NDLI: Empirical Research on the Dynamic Correlation between SHIBOR and NDF Implied Interest Rate

Content Provider	IEEE Xplore Digital Library
Author	Xiaojian Yu Jiaping Zhang
Copyright Year	2008
Description	Author affiliation: Res. Center of Financial Eng., South China Univ. of Technol., Guangzhou (Xiaojian Yu; Jiaping Zhang)
Abstract	Unlike exist study on the spill-over effect between RMB exchange rate and interest rate, this paper is the first study on the spill-over effect between money market and RMB NDF market. Two multivariate GARCH models including diagonal VEC and BEKK are employed to analyze the dynamic correlation between SHIBOR and Non-deliverable forward implied interest rate (NDF IR). Two short-term interest rates with maturity of 1-week and 3-month are studied here. The results show that there exists dynamic correlation between NDF IR and SHIBOR. In term of volatility, 3-month NDF IR shows significant time varying variance characteristic and volatility persistence, and affects 3-month SHIBOR more significant than the effect on 1-week SHIBOR by 1-week NDF IR On the contrary, SHIBOR has little effect on NDF IR. 3-month SHIOR and NDF IR shows strong co-movement, but weak between the term of 1-week By studying the relationship between NDF IR and SHIBOR, we conclude that RMB NDF has a strong spill-over effect on Chinese money market, especially on 3-month market.
Starting Page	1
Ending Page	4
File Size	133463
Page Count	4
File Format	PDF
ISBN	9781424421077
DOI	10.1109/WiCom.2008.2407
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2008-10-12
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Exchange rates Reactive power Economic indicators Forward contracts Time series analysis Covariance matrix
Content Type	Text
Resource Type	Article

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