3.5财务金融系系列讲座之111期
时间：2013年3月5日（周二）13:30
地点：史带楼303室
主持人：Dr. Gong Zhan (战功 博士)
Department of Finance, School of Management, Fudan University
主题：What Drive Market Interest Rates in China?
演讲者：Prof. Longzhen Fan （范龙振 教授）
Department of Finance, School of Management, Fudan University
摘要: China’s interest rate market is unique because its central bank sets a term structure of official interest rates on bank deposits and loans as well as money supply. In this paper we explore both theoretically and empirically how market interest rates in China are related to economic fundamentals, bond demand and supply, and official interest rates and money supply. We first develop a theoretic model with both preferred habitat investors and arbitrageurs and show how the short term and long term market interest rates are related to these factors, and then empirically test their relationships. Different from the interest rate market in the U.S., We find that while the short-term rate in China is closely tied to the official interest rates and bond demand, it has a weak relationship with economic variables. In contrast, we find that the long-term rates are sensitive to the industrial production growth and inflation rate as well as the official interest rates and bond demand. We attribute these results to the unique monetary policy system in China.
财务金融系
2013-2-27
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