Shibor操纵行为检验
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摘要
基于一个银行Shibor报价模型,根据银行的Shibor报价构造一个参照Shibor。相比实际Shibor,参照Shibor不易受操纵行为的影响。若不存在操纵行为,两者将保持一个稳定的状态;若存在操纵行为,两者将出现偏离。运用Bai-Perron检验,通过检验两个Shibor基差绝对值的结构断点来检验Shibor操纵行为。相比已有的检验方法,该方法可以剔除其他因素的干扰。实证结果显示:1年期Shibor基本不存在操纵迹象,其他期限的Shibor在2010年开始出现操纵迹象;2012年3月起,操纵迹象陆续开始消除,2015年5月之后,所有期限的Shibor均不存在操纵迹象。从各银行的Shibor报价上看,兴业银行、中国银行和招商银行存在操纵的可能性最大,汇丰中国存在操纵的可能性最小。
Based on a theoretical model of Shibor(Shanghai InterBank Offered Rate) quote submission, Shibor quotes was used to build a reference Shibor. Unlike the actual Shibor, the reference one is less vulnerable to manipulation. If there is no manipulation, these two Shibors will stay in a fixed pattern. However, if there is manipulation, they will diverge. Besides, the Bai-Perron test was used to detect the potential manipulation of Shibor by testing the structure break of the absolute value of the spread between these two Shibors. Compared to the current approaches, the new detecting approach can eliminate the disturbance of other factors. The empirical results showed that the 1-year Shibor had no sign of manipulation but other Shibors began to have manipulation in 2010 which seemed to disappear one after the other in March 2012. After May 2015, there was no sign of manipulation at all. In regard of the quotes of individual banks, China Industrial Bank(CIB), Bank of China(BOC), and China Merchants Bank(CMB) are most likely to manipulate but Hongkong and Shanghai Banking(HSBC) is least likely to manipulate.
Based on a theoretical model of Shibor(Shanghai InterBank Offered Rate) quote submission, Shibor quotes was used to build a reference Shibor. Unlike the actual Shibor, the reference one is less vulnerable to manipulation. If there is no manipulation, these two Shibors will stay in a fixed pattern. However, if there is manipulation, they will diverge. Besides, the Bai-Perron test was used to detect the potential manipulation of Shibor by testing the structure break of the absolute value of the spread between these two Shibors. Compared to the current approaches, the new detecting approach can eliminate the disturbance of other factors. The empirical results showed that the 1-year Shibor had no sign of manipulation but other Shibors began to have manipulation in 2010 which seemed to disappear one after the other in March 2012. After May 2015, there was no sign of manipulation at all. In regard of the quotes of individual banks, China Industrial Bank(CIB), Bank of China(BOC), and China Merchants Bank(CMB) are most likely to manipulate but Hongkong and Shanghai Banking(HSBC) is least likely to manipulate.
引文
[1]方意,方明.中国货币市场基准利率的确立及其动态关系研究[J].金融研究,2012(7):84-97.
[2]梁琪,张孝岩,过新伟.中国金融市场基准利率的培育---基于构建完整基准收益率曲线的实证分析[J].金融研究,2010(9):81-98.
[3]彭红枫,鲁维洁.中国金融市场基准利率的选择研究[J].管理世界,2010(11):166-167.
[4]王志栋.中国货币市场基准利率选择的实证研究[J].投资研究,2012(1):25-40.
[5]钱雪松,杜立,马文涛.中国货币政策利率传导有效性研究:中介效应和体制内外差异[J].管理世界,2015(11):11-28.
[6]沈传河,王向荣.金融市场联动形态结构的非线性分析[J].管理科学学报,2015(2):66-75.
[7]周颖颖,秦学志,杨瑞成.Shibor适用的短期利率模型[J].系统管理学报,2009,18(1):21-26.
[8]于建忠,刘湘成.Shibor定价理论模型研究及其应用[J].金融研究,2009(2):40-53.
[9]林宇,陈粘,陈宴祥.基于HMM-EGARCH的银行间同业拆放利率市场波动预测研究[J].系统工程理论与实践,2016(3):593-603.
[10]杨宝臣,苏云鹏.基于无损卡尔曼滤波的HJM模型及实证研究[J].管理科学学报,2010,13(4):67-75.
[11]Chen L,Zhou Z.Are there some manipulations of SHIBOR:A hypothesis testing based on financial products linked to SHIBOR[J].Procedia Computer Science,2013,17:939-944.
[12]Abrantes-Metz R M,Kraten M,Metz A D,et al.Libor manipulation?[J].Journal of Banking&Finance,2012,36(1):136-150.
[13]Fouquau J,Spieser P K.Statistical evidence about LIBOR manipulation:A“Sherlock Holmes”investigation[J].Journal of Banking&Finance,2015,50:632-643.
[14]Monticini A,Thornton D L.The effect of underreporting on LIBOR rates[J].Journal of Macroeconomics,2013,37(37):345-348.
[15]Mollenkamp C,Whitehouse M.Study casts doubt on key rate[N].Wall Street Journal,2008(May 29).
[16]Kuo D,Skeie D,Vickery J.A comparison of Libor to other measures of bank borrowing costs[R].Federal Reserve Bank of New York Working Paper,2012.
