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A Research on Interbank Loan Interest Rate Fluctuation Characteristics and the VaR Risk of China’s Commercial Banks

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Figure

Figure 1. 1-week shibor rate fluctuation.
Figure 2. The rate difference fluctuation figure. Data sources of Figures 1 and 2: http//:www.bba.org.uk/; http//:www.chinamoney.com.cn/
Table 4. ARCH effect test.
Figure 4. Dynamic VaR value of the interbank mark  etlending position.

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