Term structure of China's short term interest rate

Short term interest rate is the most important prices in currency market. To capture the dynamics - of China ' s short term interest rate, the paper puts up a basic model of term structure for China ' s interbank offered rate. We proposed several hypotheses for the main parameters of the basis model and applied time series models to empirically study the term structure of China ' s interbank offered rate. We found that the term structure of China ' s short term interest rate has persistent volatility and the drift error term has apparent asymmetry.