The Volatility of China Inter-Bank Offered Rate (CHIBOR)-Analysis Based on the GARCH Model

摘要

This paper sets up GARCH models to study the volatility of China inter-bank offered rate (CHIBOR). The findings demonstrate that the volatility of long-term interest rates can be described by the GARCH model while the volatility of the short-term interest rates is interpreted by using the fluctuation of the bank lending rate only, which is found to be the Granger Cause of CHIBOR. So the inverse conductive mechanism in the monetary market is not conducive to the development of CHIBOR as the benchmark rate.