How to Analyze Interbank Lending Market?

External question — Quantitative Finance Stack Exchange Author: Firhat Nawfan H. Original post: https://quant.stackexchange.com/questions/9286 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I am currently trying to do a study in the interbank lending market, i plan to fit a DCC model to model them, these series below is taken from datastream and what i wanted to do is to get these series from each nation (chn, fra, ger, gre, hk, id, ita, jp, my, sing, skor, sp , th, uk, us) overnight or o/n and tomorrow/next or t/n 1 week 1 month 6 month 1 year what confused me was the naming of these series e.g. does bangkok interbank rate 1 Yr represent all of Thailand instead of the non existant thailand interbank rate 1 Yr e.g. does t/n equal with o/n what is EU-FRANC and EU-MARK middle rate vs offered rate and finally could someone point me to what literature i should read ? note: i had read Mishkin's Financial Market and Institutions , it doesnt help these are the series that i had in my hand now CHINA INTERBANK O/N - OFFERED RATE CHINA INTERBANK 1 WEEK - OFFERED RATE CHINA INTERBANK 1 MONTH - OFFERED RATE SHANGHAI INTERBANK RATE - 1 WEEK - MIDDLE RATE SHANGHAI INTERBANK RATE - 1 MONTH - MIDDLE RATE SHANGHAI INTERBANK RATE - 6 MONTHS - MIDDLE RATE SHANGHAI INTERBANK RATE - 1 YEAR - MIDDLE RATE CHINA INTEREST ON EXC RES(DISC) - MIDDLE RATE CHINA RESERVE REQ. RATIO: SML BANK - MIDDLE RATE CHINA RESERVE REQ. RATIO: BIG BANK - MIDDLE RATE CHINA RES. REQ. RAT. RURAL CR. COOP. - MIDDLE RATE CHINA OVERNIGHT CALL DEP. RATE - MIDDLE RATE CHINA DEMAND depo RT(DISC) - MIDDLE RATE CHINA CALL DEPOSIT RATE, 1W - MIDDLE RATE CHINA REPO O/N - MIDDLE RATE CHINA REDISCOUNTING RATE - MIDDLE RATE CHINA REPO 1 WEEK - MIDDLE RATE CHINA REPO 1 MONTH - MIDDLE RATE CHINA REPO 6 MONTH - MIDDLE RATE CHINA REPO 1 YEAR - MIDDLE RATE FRANCE INTERBANK 1 YEAR - OFFERED RATE FRANCE INTERBANK 6 MONTH - OFFERED RATE FRANCE INTERBANK 1 MONTH - OFFERED RATE FRANCE PIBOR 1 MONTH - OFFERED RATE FRANCE PIBOR 1 MONTH MONTH AVG. - OFFERED RATE FRANCE EU-FRANC S/T (FT/ICAP/TR) - MIDDLE RATE FRANCE EU-FRANC 1WK (FT/ICAP/TR) - MIDDLE RATE FRANCE EU-FRANC 1M (FT/ICAP/TR) - MIDDLE RATE FRANCE EU-FRANC 6M (FT/ICAP/TR) - MIDDLE RATE FRANCE EU-FRANC 1YR (FT/ICAP/TR) - MIDDLE RATE FRANCE INTERBANK CALL (TMP) - OFFERED RATE FRANCE INTERBANK CALL (TMM) - MIDDLE RATE FRANCE INTERBANK CALL (TAM) - MIDDLE RATE GERMANY EU-MARK S/T (FT/ICAP/TR) - MIDDLE RATE GERMANY EU-MARK 1WK (FT/ICAP/TR) - MIDDLE RATE GERMANY EU-MARK 1M (FT/ICAP/TR) - MIDDLE RATE GERMANY EU-MARK 6M (FT/ICAP/TR) - MIDDLE RATE GERMANY EU-MARK 1 YR (FT/ICAP/TR) - MIDDLE RATE GERMANY INTERBANK OVERNIGHT - OFFERED RATE GERMANY INTERBANK 1 MONTH - OFFERED RATE GERMANY INTERBANK 6 MONTH - OFFERED RATE GERMANY INTERBANK 12 MONTH - OFFERED RATE MNY MKT - OVERNIGHT FF BANKS(DISC) - MIDDLE RATE MNY MKT - 1-MONTH FF BANKS(DISC) - MIDDLE RATE MNY MKT - 6-MONTH FF BANKS(DISC) - MIDDLE RATE MNY MKT - 12-MONTH FF BANKS(DISC) - MIDDLE