The Transmission Of Interest Rate Fluctuations And The Sino-us Comparative Study

The studies of the relationships between different periods of interest rates are often from the view of the term structure of interest rate, but the long-term changes in interest rates and the complex relations with the benchmark interest rate have been need to expand the ways of studying interest rate. By taking the inter-bank rate and benchmark interest rate as objects within the recent rate cycle in China and America, the purpose of this dissertation is to analyze the fluctuation-transitivity pattern between the interest rate fluctuations in various terms with unit root tests, Granger causality test and the MATALAB polynomial curve-fitting tool, explore the impact of monetary authorities adjustment on the interest rate to market interest rates, and to compare different situations between the two countries.This dissertation shows that: during the period of interest rates rising the American inter-bank rates within one month forecasts the variation of benchmark rate and the rate fluctuation reflects that it can transmit from long-term to short-term regularly, and the federal fund target rate has the feature of lag in the rate fluctuation transitivity process; due to the crisis market interest rates significantly have abnormal fluctuations and it influence the lag effect during the decline period. In the whole interest rate cycle, SHIBOR of three-month and longer term fluctuates with the variation of one-year deposit rate of the People's Bank of China's benchmark rate, without any advance forecast sign in short term observation, and the benchmark rate adjustment has the feature of in-advance in rate fluctuation process, with initiative in affecting interest rate market. The lag effect occurs in inter-bank rates of the two countries when the benchmark interest rates changed has some difference and SHIBOR is more delay than USIBR.The characteristics of inter-bank rate transmission will help researchers and managers to understand the relations in the movements of money market interest rate better. It's also good for the evaluating the effect of the monetary authorities' adjustment and provides the wider basis for studying the interest rate cycle characteristics.