10384 27720071152270 UDC SHIBOR - Research on Dynamics of Short-term Shibor via Parametric and Nonparametric Models 2 0 1 0 0 5 2 0 1 0 0 5 2 0 1 0 0 5 2010
,
1. 2.
Shibor 2006 10 8 2007 1 4 Shibor Shibor Shibor Shibor 2006 10 8 2010 3 3 Shibor Shibor Shibor Shibor Shibor IGARCH Shibor Shibor Shibor Shibor Shibor Shibor Shibor Shibor Shibor Shibor Shibor I
Abstract Shibor (Shanghai Interbank Offer Rate) was in trial operation from October 8th in 2006 and has been run from January 4th in 2007. As the history of Shibor is very short, there is quite few literature on dynamics and pricing of Shibor. This thesis takes overnight Shibor as representative of short-term Shibor, uses daily data from October 8th, 2006 to March 3rd, 2010 (with 853 observations in all) and explores impact from monetary policies on short-term Shibor and its dynamics correspondingly via parametric and nonparametric models. The significance of this research rises from three aspects. Firstly, exploring impact from monetary policies on Shibor improves our understanding of how monetary policies work and their effects. Secondly, this research can provide meaningful reference to pricing and quotation of Shibor. Finally, as short-term Shibor is one of the most important short-term rate in China and short-term rate is the most fundamental state variable in dynamic term structural models, research on dynamics of short-term Shibor provides valuable foundation for further research on dynamic term structure models in China. This research follows the next steps. Firstly, through using IGARCH model to capture impact from monetary policies on Shibor we find that open market operations by PBOC imposed negligible influence on conditional mean of Shibor and changes in reserve ratio and 1-year loan interest rate increased conditional volatility of Shibor by a large scale the day after these announcements. Secondly, we employ a nonparametric test statistic to test for existence of jumps in historical Shibor. The evidence of jumps in observed data is obvious. We further use nonparametric regression to estimate a general jump-diffusion model of Shibor. We arrive at the following results. The drift is close to linearity with interest rate level and shows evidence of mean-reversion in Shibor. Both conditional volatility and probability of jumps increase with interest rate level, and jump components contribute most of conditional volatility. Finally, we conduct one-day and two-day ahead forecast of overnight Shibor through nonparametric method. Local linear estimator is better than local constant estimator in prediction. The forecasted points have the same trend as corresponding observed data, and they serve as good predictor in most of these days. However, these models fail to predict accurately when Shibor experiences drastic changes. Key Words: Monetary policy, Jump-diffusion model, Nonparametric regression III
... I Abstract... III... VIII... IX... 1 1.1 -Shibor......................................... 1 1.2 -............................. 2 1.3.................................................................. 5... 6 2.1...................................................... 6 2.2............................................... 7... 10 3.1.................................................................. 10 3.2 Shibor......................................................... 10 Shibor... 13 4.1...................................................... 13 4.2.................................................................. 17 V
Shibor... 21 5.1................................................. 21 5.2....................................... 24 5.3.................................................................. 26... 32... 34 A... 37... 38 VI
Contents Introduction 1 1.1 Application Background: Shibor s Pricing and Monetary Policy...... 1 1.2 Theoretical Background: Dynamics of Short-term Interest Rate and Term Structure of Interest Rate........................... 2 1.3 Research Objective.............................. 5 Literature Review 6 2.1 Short-term Interest Rate and Monetary Policy................ 6 2.2 Continuous-time Models and Nonparametric Method............ 7 Research Data and Data Properties 10 3.1 Research Data................................. 10 3.2 Properties of Shibor.............................. 10 Shibor s Response to Monetary Policy Operations 13 4.1 Monetary Policy Instruments in China.................... 13 4.2 Empirical Research.............................. 17 Model Dynamics of Shibor via Nonparametric Models 21 5.1 Test for Existence of Jumps.......................... 21 5.2 Nonparametric Estimation Method of Jump-diffusion Model........ 24 5.3 Empirical Results............................... 26 Conclusion 32 Appendix: Information of Monetary Policy Changes 37 Acknowledgement 38 VII
1.1 -....................... 4 3.1 Shibor..................... 12 4.1 Shibor 2006/10/08-2010/03/03....... 19 4.2 2006/10/08-2010/03/03..... 20 5.1 Shibor................. 31 A.1 2006 10 8-2010 3 3........... 37 VIII
3.1 Shibor Repo 1996/10/08-2010/03/03................... 11 3.2 Shibor.................................. 12 4.1 2006/10/08-2010/03/03........... 14 4.2 2006/10/08-2010/03/03............... 15 5.1 Shibor 1996/10/08-2010/03/03...... 27 5.2 Shibor Repo 1996/10/08-2010/03/03.................... 28 5.3 Shibor..................... 30 5.4 Shibor..................... 31 IX
Degree papers are in the Xiamen University Electronic Theses and Dissertations Database. Full texts are available in the following ways: 1. If your library is a CALIS member libraries, please log on http://etd.calis.edu.cn/ and submit requests online, or consult the interlibrary loan department in your library. 2. For users of non-calis member libraries, please mail to etd@xmu.edu.cn for delivery details.