DocumentCode
2435214
Title
An empirical analysis on Chinese inter-bank offered rate based on the VEC model
Author
Zhuang Yu ; Su Hong ; Liang Ming-jiang
Author_Institution
Manage. Sch., Northwestern Polytech. Univ., Xi´an, China
fYear
2011
fDate
8-11 Jan. 2011
Firstpage
205
Lastpage
208
Abstract
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.
Keywords
banking; economic forecasting; economic indicators; statistical testing; Chinese interbank offered rate; VEC model; cointegrating equation curve; consumer price index; forecasting; negative rate period; producer price index; statistics test; vector error correction; Analytical models; Biological system modeling; Correlation; Electric shock; Equations; Indexes; Mathematical model; CHIBOR; VEC model; cointegrating equation; impulse response; statistics tests;
fLanguage
English
Publisher
ieee
Conference_Titel
Management Science and Industrial Engineering (MSIE), 2011 International Conference on
Conference_Location
Harbin
Print_ISBN
978-1-4244-8383-9
Type
conf
DOI
10.1109/MSIE.2011.5707697
Filename
5707697
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