For the daily SHIBOR series, the EGARCH (2, 2) model was the most efficient, with [gamma] and p-values of 0.08383 and 0.0006, respectively.
The daily MIBOR and TIIE series, which were best estimated by EGARCH (2.2) processes, unlike TIRUSSIA and SHIBOR, exhibited a negative [gamma] value ([gamma] -0.10650, p-value 0.0000, for MIBOR and [gamma] -0.01693, p-value 0.04720 for the TIIE), which suggests the presence of the leverage effect in the series (negative shocks increase volatility more than positive shocks).
When analysing China's interbank rate volatility (SHIBOR), only two peaks were found, one in 2008 and another in 2009 (Point 15) (the series consists of the 2006-2011 period only); these peaks are likely a result of the financial crisis in the first year because China is the largest creditor of US Government debt, followed by deflation in the following year.
The three month SHIBOR dropped from 4.9 percent at the end of March 2015, to 2.9 percent.
(130) Bloomberg, "China lowers SHIBOR to clear debt pile," Taipei Times, May 26, 2015.
Because of short SHIBOR launch time, few early launch SHIBOR product category, and small circulation, the study of SHIBOR has few results.
Different terms of SHIBOR volatility would be influenced by economic cycle, macroeconomic policies, monetary supply, demand, and so on.
In Table 1, the first principal component interpretation for the proportion of SHIBOR volatility reaches 84.29%.
With that, overnight Shibor
has moderated to 3.0 per cent on 18 July.
for two-week loans rose the most on Friday, by 3.3 basis points to 2.821 percent.
Following the cash injection, in Thursday's interbank market, the benchmark overnight Shanghai Interbank Offered Rate (Shibor
), which measures the cost at which Chinese banks lend to one other, dropped by 2.7 basis points to 1.759 percent.
Despite the cash injection, in Tuesday's interbank market, the benchmark overnight Shanghai Interbank Offered Rate (Shibor
), which measures the cost at which Chinese banks lend to one other, climbed by 1.3 basis points to 1.879 percent, a four-month high.