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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  
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1 Answer

up vote 3 down vote accepted

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.

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now this is an extra, but can you explain whats the difference between SHIBOR and CHIBOR? which rate actually represent China? –  Firhat Nawfan H. Oct 29 '13 at 21:59
    
@FirhatNawfanH see my edit –  hroptatyr Oct 30 '13 at 6:09
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