Measuring China’s Interest Rate Liberalization Compared with Developed Countries

Financial repression does not suit the needs of economic and financial development in the long run, and interest rate liberalization is a natural choice for the development of China＇s financial markets＇. Based on a comparative analysis of interest rate liberalization processes between some developed countries and China and value assignment to key milestones in interest rate markets, the authors have measured the level of China＇s interest rate liberalization to be 80.64%, i.e., a complete liberalization has been initially achieved in China with the notable exception of the deposit interest rate market. Deposit interest rate liberalization is poised to be the last step in China＇s interest rate liberalization process.

The Rationale Behind Policymaker Hesitancy:Insight Into Correlation Between Disinflation and Interest Rates

This essay explores the reluctance of policymakers to reduce interest rates during disinflation,analyzing whether this hesitation aligns with prevailing economic theories.Drawing on historical and contemporary examples,the paper examines how monetary policy,particularly central bank credibility,plays a crucial role in shaping market expectations and guiding long-term economic behavior.It discusses the evolution of monetary strategies from the high inflation periods of the 1970s and 1980s to the modern focus on inflation targeting,financial stability,and the globalized economy.The analysis highlights key factors such as asymmetric risks,the challenge of managing low interest rates,and the potential for unintended consequences like a sset bubbles and distorted savings behavior.Ultimately,the paper concludes that central banks’cautious approach during disinflation reflects a commitment to maintaining price stability and protecting economic resilience in an increasingly interconnected global financial system.

Impact of geopolitical risk,GDP,inflation,interest rate,and trade openness on foreign direct investment:Evidence from five Southeast Asian countries

Historically,geopolitical risk(GPR)has posed significant challenges to international economic,social,and political frameworks.This study investigated how internal GPR in the selected five Southeast Asian countries(Indonesia,South Korea,Malaysia,the Philippines,and Thailand)influences foreign direct investment(FDI)during 1996-2019.The stationarity of the data was assessed using the Augmented Dickey-Fuller(ADF)unit root test,which shows that the data became stationary after the first difference.The Kao,Pedroni,and Westerlund cointegration tests were employed to examine long-term cointegration among the selected variables(FDI,GPR index(GPRI),gross domestic product(GDP),inflation,interest rate,and trade openness(TOP)).The results indicated that these variables have a long-term cointegration.Consequently,regression analysis using the Pooled Ordinary Least Squares(OLS)regression,fixed effect,random effect,Arellano-Bond dynamic panel-data estimation,and system generalized moment method(GMM)revealed that GPRI and TOP negatively impacted FDI in the selected five Southeast Asian countries.At the same time,GDP,inflation,and interest rate positively influenced FDI in these countries.Because FDI is crucial to shaping a country’s macroeconomic structure,this study recommends that governments and central banks of the selected five Southeast Asian countries should implement policies and strategies to encourage foreign investments.

Research on the Influence of Interest Rate Liberalization on Commercial Banks' Profitability in China

In order to explore the influence of interest rate liberalization on profitability,an empirical analysis is carried out with the panel data of commercial banks in China from 2009 to 2019.Then,the heterogeneity of the impact is studied among different banks.The results show that,first,interest rate liberalization and commercial banks'profitability have an inverted U-shaped relationship,whereby interest rate liberalization would increase the profitability of banks in the early stage but would reduce the profitability after reaching a peak inflection point at the later stage.Secondly,the impact varies among different banks,being more significant in urban commercial banks and large state-owned banks.

Discussing Problems of Chinese Interest Rate liberalization

The level of Chinese interest rate liberalization is very low. The interest rate liberalization reform is an inevitable choice under the general trend of economic globalization in the world. Mean while, interest rate liberalization is indispensable for Chinese economic development and financial stabilization. The interest rate liberalization reform should follow a certain principles and satisfy a certain require ments, otherwise the financial order will be in a state of chaos and the negative influence on economy will appear. The interest rate liberaliza tion reform needs a good economic environment and a series of relative reforms.

UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE

We consider a discrete time risk model in which the net payout （insurance risk） {Xk, k = 1, 2,...} are assumed to take real values and belong to the heavy-tailed class L∩ D and the discount factors （financial risk） {Yk, k = 1,2,...} concentrate on [θ, L], where 0 〈 0 〈 1, L 〈 ∞, {Xk, k = 1,2,...}, and {Yk, k=1,2,...} are assumed to be mutually independent. We investigate the asymptotic behavior of the ruin probability within a finite time horizon as the initial capital tends to infinity, and figure out that the convergence holds uniformly for all n ≥ 1, which is different from Tang Q H and Tsitsiashvili G （Adv Appl Prob, 2004, 36： 1278-1299）.

