The Empirical Study Of Shibor As The Benchmark Interest Rate Of Monetary Market In China

As an important part of finance system reformation, China began to implement interest rate liberalization twenty years ago. By far, China has made some achievements in interest rate liberalization, for example, the inter-bank lending rates was liberalized in1996and inter-bank bond buyback interest rate in1997, lending rates in2013, and so on. But deposit rates are still under controlling, which could harm economic development, so many scholars advocate letting the regulated rates free. In the process of opening up interest rate, the financial market need benchmark interest rates to dominate the interest rate system. The basic interest rate is in a key position and plays a leading role in the financial market, because many financial products, particularly fixed-income securities and financial derivatives need the basic interest rate as the pricing benchmark. In addition, the benchmark rate is the operating goal of the monetary policy, which the central bank through controlling it to affect the real economy.Until the central bank of China proposed the Shanghai Interbank Offered Rate (also called Shibor for short) on4th January2007, it gradually became the base interest rate in financial market of china. But how it has run? Whether it has the attribute of the benchmark interest rate? How it plays a intermediary goal in the monetary policy transmission mechanism? These questions have great realistic meanings and it is the researching point of this paper.This paper examines Shibor’s status of the basic interest rate from the relevance and the stability, and so on. In addition, this article is focused on the perspective of the interest rate transmission to analyze Shibor’s benchmark attributes. The method of empirical analysis in the article are mainly used the Granger causality test as well as vector error correction,cointegration test and so on.Through the empirical analysis Shibor as the benchmark rate, we know there are many factors affecting the operation of Shibor. So the author make a qualitative of current economic problems which affect Shibor playing its benchmark role, and propose appropriate policy recommendations in order to farther strengthen theposition of Shibor.