RELATION BETWEEN INTEREST RATE DIFFERENCE AND TRADING VOLUME DIFFERENCE IN CHINESE INTER-BANK MONEY MARKET
Inter-Bank Offerings (IBO) and repos arc popular short-term transactions in Chinese inter-bank market.It is found that the difference of the interest rates is negatively correlated with the difference of trading volumes between IBO and repo with the same maturity.By examining the conditional expectation and variance using joint conditional density of the interest rate difference and the trading volume difference estimated by the SNP, the trading volume difference is found capable of explaining the expected difference of interest rates, which is consistent with the pricing theory that illiquidity is rewarded by higher expected return.The trading volume difference can also explain the volatility of the interest rate difference, indicating that liquidity shares the cause of market fluctuation.Moreover, the analysis confirms the influence of the interest rate difference on the investors behaviors by showing that larger interest rate difference will relatively enlarge the subsequent trading volume difference, which also illuminates that the inter-bank money market is still dominated by the moneylenders as a whole.
IBO Repo Interest rate Trading volume SNP
LONG-ZHEN FAN QI-WEN LIU
School of Management, Fudan University, Shanghai 200433, China
国际会议
2007 International Conference on Machine Learning and Cybernetics(IEEE第六届机器学习与控制论国际会议)
香港
英文
260-266
2007-08-19（万方平台首次上网日期，不代表论文的发表时间）