A Research On Transfer Discount Pricing Method On The Basis Of SHIBOR

This paper first study the price formation mechanism of the bill transfer discount, hoping to seek the roles of SHIBOR in between and prepare for the modeling process. Then we study the pricing method on the basis of SHIBOR and build up the Transfer Discount Pricing model on the basis of SHIBOR. At last, we analyse how to make better use of this pricing model in bill pricing practial opertions.This paper pays attention to the integration of theoritical analysis and empirical analysis,every theoritical analysis results are then deeply checked by economic instruments. With respect to data, this paper chooses the interval from2008to2010to make sure the sample covers the whole price cycle from low to high. To ensure the stationary and consistency of the time series, we make logarithm transform and weighted average changes to every variables. With respecct to the analyse method, for the variables are all zero or first order stationary, we use E-G two-step method to do the cointegration analysis and error correction model analysis.Through study we get the following rerults:The price of bill transfer discount,3M SHIBOR and discount proportion are cointegrateBecouse the bill transfer discount business have both the property of financing business and credit business, so the price of bill transfer discount is influenced by the money market rates and the credit quota. Empirical test shows that3M SHIBOR is non-stationary, the price of bill transfer discount and discount proportion are first-order stationary. So we make logarithm transform to this three variables. All the logarithm transformed series are integrated of order one and can use multi-variable E-G two-step method to do the cointegration test. The test result shows that the price of bill transfer discount,3M SHIBOR and discount proportion are cointegrate, and the Transfer Discount Pricing model is as following:LOG (TRANSFER PRICE)=0.615+0.99LOG (SHIBOR3M)-0.19LOG (DISCOUNT PROPORTION)The coefficient of3M SHIBOR is0.99, means that if money market price changes1%,the bills transfer discount price will change0.99%; The coefficient of discount proportion is-0.19, means that the more constrain on the credit quota (the lower discount proportion),the higher bills transfer discount price; the coefficient of3M SHIBOR is obviously higher then the coefficient of discount proportion, means that money market rate have more influence on the transfer discount price.Further, analyse the short-term fluctuation of transfer discount price, we get the transfer discount price ECM model:Δlog(TRANSFER PRICE)=0.88Δlog(shibor3m)-0.24Δlog(DISCOUNT PROPORTION)-0.24Ret-1Above equation shows that SHIBOR interest rates affect transfer discount price change in the proportion of0.88;discount proportion negatively affects transfer discount price change in the proportion of0.24;the disequilibrium error negatively affects transfer discount price change in the proportion of0.24.In traditional point of view,the bill repo price is only related to3M SHIBOR, because the bill repo have the property of financing not credit transfer. But this reseacher shows that the bill repo price and the discount proportion are cointegrate. This means although that bill repo do not have the function of transfer credit quota, it is still affected by the credit quota. After the multi-variable cointegration analysis of bill repo,3M SHIBOR and discount proportion, we get the following bill repo pricing model:Log (repo price)=1.316*log(shibor3m)The coefficient of3M SHIBOR is1.316, means that SHIBOR interest rate change may cause more quick change of bill repo price.Based on the above research results, this paper get the following conclusion:1.Bill transfer discount business is suitable to be priced on the basis of SHIBOR. This paper shows that bill transfer discount buy out and repo are all cointegrate with the discount proportion, and are suitable to use SHIBOR adding points for pricing.2.Further improve the SHIBOR system. Although this paper proves that the price of bill transfer discount,3M SHIBOR and discount proportion are cointegrate, we can’t use SHIBOR adding points pricing method directly,the reason is that the cointegration equation is in log form. The underling reason is that3M SHIBOR is not a stationary series,and can only be stationary after logarithm transform. So next step we should improve SHIBOR system, make the middle and long term SHIBOR to be a first order stationary series. At that time, bill transfer discount and bill repo pricing model can directly price using SHIBOR adding points.This paper’s innovations are:1. The first to find the variable to measure the scale of credit quato and design the transfer discount pricing model.The domestic measure for the scale of credit quato in transfer discount pricing model is not reliable, so the existed transfer discount pricing models are not reliable too.This paper is the first in China to find the variable to measure the scale of credit quato in transfer discount business through the variable discount proportion, and use this variable with money market factors to design transfer discount pricing model. This method smashes the bottlenecks of domestic research in transfer discount pricing and start a new platform for domestic transfer discount pricing researches.2.The first to design transfer discount pricing model based on SHIBOR rates. Because in China the variable to measure the scale of credit quato in transfer discount business have’t been found, the domestic research for transfer discount pricing model based on SHIBOR rates is still in qualitative or theoretical stage, the quantitative research remains in the part of money market factors. This paper integrates the variable of money market and the variable of credit quato, it’s the first time in China to find the discount pricing model based on SHIBOR rates, thereby point out the way for the domestic research of transfer discount pricing.3. The first to point out that bill repo is also affected by the scale of credit quato. For a long time, all the domestic researches consider bill repo as a financing tool without the function of credit quato transfer, so the bill repo business is only affected by money market rates. But our research shows:bill repo business is also affected by discount proportion. Since bill repo business is also affected by the scale of credit quato, the research on bill repo pricing can not merely focus on3M SHIBOR, discount proportion should also be included. This analyse result is first suggested, and shows a new direction for the research on bill repo pricing.