RATE GREECE INTERBANK 6 MONTH - MIDDLE RATE GREECE INTERBANK 1 MONTH - MIDDLE RATE GREECE DEPOSIT OVERNIGHT - MIDDLE RATE GREECE DEPOSIT SPOT NEXT - MIDDLE RATE GREECE DEPOSIT TOMORROW NEXT - MIDDLE RATE GREECE LOMBARD - MIDDLE RATE GREECE DISCOUNT - MIDDLE RATE GREECE INTERVENTION - MIDDLE RATE GREECE OVERDRAFT - MIDDLE RATE GREECE DEPOSIT 1 WEEK - MIDDLE RATE GREECE DEPOSIT 6 MONTH - MIDDLE RATE GREECE DEPOSIT 1 YEAR - MIDDLE RATE HONG KONG PRIME - MIDDLE RATE HKD DEPO TOM/NEXT - MIDDLE RATE HKD INTERBANK FIX 2 WEEK - OFFERED RATE HKD DEPO OVERNIGHT - MIDDLE RATE HKD DEPO 1 WEEK - MIDDLE RATE HKD DEPO 1 MONTH - MIDDLE RATE HKD DEPO 6 MONTH - MIDDLE RATE HKD DEPO 1 YEAR - MIDDLE RATE HKD INTERBANK FIX 1 DAY - OFFERED RATE HKD INTERBANK FIX 1 WEEK - OFFERED RATE HKD INTERBANK FIX 1 MONTH - OFFERED RATE HKD INTERBANK FIX 6 MONTH - OFFERED RATE HKD INTERBANK FIX 1 YEAR - OFFERED RATE HONG KONG BASE RATE - MIDDLE RATE INDONESIAN INTERBANK O/N - MIDDLE RATE INDONESIAN INTERBANK 1W - MIDDLE RATE INDONESIAN INTERBANK 1M - MIDDLE RATE INDONESIAN INTERBANK 6M - MIDDLE RATE INDONESIAN INTERBANK 1Y - MIDDLE RATE INDONESIA BI RATE - MIDDLE RATE INDONESIA SBI 30 DAY - MIDDLE RATE ITALY INTERBANK 7 DAY - OFFERED RATE ITALY INTERBANK 1 MONTH - OFFERED RATE ITALY INTERBANK 6 MONTH - OFFERED RATE ITALY INTERBANK 12 MONTH - OFFERED RATE ITALY ATIC INTERBANK OVERNIGHT - MIDDLE RATE ITALY ATIC INTERBANK SPOT NEXT - MIDDLE RATE ITALY ATIC INTERBANK T/N - MIDDLE RATE ITALY EURO-LIRE T/N (FT/ICAP/TR) - MIDDLE RATE ITALY EURO-LIRE 1M (FT/ICAP/TR) - MIDDLE RATE ITALY EURO-LIRE 6M (FT/ICAP/TR) - MIDDLE RATE ITALY EURO-LIRE 1 YR (FT/ICAP/TR) - MIDDLE RATE ITALY EURO-LIRE 1WK (FT/ICAP/TR) - MIDDLE RATE TOKYO INTERBANK JP YEN 1W - OFFERED RATE TOKYO INTERBANK JP YEN 1M - OFFERED RATE TOKYO INTERBANK JP YEN 6M - OFFERED RATE TOKYO INTERBANK JP YEN 1Y - OFFERED RATE TOKYO INTERBANK EUROYEN 1W - OFFERED RATE TOKYO INTERBANK EUROYEN 1M - OFFERED RATE TOKYO INTERBANK EUROYEN 6M - OFFERED RATE TOKYO INTERBANK EUROYEN 1Y - OFFERED RATE JAPAN BASIC DISCOUNT RT(DISC) - MIDDLE RATE JAPAN GENSAKI T BILL OVERNIGHT - MIDDLE RATE JAPAN GENSAKI T BILL 1 WEEK - MIDDLE RATE JAPAN GENSAKI T BILL 1 MONTH - MIDDLE RATE JAPAN INTERBANK (OFFSHORE) 1M - OFFERED RATE JAPAN INTERBANK (OFFSHORE) 6M - OFFERED RATE JAPAN INTERBANK (OFFSHORE) 1Y - OFFERED RATE JAPAN PRIME LENDING SHORT TERM - MIDDLE RATE JAPAN PRIME LENDING LONG TERM - MIDDLE RATE JAPAN LIBOR CAPITAL. INDEX 1 MONTH - TOT RETURN IND JAPAN LIBOR CAPITAL. INDEX 6 MONTH - TOT RETURN IND JAPAN (TOKYO) FOREX SPOT MIL US - VOLUME TRADED JAPAN (TOKYO) FOREX SWAP MIL US - VOLUME TRADED MALAYSIA INTERBANK DEP. OVERNIGHT - MIDDLE RATE OVERNIGHT POLICY RATE - MIDDLE RATE MALAYSIA INTERBANK DEPOSIT 1 WEEK - MIDDLE RATE MALAYSIA INTERBANK DEPOSIT 1 MONTH - MIDDLE RATE MALAYSIA INTERBANK depo 6MS(DISC) - MIDDLE RATE MALAYSIA INTERBANK DEP. 1Y(DISC) - MIDDLE RATE MALAYSIA BASE LENDING - MIDDLE RATE MALAYSIA INTERBANK OVERNIGHT - MIDDLE RATE MALAYSIA