Empirical Analysis On The Factors Of Shanghai Interbank Offered Rate

Shanghai Interbank Offered Rate is built in the context of lacking a benchmark interest rate in Chinesemoney market. Now the SHIBOR has work as a benchmark interest rate.The constant improvement of SHIBOR s pricing mechanism is very important to building itsbenchmark. On the basis of analysis about SHIBOR s actual developments, its characteristics and itsbenchmark conduction effect theory, this article analyze SHIBOR s influencing factors. Compared to theprevious analysis, this is the first time to quantify the factor open market operations and add it to themodel. Analysis shows that the central bank’s open market operations mainly affect the short-term liquidity,and have a little substantive impact on the long-term trend.In this paper, the author use four methods to analyze the factors of SHIBOR in long-term. Themethods include stationary test, Co-integration test, Granger causality test and Vector Error CorrectionModel (VECM).Empirical Analysis results show that the SHIBOR in long-term has a long-term stable equilibriumrelationship with the deposit rates, the consumer price index, the Shanghai Composite Index, theloan-to-deposit ratio of financial institutions and the reserve requirement. As well, there is a bidirectionalguide relations between SHIBOR3Manddeposit3M,whichshows SHIBOR has play a role as a benchmarkinterest rates in the market.Interbank trading volume in long-term is much less than the short-term s. And then the result onVector Error Correction Model also shows that the readjustment of deviation from the long-run equilibriumon SHIBOR in long-term is weaker than the readjustment on SHIBOR in short-term. This is to say that theinactive long-term market cause this result.Above all, in order to improve the SHIBOR s benchmark and quotes mechanisms, the central bankshould vigorously promote the development of SHIBOR in long-term market, improve its benchmark toguide the pricing of long-term financial products. Besides, the central bank must continue to promotefinancial innovation, relax the interest rates controls, and speed up the process of marketing of interest rates.Through these methods, can they improve SHIBOR s conduction mechanism and promote SHIBOR sreasonable pricing.