Statistical Analysis Of The Shanghai Interbank Offered Rate

Interbank offered rate is the interest rate in borrowing short-term funds by financial institutions, especially the commercial banks. The interest rates are affected the by the supply and demand of money, whose volatility the changes affect the profitability and capital security of commercial banks. Shanghai Interbank Offered Rate becomes China’s benchmark interest rate since its implement gradually. It symbolizes the market-based reform of interest rate. However, in2013,"currency scarcity" event caused overnight interbank offered rate soaring to13.44%. It aroused wide attention to liquidity and interbank interest rates. Therefore, this thesis attempts to analyze the factors that may affect the interbank offered rate and establish an appropriate model to fit the trend. It may provide some basis for financial institutions, such as commercial banks to avoid the liquidity risk.This thesis uses the Shanghai Interbank Offered Rate (Shibor) as the data source, and the overnight and seven days interbank offered rate as the main objects. Both series of data dates back to2007when it came into effect. Firstly, this thesis reviews the research literature studying Shibor.Domestic study about Shibor can be classified as influence factors, fitting model and interest rate term structure and some other aspects. The term structure get more and more attention recent years. Secondly, the thesis discusses influence factors on interbank interest rates from an economic point of view, as well as the direction and extent of the impact. The third part introduces the theories and models used in the overnight and seven days interbank offered rate. At last, ARMA and ARCH Family Models are used in analyzing Shibor, to look for the best way to portray the trend of Shibor and to discuss the pros and cons of each model.The GARCH, EGARCH and TARCH were used less in fitting overnight and one week interbank offered rates in the generalized error distribution and t distribution.According to the research, Shibor has significant autocorrelation and het-eroscedasticity, so that ARCH family models fit the overnight and seven days interbank offered rate’s movements better, especially the EGARCH model and TARCH model which have asymmetric term effects. Coefficient of GARCH model is bigger than1, which means the reaction of overnight and seven days Shibor is continuous and proliferating. EGARCH model shows volatility is greater when Shibor rises other than declines. Coefficients of the TARCH items in both overnight and seven days Shibor are negative, that is, Shibor has an anti-leverage effect. These conclusions coincide with studies on inter-bank interest rates basically.In addition to overnight series, generalized error distribution fits better than or similar to the t distribution.