Empirical Analysis Of Shibor As The Basic Interest Rate

In the mid-90s of the 20th century, China began to implement market-oriented reform of interest rates. After ten years, China have made some achievements in market-oriented reform of interest rates. But the overall process of marketization of interest rates are still relatively slow, especially in the cultivation of the Basic Interest Rate.The Basic Interest Rate is in a key position and plays a leading role in the financial market and interest rate system.With the advance of the market-oriented reform of interest rates and the development of financial innovation, many financial products, particularly fixed-income securities and financial derivatives, need the Basic Interest Rate as the pricing benchmark. In addition, the Basic Interest Rate is a goal which is conducted by the Government and the central bank.The regulation of the Basic Interest Rate would affect the economic behavior of enterprises and individuals.Shanghai Interbank Offered Rate(Shibor) is the Basic Interest Rate which is created by the central bank.Since January 4, 2007, how it has run?Whether is it good to assume the function of the Basic Interest Rate?This problem is of great practical significance.This paper examines Shibor's the status of the Basic Interest Rate from the relevance and the stability of the base properties.Test the relevance of Shibor and controlled interest rates and other market interest rates by the use of Granger causality test and other empirical analysis.Test the stability of exchange rate, stock indices to Shibor by the use of impulse response function methods and other empirical analysis.On the basis of the empirical analysis, this paper propose appropriate policy recommendations in order to further strengthen the position of Shibor.