Abstract:

The Inter-Bank Bond Repo Rate and Shibor are two guidance short-term interest rates in China's Monetary Market. They reflect the short-term financing costs of the Inter-bank bond market and the Inter-bank borrowing market respectively. This empirical analysis on the difference between the Inter-Bank Bond Repo Rate and Shibor finds out three indices, i.e., the well-balanced, attention and close attention numerical intervals, which will help the Central Bank monitor risks of the Inter-bank local currency market easier.

Key words: Inter-Bank Bond Repo Rate, Shibor, non-parametric test, method of percentiles, confidence interval estimation