Empirical Analysis Of Shibor's Effectiveness As China's Market Benchmark Interest Rate

With central bank'sderegulation of deposit interest rate,the progress of interest rate liberalization has almost accomplished.As the core issue of interest rate liberalization,the establishment of benchmark interest rate mechanism has become increasingly significant.Currently many market interest rates have the potential to become benchmark interest rate,among which Shanghai interbank offered rate becomesthe most competent option with its incomparable advantages.PBC have stated to build up benchmark interest rate mechanism with Shibor to strengthen pricing capacity of financial institution.At the same time,the rapid development of financial market also tests the benchmark function of Shibor.Therefore,it's necessary to analyze whether Shibor could be the benchmark interest rate.This paper firstly summarizes the research achievement and illustrates the definition and selection criteria of benchmark interest rate,and analyzes the advantage of Shibor as the benchmark interest rate compared with other market interest rate in terms of formation mechanism and policy support.Then this paper focus on the influence of interest rate liberalization and transformation of monetary policy framework on Shibor's benchmark capacity.In addition,by empirical test,this paper discusses the relationship between Shibor and other major market interest rate,and proves Shibor has generally realized the function of benchmark interest rate.At last,several policies is suggested to strengthen Shibor's capacity of benchmark interest rate such as promoting interbank market and expanding the financial derivatives based on Shibor.