Empirical Research on the Nonlinear Relationship between the Short and the Long Shanghai Interbank Offered Rates

The introduction of Shanghai interbank offered rate (Shibor) will turn back the situation that our country has not really unified benchmark interest rate. The traditional method of unit root test and the method of unit root test under non-linear adjustment, exponential smooth transition autoregressive, have been discussed. Based on Shibor, empirical tests are made: Nonlinearities of Shibor such as overnight rate, one year rate and the spread have been examined, and unit root tests are paid to the level, the first difference and the spread of overnight rate and one year rate based on the traditional method and the method of exponential smooth transition autoregressive respectively. The result shows: There are remarkable non-linear adjustment characteristics in the spread of Shanghai Interbank Offered Rate (Shibor). After considering non-linear adjustment, overnight rate and one year rate are cointegrated with the vector (-1,1)¿, and the long-run equilibrium relationship between them is stable.