Shanghai Interbank Offered Rate Effectiveness Research

In recent years, the interest rate marketization in China has been deepening the reform of the financialfocus, and focus on the interest rate marketization reform, is the choice of benchmark interest rateproblem. Since 1996 the central bank introduced interbank interest rate Chibor, the process of marketization of interest rate of our country is advancing. In 1997, the central bank released the inter bank bond trading and repo rate, in 1998 the issuance of treasury bonds and policy financial bondinterest rate and the interbank market is gradually liberalized,2013, China fully opened lower mortgage rates. Now, in addition to the deposit interest rate upper limit is still under control, China’s interest rate marketization reform basically completed. But in China the marketization of interest ratewill improve the occasion, guide the benchmark interest rate in the interest rate system becomes more and more important. The academic circles has on the benchmark interest rate of financial market to establish recommendations, including a one-year deposit and loan interest rates, interest rate, the interbank offered rate (Chibor), the inter-bank repo rate as the benchmark interest rate, but because of their own shortcomings are not suitable to become the benchmark interest rate on real significance.In order to establish the benchmark interest rate in China, the central bank on the basis of the London Interbank Offered Rate Libor, America federal funds rate, in 2007 launched the Shanghai interbank offered rate, or Shibor, and overnight,1 weeks, in January, March, June, September and 1 years 9term. Since the introduction of Shibor, it has gradually become the financial derivatives, floating rate bonds and interest rate swap pricing benchmark, the benchmark interest rate of money market status is established step by step, the development of our country’s financial market, and implementmonetary policy change from quantity type to price type promotion.Part of this theory on the formation of Shibor was analyzed and the operation mechanism, through the analysis and comparison of Shibor and Libor in common and different points. The empiricalanalysis is the focus of this paper, the first part of the study of Shibor as the benchmark interest ratebenchmark attribute. First analyzed the Shibor and currency markets several representative bill expires correlation between vield and interbank rates, results show that the correlation coefficient reached as high as 0.9, and a guide to the other interest rates; and then compares Shibor with repofixing rate, proved that Shibor is the basis of in the money market; Study on the stability of domesticstock market and foreign exchange rate of USD to RMB impact on Shibor, results show that the Shibor for domestic and foreign shocks stable performance, has initially possessed characteristics ofmoney market benchmark interest rate. The second part is to study the effect of Shibor as the benchmark interest rate from the point of view of the interest rate transmission mechanism of monetary policy, the monetary policy is by the amount model to price changes, namely, the intermediate target of monetary policy from monetary supply quantity of interest. Firstly, theconduction effects of Shibor in the currency market, and its impact on the stock market and bond market, finally study the effects of Shibor on macroeconomic variables in china. The results showed that, Shibor in the currency market conduction effect obviously, has guiding role better on other interest rates, and the capital market and the impact on macroeconomic variables is not significant.Because of China’s capital market segmentation phenomenon is obvious, the term product on the market from short to long return transmission is not smooth, with the benchmark status on Shibor in the capital market is not fully established, resulting in Shibor has less impact on the capital market.And since China is not fully market-oriented interest rates, deposit interest rate upper limit has not let go, although lower mortgage rates have been liberalized, but the policy lag and other reasons, the market has not made a greater response, these factors have led to the conduction effect of Shibor on macroeconomic variables is not obvious.This paper is divided into six chapters, the main framework is as follows:The first chapter:the background and significance of the study, and the possible innovation and insufficiency.The second chapter:the research on the benchmark interest rate and monetary policy transmissionmechanism of domestic and foreign scholars.The third chapter:introduce the generation of Shibor and operation mechanism, analysis andcharacteristics of running mechanism of interbank offered rate Libor London inter bank, comparison of Libor and Shibor in common and differences, and through comparison and analysis and evaluationof Shibor as the benchmark interest rate operation effect.The fourth chapter:analysis of Shibor as the benchmark interest rate of China’s money marketeffectiveness, from the market, the basic method of the theoretical analysis and empirical analysis,correlation and stability of Shibor effectiveness analysis. The market mainly by descriptive analysis;empirical analysis based on the first choice of effect of Shibor on rate debt, credit and financialderivatives pricing is generated, and then Shibor and repo fixing rate (select the correspondingperiod varieties) do cointegration, Grainger test; correlation analysis is the choice of the central rate of return tickets, bank between interbank offered rate and the inter-bank repo rate and Shiborcorrelation test maturity; relationship stability analysis is the study on Shibor and stock price indexand exchange rate, using ADF test, cointegration test and impulse response function.The fifth chapter:empirical research part second is the effect of Shibor on the interest ratetransmission mechanism, separately from the effects of Shibor on the money market, capital market and macro economy to test Shibor as benchmark interest rate on the market and the economy. The effect of monetary market, select Shibor and inter-bank repo rate, interbank interest rates were established Var model, analyze the influence of Shibor on two interest rates, finally to test the Var model; the conduction effect of capital market, respectively, of Shibor on the Shanghai stock index and the bond market (financial bonds, bonds with the rate of return) conduction effect; macro economy effect, the time lag of effect of monetary policy theory on macro economic indicators (GDP,net export) were used to study the effects of, the Var models are established, and pulse response function test.The sixth chapter:Based on the empirical results are summarized and put forward the corresponding policy recommendations.