Theory Evidence And Positive Test Of Shibor As China’s Marketization Benchmark Interest Rate

In China, financial marketization reform is ultimately to enhance capital allocation efficiency, whose precondition is that we shall build a fair, rational and transparent system of pricing, that is, fully competitive interest rate system. With domesticate financial market developing quickly, interest rate marketization is imperative which is also one of important tasks during the’11th Five-Year Plan". Interest rate marketization is a systemic engineering in the course of which mini-fluctuation of interest rate could not only influences macro-economic basic situation but also changes microeconomic mainbody behavior including investment and consumption and even alters operation modes of financial institutions. Therefore, China still holds prudent and gradual attitude toward interest rate marketization."to relax interest rate of interbank firstly and then the ones between banks and consumers, to loosen foreign exchange interest and then local interest, to let debt interest rate go and then deposit interest rate, to allow interest rates of certificates of deposits (CDs) flexibility and the ones of minimum deposit".In January2007, shibor’s naissance is the symbolic event during interest rate marketization and from then it still drew much attention. This dissertation firstly comparatively analyzes six main kinds of interest rates, selects there interest rates with high marketization level, chibor, shibor and repo_r and then further researches according to economic theory and normal test. It completely assesses their benchmark, stability and correlation and comes to an conclusion that shibor initially has some features of marketization benchmark interest rate but its benchmark and stability has yet to strengthen. To the contrary, repo_r’s features may supplement shibor’s flaws. Finally, the dissertation puts forward five pieces of suggestion reference to deepening the reform of interest rate marketization and establishing shibor’s authority, to relax debt and deposit interest regulation, to increase percentage of bond financing, to select pilot institutions to loosen product pricing, to improve shibor’s quotation price system and internal transfer pricing system based on shibor.The high correlation exist among shibor, chibor and repo_r have so that the dissertation shall pay more attention to distinguish their features. In addition to this, financial time series often have volatility dusting and asymmetry. The dissertation specially selects Granger test, GMM, VAR and impulsive formula, ARMA and ARCH in order to resolve these problems above when the author builds models.This dissertation is structured as follows:Chapter1, introduction. This chapter discusses the research background and significance, literature review, research methods and technical route, possible innovation and disadvantages. Chapter2, to compare six kinks of interest rates. Commercial bank debt and deposit interest rates, chibor, shibor, repo_r, PBC’s benchmark interest rates (PBC’s bill interest rate, discount interest rate, re-lending interest rate) and treasure bond interest rate.Chapter3, the economic theory evidence of marketization benchmark interest rate. This chapter tries to discuss the feasibility some interest rate as marketization benchmark interest rate from the two aspects of its characters and economic theory.Chapter4, the positive analysis of shibor as marketization benchmark interest rate. This chapter mainly tests stability, benchmark and correlation of shibor, chibor and repo_r by the means of models.Chapter5, conclusion and policy suggestion. The chapter makes a summary of the tests above and puts forward five pieces of suggestion in order to improve shibor formation.