Bill Market Discount Rate, Rediscount Interest Rate And SHIBOR Dynamic Correlation Analysis

Since the early1980s, as one of the most ancient type of market in currency, the bills market was appear in China. In1995, owing to the enaction of the People’s Republic of China Negotiable Instruments Law, bill transactions regulations and related institutions was crarried out, which eventually promote the standardized development of the paper market. Since2000, the annual accumulated issue amounts of commercial drafts and unexpired closing balance are increasing more than40%, and the inter-bank discount and discount balance are increasing more than60%, makes which become the most direct financing method(short period).In this thesis, the development situation of the developed countries in bill market will be taken as a reference, after the investigation on development paths and experiences in different countries’ bill markets, a conclusion on development trails in bill markets of developed countries will be made, which is, in the earlier stage of developemnt, the fast developping of banks acceptence bill bring the whole development of bill markets, and in the later stage, the development rates of banks acceptence bill becomes slower, in turn, rapid growth in banks acceptence bill, besides, there are great amounts of intermediary organs in bill market, the market supports Financing Bill, the overall electronic level in bill market is high. The main trade units of bill market has extensive domains, not only involves commercial banks, corporations and non-bank financial institutions, individual investors are also allowed trading in bill market.There is a hypothesis in the second part.China Central Bank urged build SHIBOR to be the market interest rates of our country in the economic system.Through "the bill market is part of Monetary Market"and"Shibor has the role of benchmark interest rate",there must be something between the rate of Bill market and Shibor.Third part,the demonstration chapter, from correlations angle, the relation between bill market rate and SHIBOR is dynamic analysed by State Space model.The analysis result has revealed that strong relations is exist between bill market rate and SHIBOR. But during the time of adjusting Monetary Policy, the bill market has wider fluctuation margin of exchange rate, and the fluctuation margin of discount rate is much more manifest.Deeply excavated,the reason found are that unbalance structure of bill market, the leading role of commerce bank,bad environment of credit,and so A t the end of this thesis, some suggestive measures are finally put forward on bill market of our country,according to the results which base on the analysis between the current situation in domestic bill market and demonstration.