An empirical analysis on Chinese inter-bank offered rate based on the VEC model

摘要

We studied empirically the relations among the CHIBOR, CPI, and PPI with a vector error correction model which is available through various kinds of statistics tests. There is at least a cointegration relation among CHIBOR, CPI, and PPI. Negative rate periods of actual CHIBOR are much more than positive rate periods' based on the cointegrating equation curve. Although the CPI and PPI affect the CHIBOR, the CPI effect is much bigger than the PPI's. The VEC model is able to forecast and analyze changes of the CHIBOR.