PRICES OF ASIAN OPTIONS UNDER STOCHASTIC INTEREST RATES

Asian options are the popular second generation derivative products and embedded in many structured notes to enhance upside performance.The embedded options,as a result,usually have a long duration.The movement of interest rates becomes more important in pricing such long-dated options.In this paper,the pricing of Asian options under stochastic interest rates is studied.Assuming Hull and White model for the interest rates,a closed-form formula for geometric-average options is derived.As a by-product,pricing formula is also given for plan-vanilla options under stochastic interest rates.

Monetary and fiscal factors in nominal interest rate variations in Sri Lanka under a deregulated regime

Background:This paper examines the role of monetary and fiscal factors in interest rate variations in Sri Lanka under its deregulated regime of interest rates.In addition the paper also examines the role of monetary factors in the variation of interest rates,using a quarterly dataset for the post-global recession period,when the exchange rate is determined by market forces.Results:Empirical analysis uses a dataset of nominal interest rates,money growth,income growth,changes in nominal exchange rate,and budget deficit.From the methodological point of view the paper involves vector autoregression model and Wald tests of Granger causality,followed by impulse response analysis while stationarity and the order of integration of the selected variables are confirmed involving the augmented Dickey-Fuller and the Phillips-Perron unit-root tests.Results:The paper confirms that both monetary and fiscal factors have significant effects on the variations of interest rates.Money growth triggers an increase in interest rates,which supports the Fisher equation view,while income growth has a negative impact.Budget deficit causes a rise in interest rates,but the role of the exchange rate is found to be almost insignificant,probably due to including exchange rate series that cover both the pegged and market-based regimes of exchange rates.The second part of the analysis,using a quarterly dataset for the post-global recession period,further establishes the positive impact of M2 money growth and income growth on interest rates.In this case,exchange rate depreciation causes an increase in interest rates.Conclusions:The significant role of monetary and fiscal factors in interest rate variations implies it would be possible to manage interest rates through a judiciary management of monetary and fiscal policies.

Recent innovation in benchmark rates (BMR):evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms

Some countries have announced national benchmark rates,while others have been working on the recent trend in which the London Interbank Offered Rate will be retired at the end of 2021.Considering that Turkey announced the Turkish Lira Overnight Reference Interest Rate(TLREF),this study examines the determinants of TLREF.In this context,three global determinants,five country-level macroeconomic determinants,and the COVID-19 pandemic are considered by using daily data between December 28,2018,and December 31,2020,by performing machine learning algorithms and Ordinary Least Square.The empirical results show that(1)the most significant determinant is the amount of securities bought by Central Banks;(2)country-level macroeconomic factors have a higher impact whereas global factors are less important,and the pandemic does not have a significant effect;(3)Random Forest is the most accurate prediction model.Taking action by considering the study’s findings can help support economic growth by achieving low-level benchmark rates.

Pricing Stochastic Barrier Options under Hull-White Interest Rate Model

A barrier option valuation model with stochastic barrier which was regarded as the main feature of the model was developed under the Hull-White interest rate model.The purpose of this study was to deal with the stochastic barrier by means of partial differential equation methods and then derive the exact analytical solutions of the barrier options.Furthermore,a numerical example was given to show how to apply this model to pricing one structured product in realistic market.Therefore,this model can provide new insight for future research on structured products involving barrier options.

An Analysis of Competition over Interest Rate among Banks in China

In 2000, the central bank of China adopted a policy to gradually liberalize its interest rate, and thus raised the curtain of competition over interest rate among the banks in China. The objective of this study is to put a focus on the existing banking market environment and thereafter the gaming behaviors of the banks on different stages given the interest rate is loosened gradually as scheduled.

Dynamic Behavior of Interest Rates in China

This paper intuitively examines the dynamic behavior of two highly relevant interest rates in China. The first one is the government rate, which is decided and published by the central bank and can be simulated by pure jump process. Estimation of the jump intension is given out. And by different robustness test, it keeps stable. The jump size has met the condition to make interest rate within reasonable bounds and shown some meaning of economic cycle behavior. The second one is the market rate, which is estimated by spline approximation based on the transaction data of government bonds. Several models, including Vasicek model, Vasicek-GARCH （1,1） model, CIR model, and CIR-GARCH（1,1）, are empirically tested and the best performance is done by the Vasicek-GARCH（1,1） model. Furthermore, the estimate bias problem due to the near unit root process is tested and evidenced by both traditional methods and GPH test. Impact of government rate on market rate is finally checked and analyzed.

