Analysis On The Operation Effectiveness Of Shibor As The Benchmark Interest Rate In China

The benchmark interest rate is a generally reference interest rate in the financial market so that other interest rates or financial products regards it as the fundamental for pricing.Therefore,it is extremely important to establishing a reasonable benchmark interest rate for the healthy development of China’s financial market.By and large,our country has achieved interest rate liberalization.Benchmark interest rate as the premise of interest rate liberalization means that to achieve marketable interest rate in the true sense,the market will have a universal referential and widely accepted benchmark interest rate.Look back on 20 years’reform of interest rate liberalization in China,there are three stages:China has established the basic idea of marketable interest rate reform in 1993,and completely liberalized the interbank interest rate in 1996,liberalized the interbank repurchase rate in 1997.More than 10 years later,China restarted the process of marketable interest rate reform,liberalized the lower limit of loan interest in 2013 and the upper limit of deposit rate in 2015 separately.The liberalization of the upper limit of deposit interest rate indicates that the liberalization of China’s interest rate has finished the last session,the interest rate in our bank system has basically lost the control of the central bank.Based on the operation effectiveness of the benchmark interest rate,this paper discusses the selection experience of the foreign benchmark interest rate,combined with the scholars’research,this dissertation compares some potential benchmark interest rates in our history,then summarizes the characteristics of the benchmark interest rate.According to the needs of the research problem and the characteristics of these attribute,the empirical part is divided into two parts:the research of benchmark interest rate attribute and its dynamic research.Statistical analysis methods were introduced to the empirical analysis of the benchmark interest rate attribute from the aspect of marketability,basicity,correlation and stability.In the second half of the dissertation,we study the short-term interest rate fluctuation of Shibor from the theory of term structure,and use the Vasicek model to describe Shibor’s short-term change process.This purpose is to analyze whether the dynamic change of Shibor meets the mean reversion and interest rate fluctuation stability.In order to completely demonstrate the Vasicek model,the GARCH model is introduced to construct the two-factor Vasicek model,in order to describe the time-varying problem.Furthermore,in order to illustrate the asymmetric fluctuation characteristics of interest rate,this paper concludes the Vasicek-GARCH(1,1)model,which makes the model much more closer to China’s economic environment.This dissertation makes a summary of the operation effectiveness of Shibor as a benchmark interest rate and points out the shortcomings,and makes some enlightening suggestions for the future development directions of Shibor.