The Volatility of China Inter-Bank Offered Rate (CHIBOR)-Analysis Based on the GARCH Model

摘要：

This paper sets up GARCH models to study the volatility of China inter-bank offered rate (CHIBOR). The findings demonstrate that the volatility of long-term interest rates can be described by the GARCH model while the volatility of the short-term interest rates is interpreted by using the fluctuation of the bank lending rate only, which is found to be the Granger Cause of CHIBOR. So the inverse conductive mechanism in the monetary market is not conducive to the development of CHIBOR as the benchmark rate.

作者: Shaobo Liu Na Zhang Xinfei huang

作者单位: Institute of Finance Jinan University International Business College Sun Yet-Sen University

会议类型: 国际会议

会议名称: Fourth International Conference on Impulsive and Hybrid Dynamical Systems(ICIHDS 2007)(第四届国际脉冲和混合动力系统学术会议)

会议地点: 南宁

会议语种:英文

在线出版日期: 2007-07-20（万方平台首次上网日期，不代表论文的发表时间）