The interaction between stock prices and interest rates in Turkey:empirical evidence from ARDL bounds test cointegration

This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated using the autoregressivedistributed lag bounds(ARDL Bounds)test and vector autoregressive cointegration.Additionally,cointegrating equations such as the fully modified ordinary least square,dynamic ordinary least squares,and canonical cointegrating regression are applied to check the long-run elasticities in the concerned relationship.The ARDL Bounds and Johansen Cointegration test results show that,dynamically,both prices are significantly related to each other.The cointegrating equation outcomes demonstrate elasticities whereby both coefficients have negative signs.Additionally,the same results are corroborated by the impulse response where all variables respond negatively to each other.

Macroeconomic control of interest rate in China

The macroeconomic control of interest rate is studied using the elastic theory and correlation analysis and the concrete influence of interest rate on the consumption, savings and investment in China are investigated. It is pointed out that although the interest rate mechanisms in China has gone through several adjustments and reforms, the results are not yet fully up to expectations. The interest rate does not adjust the national economic structure, and direct the trend of funds, nor regulate the general social supply and demand and balance the price and currency in circulation, to achieve a rational distribution of social resources. The interest rate policy of Central Bank does not have much actual influence on the economic departments, and this influence was continuously weakened in recent years. Countermeasures are suggested for improving the macro control of interest rate.

Analysis of the impact of interest rate liberation on China＇s banking sector

Actually China has achieved the liberation of deposit and lending rates to some extent, after the start of the reform, it is expected there may not be a great impact on the banking sector in the short term, but in the long term, the interest rate liberation will undoubtedly increase the cost of capital banks, especially after deposit rates achieve the full realization of market-oriented pricing, which will have long term impact on the banking business.

Analysis of exercise boundary of American interest rate option

By applying the variational inequality technique, we analyzed the behavior of the exercise boundary of the American-style interest rate option under the assumption that the interest rates obey a mean-reverting random walk as given by the Vasicek model. The monotonicity, boundedness and C^∞-smoothness of the exercise boundary are proved in this paper.

Implied Bond and Derivative Prices Based on Non-Linear Stochastic Interest Rate Models

In this paper we expand the Box Method of Sorwar et al. (2007) to value both default free bonds and interest rate contingent claims based on one factor non-linear interest rate models. Further we propose a one-factor non-linear interest rate model that incorporates features suggested by recent research. An example shows the extended Box Method works well in practice.

Prediction model for corrosion rate of low-alloy steels under atmospheric conditions using machine learning algorithms

This work constructed a machine learning(ML)model to predict the atmospheric corrosion rate of low-alloy steels(LAS).The material properties of LAS,environmental factors,and exposure time were used as the input,while the corrosion rate as the output.6 dif-ferent ML algorithms were used to construct the proposed model.Through optimization and filtering,the eXtreme gradient boosting(XG-Boost)model exhibited good corrosion rate prediction accuracy.The features of material properties were then transformed into atomic and physical features using the proposed property transformation approach,and the dominant descriptors that affected the corrosion rate were filtered using the recursive feature elimination(RFE)as well as XGBoost methods.The established ML models exhibited better predic-tion performance and generalization ability via property transformation descriptors.In addition,the SHapley additive exPlanations(SHAP)method was applied to analyze the relationship between the descriptors and corrosion rate.The results showed that the property transformation model could effectively help with analyzing the corrosion behavior,thereby significantly improving the generalization ability of corrosion rate prediction models.

Study on models for control of interest rate risks

Analyses different interest rate risks, presents a new model for assessment of interest rates and thereby establishes the framework for control of interest

Analysis of the Impact of Interest Rate Changes on Chinese Consumer Behavior

In 2015,the Central Bank cut interest rates six times in a row.There are two main purposes.The first is to reduce the interest burden on corporate loans,and stimulate corporate investment.The second is to reduce interest income on residential deposits,and stimulate residents to increase current consumption.However,many empirical data prove that although the effect of interest rate decline on stimulating corporate investment is more obvious,the effect of stimulating residents to increase current consumption is not obvious,and household savings continue to grow rapidly instead.This shows that the main factor affecting the current consumption of residents is no longer the bank's deposit interest rate,but the irreplaceability of future consumer goods for current consumer goods,income restrictions and other economic factors that can affect cross-time consumption.Based on the theory of intertemporal utility maximization,this paper analyzes the impact of the rate change on China's residents' consumption,looks for the reasons why residents' consumption is not sensitive to changes in the rate,and puts forward corresponding countermeasures and suggestions.