Research Article
An Empirical Study on the Effect of the Chinese Interest Rate Corridor on the Short-Term Interest Rate Fluctuation Based on EGAECH-M Model
@INPROCEEDINGS{10.4108/eai.17-6-2022.2322625, author={Peishen Cao and Hongwei Liu}, title={An Empirical Study on the Effect of the Chinese Interest Rate Corridor on the Short-Term Interest Rate Fluctuation Based on EGAECH-M Model}, proceedings={Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2022, Qingdao, China}, publisher={EAI}, proceedings_a={ICIDC}, year={2022}, month={10}, keywords={interest rate corridor short-term interest rate interest rate fluctuation egarch-m model}, doi={10.4108/eai.17-6-2022.2322625} }- Peishen Cao
Hongwei Liu
Year: 2022
An Empirical Study on the Effect of the Chinese Interest Rate Corridor on the Short-Term Interest Rate Fluctuation Based on EGAECH-M Model
ICIDC
EAI
DOI: 10.4108/eai.17-6-2022.2322625
Abstract
After nearly seven years of exploration, the Chinese interest rate corridor has basically formed. However, it is not perfect at present, and the effectiveness of the Chinese interest rate corridor regulation still needs to be discussed. Therefore, this paper uses the high-frequency data of the overnight Shibor and the overnight Chibor from January 1, 2010 to April 30, 2021 as research samples, and constructs EGARCH-M model for research. Then, using the parameter estimation results of the model to calculate the eigenvalues of the sample interest rate volatility, so as to analyze the impact of the Chinese interest rate corridor on the short-term interest rate fluctuation and explore the effectiveness of the Chinese interest rate corridor regulation. The results show that the Chinese interest rate corridor can effectively alleviate the fluctuation of the short-term market interest rate, it can be seen that the Chinese interest rate corridor is more effective in regulating the short-term interest rate fluctuation.