An Empirical Study on the Linkage Between Offshore and Onshore Interbank Offered Rate

Abstract

This article uses Granger causality test and vector autoregression model to investigate the linkage between SHIBOR and CNH-HIBOR. The results showed that the existence of linkage between two short-term varieties, long-term varieties did not show linkage, and the offshore market has an impact on the onshore market, short-term maturity varieties respond more rapidly to impacts, while long-term maturity varieties respond to impacts that take a long time to digest. The results show that the linkage between China’s inter-bank lending rate and the onshore market is gradually increasing, it’s need to further strengthen SHIBOR’S s the basic position, and constantly improve the quotation mechanism and relax offshore market restrictions.