The Study On The Characteristics And Influencing Factors Of The Volatility Of Money-market Interest Rate

The transmission mechanism of monetary policy from short-term to long-term and the effective pricing of financial assets require that the money market interest rate be able to play the role of the prime interest rate of the financial market effectively.In term of the transmission mechanism of monetary policy,currency markets is the main operating space of the central bank's monetary policy,which directly affects the liquidity expectation of commercial banks and determines whether the channel of monetary policy transmission from short-term to long-term is smooth.In term of the pricing of financial asset,the price sensitivity of the participants is largely based on the expectation of the volatility of the prime interest rate in financial markets and fundamental plane of liquidity in currency markets.Therefore,the establishment of a highly market-oriented money market interest rate plays an important role in improving the sensitivity of financial market participants to interest rates,the pricing of financial products effectively,and the effective judgment of fundamental plane of the liquidity of the money market.However,the operation of the prime interest rate in the currency market is unsatisfactory.SHIBOR,which the central bank has vigorously cultivated,has developed imperfectly.Because of not based on the actual transaction,SHIBOR,which determined by the expectation of involved commercial banks,has many disadvantages.Recently,many studies on the interest rate of money market take the interbank loan repurchase rate and the interbank lending rate as the transitional benchmark interest rate.Prior to the introduction of the interest rate corridor mechanism by the central bank at the end of 2013,there were frequent sharp fluctuations in interest rates in the money market.The degree of the overnight interest rates volatility in China's money market is more 2-4 times than United States dollar?Korean won,and so on.The rate determined by the trade of currency market participant,which can not only characterize the liquidity expectations of commercial banks and reflect the liquidity fundamental panel of financial markets,but also fluctuate within the guidance framework of the central bank.The introduction of the interest rate corridor mechanism by the central bank in late 2013 has greatly stabilized the liquidity shock expectations of commercial banks and the panic mood in dealing with the shock of liquidity shortage.However,due to the short development of the interest rate corridor mechanism in China,the research on the interest rate corridor mechanism in the money market is still in theory.quoting the indirect index,the liquidity shock expectation of commercial banks,and combining with the theory of equilibrium interest rate determination in money market,this paper constructs a VAR model and draws relevant conclusions.It has important influence and significance for the central bank to construct a perfect interest rate corridor mechanism and stabilize the trend of interest rate fluctuation in money market.The main purpose of this paper is to study the volatility characteristics of interest rates in money markets and the influencing factors.Especially after the introduction of the interest rate corridor mechanism by the central bank at the end of ·2013,commercial banks' expectations of liquidity shocks and their panic facing liquidity shocks have slowed down.Through the study of what changes have taken place in the volatility characteristics of interest rates in the money market and what changes have taken place in the mechanism of the factors that affect the volatility of interest rates in the money market,we put forward relevant suggestions for the construction of the benchmark interest rates in the central bank and the money market.Firstly,on the basis of many theoretical studies on the volatility characteristics of interest rates of the money market,this paper summarizes the determination mechanism of the equilibrium interest rate in money market,under the business principle of profit maximization(or cost minimization)and according to the principle of the determination of liquidity demand by the cost minimization.S econdly,this paper constructs GARCH-Jump model and ARMA-EGARCH-M model to estimate the volatility characteristics of money market interest rates in two time span.Empirical analysis shows that the volatility characteristics of money market interest rate in the first stage include the effect of the jump factor and asymmetric GARCH.And the effect of jump factor disappears in the second stage,only asymmetric GARCH effect exists.Then,this paper constructs a VAR model to analyze the impact of the index of liquidity expectation and the index of liquidity shock deviation on the volatility of currency market interest rate.The empirical analysis shows that,in the first stage,the two indicators which have an impact on the currency market interest rate become almost zero in the second stage.Finally,the results of empirical analysis put forward corresponding suggestions.The development of the perfect interest rate mechanism in the currency marketwould be promote the reformation of interest rate marketization largely.