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
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;
Conference_Titel :
Management Science and Industrial Engineering (MSIE), 2011 International Conference on
Conference_Location :
Harbin
Print_ISBN :
978-1-4244-8383-9
DOI :
10.1109/MSIE.2011.5707697
