Market Analysis and Dependencies Exploration of the Tunisia Interbank Offered Rate

Abstract

In this article, we consider the Tunisia InterBank Offered Rate (TUNIBOR) which is the interest rate at which Tunisian banks lend and borrow liquidity in the Tunisian interbank market which is the arithmetic average of the interest rates fixed and submitted by the Tunisian most active banks (ranking is determined by the Banque Centrale de Tunisie). Then, it is given as an indication for lending and borrowing operations carried out between Tunisian banks. This study focuses on exploring the dependencies of the TUNIBOR with external factors. The first part presents the approach used by the authors to collect the dataset. In the second part, we will explore the dependencies of the TUNIBOR and look for potential correlations. Finally, we present the computation results that lead to the choice of the optimal parameters for the models proposed.