Research On Term Structure Of SHIBOR

4th Jan. 2007, Shanghai Interbank Offered Rate (short as Shibor) was introduced in the matket, which indicatided that Chinese benchmark interest rate would be developed officially. Shibor is of great importance, considering marketization of Chinese interest rate, internationalization of RMB, mutation of monetary policy and regulazation of financial market. After three years, Shibor has already been rudiment of the benchmark , because it is related with other interest rates and market yields closely, also more and more financial instruments are pricing under shibor, with the promotion from People's Bank of China.The short end of Shibor are quoted by banks with reference of Repo Rate, while the mid-long term Shibor reflect expectation of central bank's monetary policy and consistent with issue rate of central bank's note. It is found by co integration test that 3M, 6M and 1Y Shibor have stable relationship with official deposit rate, CPI and Shanghai Sock Exchange Composite Index,Pure expectation hypothesis is rejected by empirical research of Shibor, and term premiums always exist. Even Overnight Shibor is chosen as short rate, pure expectation hypothesis still can't be approved. Term premium are determined by the level of short rate, conditional variance of short rate and slope of term spreads.Single-factor interest rate models are appropriate in describing Overnight and 1W Shibor, but if adding GARCH into the diffusion part, the result would be better. Not only level effect but also GARCH effect exists in Shibor's fluctuation. In general, CKLS model with GARCH is the best model for Shibor in this study.