INTERBANK 1 WEEK - MIDDLE RATE MALAYSIA INTERBANK 6 MONTH - MIDDLE RATE MALAYSIA INTERBANK 1 YEAR - MIDDLE RATE MALAYSIA DEPOSIT 1 MONTH - MIDDLE RATE MALAYSIA DEPOSIT 6 MONTH - MIDDLE RATE MALAYSIA DEPOSIT 1 YEAR - MIDDLE RATE MALAYSIA KLIBOR ONE MONTH - OFFERED RATE MALAYSIA KLIBOR SIX MONTH - OFFERED RATE MALAYSIA KLIBOR ONE YEAR - OFFERED RATE MALAYSIA RRR - COMMERCIAL BANKS - MIDDLE RATE MALAYSIA RRR - MERCHANT BANKS - MIDDLE RATE SINGAPORE DBS BANK PRIME RATE - MIDDLE RATE SINGAPORE INTERBANK CALL - MIDDLE RATE SINGAPORE INTERBANK 1 WEEK - MIDDLE RATE SINGAPORE INTERBANK 1 MONTH - MIDDLE RATE SINGAPORE INTERBANK 6 MONTH - MIDDLE RATE SINGAPORE INTERBANK 1 YEAR - MIDDLE RATE SINGAPORE REPO O/N - MIDDLE RATE SINGAPORE REPO 1 WEEK - MIDDLE RATE SINGAPORE REPO 1 MONTH - MIDDLE RATE SINGAPORE REPO OVERNIGHT - MIDDLE RATE SINGAPORE INTERBANK 0/N (MAS) - MIDDLE RATE SINGAPORE INTERBAN 1 MONTH (MAS) - MIDDLE RATE SINGAPORE SIBOR US 1 WEEK (MAS) - OFFERED RATE SINGAPORE SIBOR US 1 MONTH (MAS) - OFFERED RATE SINGAPORE SIBOR US 6 MONTH (MAS) - OFFERED RATE SINGAPORE SIBOR US 1 YEAR (MAS) - OFFERED RATE KOREA OVERNIGHT CALL RATE (BROKERED) - MIDDLE RATE SEOUL INTERBANK 1 MONTH - OFFERED RATE SEOUL INTERBANK 1 WEEK - OFFERED RATE SEOUL INTERBANK 1 YEAR - OFFERED RATE SEOUL INTERBANK 6 MONTH - OFFERED RATE BANK OF KOREA BASE RATE - MIDDLE RATE KO AGG. CDT CEILING LOANS RATE - MIDDLE RATE KO LIQUIDITY ADJST. LOANS RATE - MIDDLE RATE KO CALL RATE O/N ALL TRADES - MIDDLE RATE KOREAN WON SPOT WEEK IMPLIED DEPOSIT - MIDDLE RATE KOREAN WON 1 MONTH IMPLIED DEPOSIT - MIDDLE RATE KOREAN WON 6 MONTH IMPLIED DEPOSIT - MIDDLE RATE KOREAN WON 1 YEAR IMPLIED DEPOSIT - MIDDLE RATE SPAIN INTERBANK OVERNIGHT - MIDDLE RATE SPAIN INTERBANK 1 WEEK - MIDDLE RATE SPAIN INTERBANK 1 MONTH - MIDDLE RATE SPAIN INTERBANK 6 MONTH - MIDDLE RATE SPAIN INTERBANK 12 MONTH - MIDDLE RATE SPAIN INTERBANK W/A OVERNIGHT - MIDDLE RATE SPAIN INTERBANK W/A 1 WEEK - MIDDLE RATE SPAIN INTERBANK W/A 1 MONTH - MIDDLE RATE SPAIN INTERBANK W/A 6M(DISC) - MIDDLE RATE SPAIN INTERBANK W/A 12M(DISC) - MIDDLE RATE BANGKOK INTERBANK 1 WEEK - OFFERED RATE BANGKOK INTERBANK 1 MONTH - OFFERED RATE BANGKOK INTERBANK 6 MONTH - OFFERED RATE BANGKOK INTERBANK 1 YEAR - OFFERED RATE THAILAND INTERBANK O/N (BT) - MIDDLE RATE THAILAND PRIME RETAIL (BOT) - MIDDLE RATE THAILAND LENDING (BOT) - MIDDLE RATE THAILAND PRIME OFFERED (BOT) - MIDDLE RATE THAILAND BILATERAL REPO RATE 1 DAY - MIDDLE RATE THAILAND BILATERAL REPO RATE 7 DAY - MIDDLE RATE THAILAND LOAN/ LIQUIDITY (BOT) - MIDDLE RATE UK REPO BENCHMARK ON (LDN:BBA) 'DEAD' - MIDDLE RATE UK REPO BENCHMARK 1W (LDN:BBA) 'DEAD' - MIDDLE RATE UK REPO BENCHMARK 1M (LDN:BBA) 'DEAD' - MIDDLE RATE UK REPO BENCHMARK 6M (LDN:BBA) 'DEAD' - MIDDLE RATE UK REPO BENCHMARK IY (LDN:BBA) 'DEAD' - MIDDLE RATE UK INTERBANK 11 AM FIXING(USD)1 MTH - OFFERED RATE UK INTERBANK 11 AM FIXING(USD)6 MTH - OFFERED RATE UK INTERBANK 11 AM FIXING(USD)1 YR - OFFERED RATE UK LOCAL AUTHORITY DEPS O/N - MIDDLE RATE