Study On The Dynamic Co-movement Of The Representative International Benchmark Interest Rates

The benchmark interest rate is one of the most important references and indicators in the financial market. And it plays an important role in a country’s national economy as well as its financial market. The interest rate liberalization process started much earlier in developed countries and has reached a much higher level. There are no arguments in choosing the benchmark interest rate. Besides, due to their significant positions in the world, developed countries’benchmark interest rates play important roles in the international monetary market. Like LIBOR、HIBOR、 SIBOR、FFR、EURIBOR and so on.China had long been under highly centralized and planned economic system, the interest rate liberalization process started later than the developed countries. And there are lots of arguments on choosing benchmark interest rate. Shanghai interbank offered rate (SHIBOR) began to run On January 4,2007, which was a significant milestone in the development of the benchmark interest rate.With the strengthening of economic globalization, the connections among the countries all over the world are becoming more and more close, especially in the financial field. The international co-movement of the financial assets’price has become a research hotspot recently, especially in the stock market and the exchange rate. There are few studies on the dynamic co-movement of the international benchmark interest rates.This paper select 5 representative benchmark interest rates as study object, and use VAR model、the time-varying parameter state space model, and the DCC-MVGARCH model to study the dynamic co-movement among them.This paper arrives at the following four conclusions. Firstly, SHIBOR、LIBOR、 HIBOR, SIBOR and FFR all Shows the characteristics of peak& fat tails, they are time series that do not conform to normal distribution. Secondly, SHIBOR, LIBOR, HIBOR, SIBOR and FFR share co-movements between each pair and the co-movements tend to change over time. Thirdly, the co-movements between the benchmark interest rates tend to be stronger under the condition of economic changes.