Cómo Analizar el Mercado de Préstamos Interbancarios?

Question

Actualmente estoy tratando de hacer un estudio en el mercado de préstamos interbancarios, tengo el plan de ajuste una DCC modelo a ellos, estas series a continuación está tomado de datastream y lo que yo quería hacer es conseguir estas series de cada nación (chn, fra, ger, gre, hk, id, ita, jp, mi, cantar, skor, sp , th, reino unido, estados unidos)

• overnight o o/n y tomorrow/next o t/n
• 1 semana
• 1 mes
• 6 meses
• 1 año

lo que me confundió fue el nombramiento de estas series

• por ejemplo, bangkok interbank rate 1 Yr representan a todos los de Tailandia en lugar de la no exista thailand interbank rate 1 Yr
• por ejemplo, t/n igual o/n
• ¿qué es EU-FRANC y EU-MARK
• middle rate vs offered rate
• y, finalmente, es posible que alguien me apunte a lo que la literatura debería leer ?
  nota: yo había leído Mishkin's Financial Market and Institutions, no ayuda

estas son las series que he tenido en mi mano ahora

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  

Answer 1

por ejemplo, ¿bangkok tasa interbancaria a 1 Año de representar a todos los de Tailandia en lugar de la no exista tailandia tasa interbancaria a 1 Año

Bangkok Interbank offered Rate, BIBOR, el Banco de Tailandia Tasa de oferta son todos sinónimos, así que, sí, usted puede pensar de BIBOR1Y como Tailandia Interbancario 1Y.

por ejemplo, ¿t/n igual a s/n

No. T/N (tom/next) es un acuerdo que se inicia mañana y se desarrolla el siguiente día hábil a partir de entonces (o, a veces 2 días después). S/N (noche) es un acuerdo que se inicia hoy y se madura el día de mañana (a veces el día después de mañana). S/N (punto siguiente) es un acuerdo que se inicia cuando el lugar iba a ser entregado y con vencimiento el día después de que (a veces 2 días después).

¿qué es la UE-FRANCO y de la UE-MARCA

No estoy seguro exactamente. Creo que es de EUROS de hoy, pero antes de 1999 es el Deutsche Mark (DEM). Mismo para la UE-FRANCO, es de EUROS de hoy, pero antes de 1999 es el Franco francés (FRF).

tasa media vs tasa de oferta

La tasa que se ofrece es la velocidad a la que alguien le presta dinero. La oferta de la tasa es la tasa para que alguien toma prestado dinero de usted. Y la tasa media es simplemente el promedio de los dos.

Editar:
Diferencia entre SHIBOR y CHIBOR:
CHIBOR es el más antiguo de la curva (instanciado en 1996), SHIBOR es 10 años más joven. Mientras que usted puede encontrar un montón de transparencia en SHIBOR (por ejemplo, aquí) obtener el mismo tipo de información en CHIBOR es una lucha, este artículo incluso afirma CHIBOR no tiene aceptación mundial.

Viendo que ambos IBORs están altamente correlacionados, sin embargo, y viendo que CHIBOR tiene una larga historia, I'd ir con CHIBOR para representar a China (al menos para un análisis histórico).

Para un análisis continuo, me gustaría mantener mis ojos en tanto, en caso de que alguna vez divergen inexplicablemente, es probablemente porque CHIBOR la determinación de la tasa cambiado; o si es SHIBOR la culpa no se espera que sea parte de la documentación en su sitio web oficial o en los sitios web del panel de bancos.