A Study On The Correlation Between SHIBOR And Buyout Discount Interest-rate And Repo Discount Interest-rate

After years of development,China's bill market has gradually expanded into a submarket that can not be ignored in the money market.With the increasing number of participants and the increasingly mature market competition,both acceptance business and discount business show amazing growth.In 2019,commercial acceptance bills totaled 2.33 trillion yuan and were discounted by 1.55 trillion yuan,according to the Shanghai clearing exchange.The establishment of Shanghai bill exchange in December 2016 marked the era of electronic bill trading,and the future development of China's bill market will be more standardized,more convenient and more mature.Such a huge bill market can not only serve small and medium-sized enterprises in China and provide important help for their financing turnover problems,but also serve as an important venue for the central bank to implement monetary policies and a highly active submarket of China's financial market.With the implementation of interest rate liberalization,the bill market has become an important place for Shibor to carry out operations.The pricing model of discounted interest rate of notes with rediscount is converted into Shibor's pricing model.However,as an important inter-bank bill trading market,commercial Banks also implement Shibor's pricing model,but the actual implementation effect is not optimistic.In 2019,there will be a phenomenon of "zero interest rate" in the bill market transfer and discount rate,with obvious upside down.Paper due to its own credit and capital attributes of the two different characteristics,with other money market rates have different places,different analysis instrument to re-post the correlation between interest rates and Shibor,implementation of the mining market benchmark interest rates,is helpful for understanding the formation behind a quote rates,is advantageous to the development of a more scientific,more can reflect the market interest rate pricing model.Based on the above reasons,this paper studies the transfer rate in China's bill market theoretically and empirically.The general idea of this paper is as follows: first,introduce the research background and significance of this paper,elaborate on the research ideas and outline,and put forward the innovative points and shortcomings of this paper;The second chapter explains the terms related to negotiable instruments and reviews the previous studies.Analysis,the third chapter introduces the development of China's paper market condition to re-post rates are including Shibor influence factors for money and credit,and just two factors to buyout discount and repurchase turns were analyzed respectively,and based on this assumption,turn on the discount rate and Shibor correlation hypothesis;In chapter 4,empirical analysis is carried out.Vector autoregression and least square method are used to carry out regression analysis on two transfer rates and Shibor.Two concise relationship equations are obtained to verify the correctness of the hypothesis,and the conclusion is analyzed with the actual situation.Based on the conclusion,the fifth chapter puts forward some Suggestions on the development of China's bill market and resale rate pricing.