我國(guó)貨幣市場(chǎng)的基準(zhǔn)利率及其管制因素
發(fā)布時(shí)間：2018-09-01 15:15
【摘要】：通過建立VAR模型,使用Granger因果檢驗(yàn)及脈沖響應(yīng)函數(shù)、方差分解等分析方法,揭示我國(guó)同業(yè)拆借市場(chǎng)利率、債券市場(chǎng)利率等短期利率之間的動(dòng)態(tài)關(guān)系。分析結(jié)果表明,七日債券回購(gòu)利率R007是所有市場(chǎng)利率的Granger成因,是當(dāng)前我國(guó)貨幣市場(chǎng)上的基準(zhǔn)利率;上海銀行間同業(yè)拆借利率作為我國(guó)金融市場(chǎng)上的基準(zhǔn)利率缺乏足夠的證據(jù)支持。
[Abstract]:By establishing VAR model, using Granger causality test, impulse response function, variance decomposition and other analytical methods, the dynamic relationship between short-term interest rates such as interbank offered rate and bond market interest rate is revealed. The results show that the seven-day bond repo rate R007 is the Granger cause of all market interest rates and the benchmark interest rate in China's money market. The Shanghai Interbank offered rate (IBOR) as the benchmark interest rate in China's financial market lacks sufficient evidence to support it.
【作者單位】： 北京大學(xué)經(jīng)濟(jì)學(xué)院;
【分類號(hào)】：F822.0
[Abstract]:By establishing VAR model, using Granger causality test, impulse response function, variance decomposition and other analytical methods, the dynamic relationship between short-term interest rates such as interbank offered rate and bond market interest rate is revealed. The results show that the seven-day bond repo rate R007 is the Granger cause of all market interest rates and the benchmark interest rate in China's money market. The Shanghai Interbank offered rate (IBOR) as the benchmark interest rate in China's financial market lacks sufficient evidence to support it.
【作者單位】： 北京大學(xué)經(jīng)濟(jì)學(xué)院;
【分類號(hào)】：F822.0
【參考文獻(xiàn)】
相關(guān)期刊論文 前6條
1 楊紹基;我國(guó)銀行間債券回購(gòu)利率影響因素的實(shí)證研究[J];南方金融;2005年08期
2 溫彬;我國(guó)利率市場(chǎng)化后基準(zhǔn)利率選擇的實(shí)證研究[J];國(guó)際金融研究;2004年11期
3 黃牧e，
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