The Empirical Research On The Effectiveness Of Shibor As The Benchmark Interest Rate In Currency Mark

Interest rate marketization in China began in1996, today, the bond market interest rate and loan interest rate have been achieved marketization. So, depositing the liberalization of interest rate upper limit will be the last step of interest rate marketization reform in our country. And the establishment of the benchmark interest rate effectively is the prerequisite for monetary authorities to liberalize deposit interest rate control. In2007, the People’s Bank of China launched Shanghai Interbank Offered Rate, with a view to its training to become the benchmark interest rate of China’s currency market, so as to promote market-oriented interest rate reform, and the realization of China’s monetary policy from quantity type regulatory control to price change. Effective benchmark interest rate, which is the core of the financial market interest rate system, not only reflects rapidly the supply and demand of funds in currency market, but also provides pricing benchmark for interest rates and other financial products, therefore, the establishment of the benchmark interest rate has a significant meaning for our country. Currently Shibor has officially run for nearly eight years, how’s its operation? Whether the benchmark interest rate has been equipped with the basic properties? What are the shortcomings? And how to improve? This article will answer these questions in turn according to qualitative and quantitative analysis.First of all, based on the interest rate decision theory, empirical analysis of international benchmark interest rates and domestic research, the paper sums up the properties of effective benchmark interest rates: market, fundamental, economic conductivity and reasonableness volatility. Secondly, introduce the major rates in our currency market:one-year deposit interest rates, central bank bills issuance rates, inter-bank bond collateral repo rate and the National Interbank Offered Rate. And then analyze the shortage of these four kinds of interest rates, discuss the reasons why they can not be the benchmark interest rates. Then guide the Shibor, describes its operation mechanism, and analyze the feasibility of Shibor as benchmark interest rates from the view of theoretical rationality and practical. And then analyze the effectiveness of Shibor as the benchmark interest rate from the four properties through empirical research.The empirical results show that Shibor has been equipped the market and basic, Shibor has established the benchmark interest rate position in our currency market. However, there are still many shortcomings:the types of financial products which are priced with Shibor is gradually increasing, but there also exists big proportion to rise in space; To compared with bond market, the transaction of Interbank market is too small, thus affecting the validity of Shibor; however, the economic conductivity shows that the monetary policy conducts the macro economy with Shibor is not useful. And the reasonableness volatility shows that Shibor is stable, but when faced with IPO, the market shows significant irrational.Finally, the article analyzes the constraints of Shibor from its own operating mechanism and operation of the market environment, and propose the measures to enhance the effectiveness of Shibor:perfect price mechanism of Shibor, improve the banks’ability to offer pricing, increase market participants in interbank, deepen interest rate liberalization and improve the interest rate transmission mechanism.