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Journal of Dalian University of Technology(Social Sciences). 2018, (05) Core

Choosing the Money Market Benchmark Rate of China——An Empirical Analysis of the Daily Data of Interest RatesChinese Full Text

PENG Zhenzhong;YU Pei;ZHANG Bo;Business School,Beijing Normal University;Economic School,Wuhan University of Technology;Financial Markets Department,Agricultural Bank of China;

Abstract: As the interest rate control mode of the People’s Bank of China is being transformed from direct to indirect control,money market benchmark interest rate choice becomes such an urgent issue that the People’s Bank of China has to address adequately.We find that for the short term（overnight and 7 days）money market interest rates,as the benchmark position of the interbank repo rate and Shanghai interbank offered rate are stronger than that of other rates;For the long term（3 months and longer）money ... More
Keywords：

money market; benchmark rate; Shanghai interbank offered rate; treasury bill rate;

  • DOI：

    10.19525/j.issn1008-407x.2018.05.003

  • Series：

    (H) Education ＆ Social Sciences; (J) Economics ＆ Management

  • Subject：

    Finance

  • Classification Code：

    F822

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