The Analysis of the Effectiveness of the Shibor as a Market Benchmark Interest Rate

摘要

In this paper, we established Granger causality test, VAR model, impulse response function and variance decompositions to observe Shibor whether possess of four properties as the benchmark interest rate of the marketability, stability, correlation, fundamentality. Conclusion Shibor as money market benchmark interest rates on various aspects of the performance is better, however, compared with Chibor foundational aspects needs to be improved, and easily influenced by exchange rate.