The "Pure Contagion" Effect between SHIBOR and Multinational Benchmark Interest Rates
Journal Title: Scholars Journal of Engineering and Technology - Year 2017, Vol 5, Issue 10
Abstract
By the Crisis contagion canonical model put forward by Pesaran & Pick, this paper verified whether there is a pure contagion effect between the SHIBOR and the benchmark interest rates of several representative countries, and measured the scale of the effect. Finally, it is found that, the benchmark interest rates of developed countries except Japan have positive pure contagion effects on SHIBOR in varying degrees, while the SHIBOR has no significant pure contagion to the benchmark interest rates in developed countries except Japan; different from the empirical results of developed countries, the benchmark interest rate of BRICs member states has negative pure contagion effects of varying degrees to SHIBOR, but the SHIBOR has a more negative pure contagion effects on the benchmark interest rate of BRICs member states. Keywords:benchmark interest rate; dependence; pure contagion
Authors and Affiliations
Dong Zhen
Keywords
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