SHIBOR能成为中国货币市场基准利率吗——基于2007.1—2008.3间SHIBOR数据的经验分析  

Can SHIBOR become the benchmark interest rate of China's monetary market?—Empirical analysis based on SHIBOR data during the period of Jan. 2007-Mar. 2008

作　　者：方先明[1] 花旻[1] 

机构地区：[1]南京大学经济学院,江苏南京210093

出　　处：《经济学家》2009年第1期85-92,共8页Economist

基　　金：教育部哲学社会科学创新基地"南京大学经济转型和发展研究中心"子课题"对外开放与中国经济转型及发展研究"项目资助;国家社会科学基金项目(NO04BJL027)的阶段性成果

摘　　要：一国基准利率对于资本市场的发展十分重要,而中国货币市场的基准利率尚处于培育和发展阶段。本文根据基准利率的属性,借助因果关系检验与脉冲响应函数法,构建检验一种利率在货币市场运行中是否具有基础地位和稳定性的理论分析框架。基于理论分析框架,以2007年1月至2008年3月SHIBOR运行以来的经验数据,检验了SHIBOR作为中国货币市场基准利率的可能性。结果表明,SHI-BOR经过仅仅一年多的运行,初步成为货币市场利率变动的风向标,同时SHIBOR具有较高的稳定性,初步具备作为金融产品定价的基础。基于实证研究结果,最后提出了尽快将SHIBOR培育成为中国货币市场基准利率的对策。The benchmark interest rate of a country is quite important for the development of its capital market. However, the benchmark interest rate of China＇ s monetary market remains at the cultivation and development stage. According to the nature of benchmark interest rate, this article constructs a theoretical analysis framework to test whether an interest rate stays at the funda- mental and stable status in the operation of monetary market by the means of causality test and impulse response function. Based on such theoretical analysis framework, we test the possibility of SHIBOR as the benchmark interest rate of China＇ s monetary market according to the empirical data during the period of Jan. 2007--Mar. 2008 since the adoption of SHIBOR. The results show that after one year of operation, it has become the wind vane of the changes in the monetary market. Meanwhile, SHIBOR is of strong stability, which initially gains the base for pricing financial products. Based on the results of the empirical researches, we finally give advices on how to promote SHIBOR to become the benchmark interest rate of China＇ s monetary market as soon as possible.

关 键 词：SHIBOR 基础地位 稳定性 基准利率 

分 类 号：F822.2[经济管理—财政学]