An Empirical Study On The Pricing Of The Interbank Deposit Certificates In The Issuing Market

In the process of marketization of interest rates, the Interbank Certificates of Deposit (CDs) as an innovative instrument in the monetary market was introduced in 2003. The range of the issuers and the investors of CDs have expanded gradually. Due to the efficient issuing process and the increasing market demand, the issuance of CDs has been growing dramatically. Furthermore, based on the effectiveness the monetary policy issuing the CDs, the influence of the interest rate of CDs on the monetary market has been increasing. The studies on the term structure of interest rate of CDs will help the issuers and the investors to forecast the interest rate and to find out the price of CDs, as well as contribute to studying the relationship between macroeconomics and the interest rate of monetary market. Because the Nelson-Siegel model well fits the dynamic characteristic of the term structure of interest rate, and can successfully relate the term structure of interest rate with macroeconomic factors, the paper applies this Model and the improved SV model to discuss the influence of macroeconomic variables on the term structure of interest rates using the data of CDs from 2014 to 2015 in China for the empirical analysis. The analysis of the pricing of CDs’ issuing in the paper helps to provide the efficient policies for the development of CDs.