This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary ...This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.展开更多
This paper discusses the correlation structure between London Interbank Offered Rates （LIBOR） by using the copula function. We start from one simplified model of A. Brace, D. Gatarek, and M. Musiela （1997） and fin...This paper discusses the correlation structure between London Interbank Offered Rates （LIBOR） by using the copula function. We start from one simplified model of A. Brace, D. Gatarek, and M. Musiela （1997） and find out that the copula function between two LIBOR rates can be expressed as a sum of an infinite series, where the main term is a distribution function with Gaussian copula. Partial differential equation method is used for deriving the copula expansion. Numerical results show that the copula of the LIBOR rates and Gaussian copula are very close in the central region and differ in the tail, and the Gaussian copula approximation to the copula function between the LIBOR rates provides satisfying results in the normal situation.展开更多
This paper examines the roadmap of interest rate liberalisation in China,including the current dual-track interest rate system and the future benchmark rate system.It provides a theoretical foundation for China to dev...This paper examines the roadmap of interest rate liberalisation in China,including the current dual-track interest rate system and the future benchmark rate system.It provides a theoretical foundation for China to develop its own benchmark interest rate.A vector autoregression model is estimated to investigate the effectiveness of Chinese market interest rates,Shanghai Interbank Offered Rate(SHIBOR),and repo rates against different factors such as market size,volatility,transmission channels of monetary policy,and term structures of interest rates.The result shows that SHIBOR affects both the market and the economy.As SHIBOR promptly reflects the changes in currency markets,we argue that it has the potential to become China’s benchmark interest rate.展开更多
文摘This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.
基金The authors thank the referees for their valuable comments. Yang＇s research was partly supported by the Key Program of National Natural Science Foundation of China （Grant No. 11131002） and the National Natural Science Foundation of China （Grants No. 11271033）. Zheng＇s research was supported by the Ng-Jhit-Cheong Foundation.
文摘This paper discusses the correlation structure between London Interbank Offered Rates （LIBOR） by using the copula function. We start from one simplified model of A. Brace, D. Gatarek, and M. Musiela （1997） and find out that the copula function between two LIBOR rates can be expressed as a sum of an infinite series, where the main term is a distribution function with Gaussian copula. Partial differential equation method is used for deriving the copula expansion. Numerical results show that the copula of the LIBOR rates and Gaussian copula are very close in the central region and differ in the tail, and the Gaussian copula approximation to the copula function between the LIBOR rates provides satisfying results in the normal situation.
文摘This paper examines the roadmap of interest rate liberalisation in China,including the current dual-track interest rate system and the future benchmark rate system.It provides a theoretical foundation for China to develop its own benchmark interest rate.A vector autoregression model is estimated to investigate the effectiveness of Chinese market interest rates,Shanghai Interbank Offered Rate(SHIBOR),and repo rates against different factors such as market size,volatility,transmission channels of monetary policy,and term structures of interest rates.The result shows that SHIBOR affects both the market and the economy.As SHIBOR promptly reflects the changes in currency markets,we argue that it has the potential to become China’s benchmark interest rate.
