Empirical Test of the Term Structure of Shibor Based on the Expectation Theory
Hongtao Wang · Yunchou yu guanli · 2010
This paper studies the term structure of Shibor and reviews the three test methods of term structure expectation theory.From the ADF unit root test,the short-term Shibor is found to be stationary while the medium-and long-term Shibor is found to have unit root.Then,the expectation theory is tested on the whole Shibor using linear regression method,short-term Shibor using vector autoregression method and medium-and long-term Shibor using cointegration test method.But the expectation theory is found not to be valid on the three sections of Shibor.Through the analysis of the test result,we suggest that medium-and long-term Shibor and quotation system should be improved.