Work

Who leads in China's interbank market? Information networks and quote spillovers in SHIBOR

Year: 2025

Type: article

Abstract: This paper investigates quote spillovers and information transmission among Shanghai Interbank Offered Rate (SHIBOR) panel banks across different maturities. We find strong synchronization in short-term quote submissions, with increasing heterogeneity and asymmetry at longer tenors. Large state-owned banks consistently act as dominant transmitters of market signals, while joint-stock and city commercial banks tend to be followers. Despite being foreign-owned, HSBC often acts as a key transmitter, highlighting the importance of global reach and cross-border liquidity. Empirical analysis shows that economic policy uncertainty, systemic risk exposure, and China's central bank open market operations are key drivers of spillover dynamics. The results provide new insights into the structural behavior of China's interbank market and the stability of its interest rate benchmark system.

Source: Pacific-Basin Finance Journal

DOI: 10.1016/j.pacfin.2025.102948

Authors: Yu-Lun Chen, Ming-Che Hu, Wen-Ju Liao, Yu-Ting Chang

Institutions: Chung Yuan Christian University, National Taipei University, Feng Chia University, National Yang Ming Chiao Tung University

Language: English

Topic: Banking stability, regulation, efficiency

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,090

Funder: National Science and Technology Council