UK LOCAL AUTHORITY DEPOSIT 7 DAY - MIDDLE RATE UK LOCAL AUTHORITY DEPOSIT 1 MONTH - MIDDLE RATE UK LOCAL AUTHORITY DEPOSIT 6 MONTH - MIDDLE RATE UK LOCAL AUTHORITY DEPOSIT 1 YEAR - MIDDLE RATE UK INTERBANK OVERNIGHT - MIDDLE RATE UK INTERBANK 7 DAY - MIDDLE RATE UK INTERBANK 1 MONTH - MIDDLE RATE UK INTERBANK 6 MONTH - MIDDLE RATE UK INTERBANK 1 YEAR - MIDDLE RATE US BANK PRIME LOAN - MIDDLE RATE US OVERNIGHT REPO GC - AM - MIDDLE RATE US OVERNIGHT REPO GC - PM - MIDDLE RATE US BID SIDE REPO 12:00 TERM 1 WK. - MIDDLE RATE US BID SIDE REPO 12:00 TERM 1 MTH - MIDDLE RATE INDICATED BID SIDE REPO GC RATE - MIDDLE RATE INDICATED BID SIDE REPO GC TBILL - MIDDLE RATE US OVERNIGHT REPO MM 10:00 GC RATE - MIDDLE RATE US OVERNIGHT REPO MM 10:00 GC TBILL - MIDDLE RATE US LIBOR CAPITAL. INDEX 1 MONTH - TOT RETURN IND US LIBOR CAPITAL. INDEX 6 MONTH - TOT RETURN IND US PRIME RATE CHARGED BY BANKS - MIDDLE RATE US STATE & LOCAL BOND MIDDLE RATE - MIDDLE RATE US CONVENTIONAL FIXED MORTGAGES - MIDDLE RATE

External answer — Quantitative Finance Stack Exchange Author: hroptatyr Original post: https://quant.stackexchange.com/a/9294 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. e.g. does bangkok interbank rate 1 Yr represent all of Thailand instead of the non existant thailand interbank rate 1 Yr Bangkok Interbank Offered Rate, BIBOR, Bank of Thailand Offered Rate are all synonyms, so yes, you can think of BIBOR1Y as Thailand Interbank 1Y. e.g. does t/n equal with o/n No. T/N (tom/next) is a deal that starts tomorrow and matures the next business day thereafter (or sometimes 2 days thereafter). O/N (overnight) is a deal that starts today and matures tomorrow (sometimes the day after tomorrow). S/N (spot next) is a deal that starts when the spot would be delivered and matures the day after that (sometimes 2 days after that). what is EU-FRANC and EU-MARK Not sure exactly. I think it's EUR today but before 1999 it is Deutsche Mark (DEM). Same for EU-FRANC, it's EUR today but before 1999 it's the French Franc (FRF). middle rate vs offered rate The offered rate is the rate at which someone lends you money. The bid rate is the rate for which someone else borrows money of you. And the middle rate is just the average of the two. Edit: Difference between SHIBOR and CHIBOR: CHIBOR is the older curve (instantiated in 1996), SHIBOR is 10 years younger. While you can find lots of transparency in SHIBOR (e.g. here ) getting the same kind of information on CHIBOR is quite a struggle, this article even claims CHIBOR has no global acceptance. Seeing that both IBORs are highly correlated though, and seeing that CHIBOR has a longer history, I 'd go with CHIBOR to represent China (at least for a historical analysis). For a continuous analysis, I'd keep my eye on both, should they ever diverge inexplicably it's probably because CHIBOR rate determination changed; or if it's SHIBOR's fault there will hopefully be some documentation on their official website or the websites of the panel banks.