SHIBOR versus Repo Rate: the Choice of Benchmark Interest Rates in China's Monetary Market
| Main Author: | Cheng, Zhenxing |
|---|---|
| Format: | Report eJournal |
| Bahasa: | cmn |
| Terbitan: |
, 2018
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| Subjects: | |
| Online Access: |
https://zenodo.org/record/3517843 |
Daftar Isi:
- In this paper, according to the previous research and preliminary research results, this paper divides the repo rate and SHIBOR within one year into three parts. The first part includes two kinds of interest rates with a term of less than or equal to one month, which are recorded as term 1; the second part includes two kinds of interest rates with a term of 3-9 (including 3 and 9) months, which are recorded as term 2; the third part is two kinds of interest with a term of one year. Rate, recorded as term 3. In this paper, we use correlation analysis, chart analysis, VAR model and impulse response analysis to compare the benchmark of SHIBOR and inter-bank pledge repo rate in three periods. The results show that the benchmark of SHIBOR series interest rate is strong in term 1, but there are some defects. In term 2, the benchmark of repo rate is better than that of SHIBOR series. The main reason is that the repo rate is more stable and the transaction volume is larger, so the stability, market and continuity are better. Finally, in term 3, the fairness of both is poor, and the trading volume is obviously low, which makes both of them not suitable as benchmark interest rate.