[17]Gandhi P,Golez B,Jackwerth J C,et al.Financial market misconduct and public enforcement:The case of libor manipulation[R].Social Science Electronic Publishing,2018.
[18]Snider C A,Youle T.The fix is in:Detecting portfolio driven manipulation of the libor[R].Social Science Research Network,2012.
[19]Diehl C.The LIBOR mechanism and related games[R].Center for Mathematical Economics Working Papers,2013:482.
[20]Bai J,Perron P.Estimating and testing linear models with multiple structural changes[J].Econometrica,1998,66:47-78.
[21]Bai J,Perron P.Computation and analysis of multiple structural change models[J].Journal of Applied Econometrics,2003,18(1):1-22.
[22]吴振信,万埠磊,王书平,等.欧盟碳价波动的结构突变特性检验[J].数理统计与管理,2015(6):969-977.
1)Shibor报价可以看成银行对整个市场资金成本的估计,各银行的估计值应当大体一致
2)对其他银行的报价行为有一个较为精准的判断,也是非合作模型下银行能够顺利操纵Shibor的必要条件
3)数据源自Shibor官网
4 )在实际计算过程中,直接使用实际的Shibor数据,而不是由Shibor报价重新生成Shibor
5)HAC同样采用Bartlett核函数与Newey-West Fixed频宽,允许误差分布在断点前后不同
6)6月期偏离指标的第3个断点是唯一一个系数不显著的断点(见表2)。但系数不显著同样支持6月期Shibor在第3个断点出现之后仍旧不存在操纵的结论
[2]梁琪,张孝岩,过新伟.中国金融市场基准利率的培育---基于构建完整基准收益率曲线的实证分析[J].金融研究,2010(9):81-98.
[3]彭红枫,鲁维洁.中国金融市场基准利率的选择研究[J].管理世界,2010(11):166-167.
[4]王志栋.中国货币市场基准利率选择的实证研究[J].投资研究,2012(1):25-40.
[5]钱雪松,杜立,马文涛.中国货币政策利率传导有效性研究:中介效应和体制内外差异[J].管理世界,2015(11):11-28.
[6]沈传河,王向荣.金融市场联动形态结构的非线性分析[J].管理科学学报,2015(2):66-75.
[7]周颖颖,秦学志,杨瑞成.Shibor适用的短期利率模型[J].系统管理学报,2009,18(1):21-26.
[8]于建忠,刘湘成.Shibor定价理论模型研究及其应用[J].金融研究,2009(2):40-53.
[9]林宇,陈粘,陈宴祥.基于HMM-EGARCH的银行间同业拆放利率市场波动预测研究[J].系统工程理论与实践,2016(3):593-603.
[10]杨宝臣,苏云鹏.基于无损卡尔曼滤波的HJM模型及实证研究[J].管理科学学报,2010,13(4):67-75.
[11]Chen L,Zhou Z.Are there some manipulations of SHIBOR:A hypothesis testing based on financial products linked to SHIBOR[J].Procedia Computer Science,2013,17:939-944.
[12]Abrantes-Metz R M,Kraten M,Metz A D,et al.Libor manipulation?[J].Journal of Banking&Finance,2012,36(1):136-150.
[13]Fouquau J,Spieser P K.Statistical evidence about LIBOR manipulation:A“Sherlock Holmes”investigation[J].Journal of Banking&Finance,2015,50:632-643.
[14]Monticini A,Thornton D L.The effect of underreporting on LIBOR rates[J].Journal of Macroeconomics,2013,37(37):345-348.
[15]Mollenkamp C,Whitehouse M.Study casts doubt on key rate[N].Wall Street Journal,2008(May 29).
[16]Kuo D,Skeie D,Vickery J.A comparison of Libor to other measures of bank borrowing costs[R].Federal Reserve Bank of New York Working Paper,2012.
[17]Gandhi P,Golez B,Jackwerth J C,et al.Financial market misconduct and public enforcement:The case of libor manipulation[R].Social Science Electronic Publishing,2018.
[18]Snider C A,Youle T.The fix is in:Detecting portfolio driven manipulation of the libor[R].Social Science Research Network,2012.
[19]Diehl C.The LIBOR mechanism and related games[R].Center for Mathematical Economics Working Papers,2013:482.
[20]Bai J,Perron P.Estimating and testing linear models with multiple structural changes[J].Econometrica,1998,66:47-78.
[21]Bai J,Perron P.Computation and analysis of multiple structural change models[J].Journal of Applied Econometrics,2003,18(1):1-22.
[22]吴振信,万埠磊,王书平,等.欧盟碳价波动的结构突变特性检验[J].数理统计与管理,2015(6):969-977.
1)Shibor报价可以看成银行对整个市场资金成本的估计,各银行的估计值应当大体一致
2)对其他银行的报价行为有一个较为精准的判断,也是非合作模型下银行能够顺利操纵Shibor的必要条件
3)数据源自Shibor官网
4 )在实际计算过程中,直接使用实际的Shibor数据,而不是由Shibor报价重新生成Shibor
5)HAC同样采用Bartlett核函数与Newey-West Fixed频宽,允许误差分布在断点前后不同
6)6月期偏离指标的第3个断点是唯一一个系数不显著的断点(见表2)。但系数不显著同样支持6月期Shibor在第3个断点出现之后仍旧不存在操纵的结论