Bank Of China Interbank Offered Rate And The Relationship Between Repo Rate And The Choice Of China's Benchmark Interest Rate Discussion

With the deepening of financial reform, China's overall development of various financial markets very rapidly, the practical significance of their research particularly as an important basis for market money market. This paper studies the reference, based on the perspective from the more specific - the inter-bank lending rate and the repo rate relationship of starting a more in-depth analysis of the structure of our money market, focused on the interest rates between the two relationship, through a systematic quantitative analysis, given the choice of Chinese money market benchmark interest rate has important practical significance of the findings. Inter-bank market interest rate for the whole financial market, one of the benchmark interest rate. Study of the inter-bank market interest rate on the term structure of interest rates throughout the financial markets is instructive role. Therefore, the inter-bank lending rate and the repo rate is not only on the development of a sound relationship between the domestic money market has an important significance, but also on the financial markets, financial product innovation have important guiding significance.In this paper, China's money market since the past decade the main data, especially for inter-bank lending rate, Repo Rate and the 2007 start of Shibors systematic empirical data analysis, including correlation, cointegration and causality test, obtained in the current interbank money market interest rates in China and there is a strong bond repurchase rate the relevance and long-term equilibrium, but there is no obvious cause and effect. Then the international money market benchmark interest rate by the general principles of selection and empirical testing of the Shibor has become a benchmark interest rate money market possibilities Combined with China's current money market situation and some problems which make policy proposals.This paper is divided into six parts in general. This first part introduces the research background, purpose, and research ideas. The second part of the domestic money market interest rates on the Research Development and innovation of this paper. The third part of the money market term structure of interest rates based on theory and theory to do a systematic summary and overview of the overall structure of China's money market. The fourth part focuses on two markets: the interbank lending market and the repurchase market, especially for the development of China's two markets were the inadequacies of the current situation and more fully described and identified in the two markets leading interest rate varieties. Part V as a core part of this article with a mode of empirical relations between the two interest rates (correlation and causation), and analysis of its causes. Part VI of the money market benchmark interest rate, drawing on the successful experience of Libor, for China to find a reasonable benchmark money market interest rates that direction. Also analyzed Shibor as our benchmark money market interest rates and the possibility of the recommendations made to improve Shibor.