interest rate in recent years. At last, pointing out the advantages and shortcomings.The third chapter is theoretical part. First, the artical gives the definition of a benchmark interest rate and the general characteristics based on the previous studies. Second, according to China’s actual situation, the article expresses the need for the country to determine the benchmark interest rate. Finally, It summarizes a few much mature international benchmark interest rate and characteristics.The fourth chapter is the theoretical comparative analysis and basic information introductory section. The article lists the advantages and disadvantages of a few important interest rates in China money market as the benchmark interest rate. More, the article briefly delivers exploring process about China’s market-oriented interest rate and the benchmark interest rate. Then it describes the main principles and international experience of establishing the benchmark interest rate on the money market. The article introduces the basic information about Shibor. Finally, it makes a brief analysis of Shibor as the market benchmark interest rate advantage.The fifth chapter is introductions about empirical test methods section. These methods include Correlation analysis, ADF test, Granger causality test, VAR model, the impulse response.The sixth chapter is empirical test section and the most important part of this paper. It takes some empirical tests about the benchmark interest rate of the four basic attributes. Using a variety of testing methods, such as correlation analysis, ADF test, cointegration test, Granger causality test, VAR model, impulse response,The seventh chapter is the section about conclusions and recommendations. According to the four reasons, we can think that Shibor can be China’s benchmark interest rate. The four reasons are followings:the need to establish the benchmark interest rate in China, the experience of developed countries, comparison of the theoretical analysis and the judgment from empirical test. Then it points out the difficulties and shortcomings when the Shibor encounters in the process of operation. According to the Shibor’s difficulties and deficiencies, it advances some suggestion for development and improvement.Finally, the conclusion is the following two aspects:The Shibor basically can be a benchmark interest rate in China money market. China’s interest rate market-oriented is slowly, one of the most important reasons is lack of a benchmark interest rate for the job. So the benchmark interest rate is a key step in the process of China’s interest rate market-oriented. Many developed countries have chosen the interbank interest rate as the benchmark interest rate. Shibor gathers some advantages from developed countries mature benchmark interest rate. China has selected several interest rate reference indexes as a benchmark interest rate before Shibor, but without success. Shibor also has more advantages than other interest rates in China money market. To some extent, it makes up for their shortcomings. Although, Shibor as China’s benchmark interest rate still exists some shortcomings. Shibor is only a few years from launched until now. After all, it is still very young. In essence, there is good room for improvement and development. With the central bank’s strong supports. Shibor can develop as soon as possible, is expected to become a mature benchmark interest rate early. By judgment from empirical tests, four benchmark properties are good.the correlation between Shibor and the representative variable of monetary policy is negative,but not significant enough.Shibor still has some shortcomings. The quoted price quality and authenticity is not enough. Shibor is calculated form each quoted bank’s quotes and to a great extent depends on the level of professional and moral level of the quoted bank. Compared with banks in developed countries, Professional level of China’s bank has a large development space. The amount of the transaction is small and time limit species are only a few. Shibor has weak ties with the monetary policy, the effect is not very good. Shibor doesn’t have prominent indication to the economic and financial.It can’t be effectively acting on China’s consumption and investment. Therefore, Shibor need to improve. And at the last, the paper gives some policy recommendations.