Research on volatility of Shibor overnight offered interest rate
Overnight interest rates always reflect the relationship more effectively between supply and demand of short-term liquidity in the monetary market. Using Garch Model in this paper analyzes the factors which could influence the variance of Shibor Overnight Interest Rate. We find that IPO issue and Reserve Fund Requirement contribute significantly to SOR volatility, and the impact of Required Reserve on freezing liquidity in monetary market get more stronger along with Central Bank continual adjustment of Required Reserve Ratio. Our conclusion is beneficial for central bank in the process of reserve reformation, judging the tendency of Shibor Overnight Rate exactly and setting up proper financial market policies in order to realize the goals of government regulation.
Shibor Overnight Interest Offered Rate GARCH Model Volatility
HT Li X Wang ZB Fang
Department of Statistics and Finance,School of Management,University of Science and Technology of China,HeFei(230027),China
国际会议
International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)
上海
英文
43-46
2008-06-01（万方平台首次上网日期，不代表论文的发表时间）