基于市场利率波动测度的货币政策操作风险研究  

Research on Operational Risk of Monetary Policy by Measuring Volatility of Interest Rate in Money Market

作　　者：贾德奎[1] 

机构地区：[1]上海立信会计学院中国立信风险管理研究院,上海201620

出　　处：《上海立信会计学院学报》2009年第3期79-85,共7页Journal of Shanghai Lixin University of Commerce

基　　金：教育部人文社会科学研究项目(07JC790055);上海市教育发展基金会晨光计划项目(2007CG71);上海市教委科技创新项目(08YS176)

摘　　要：在货币政策操作过程中,中央银行对宏观经济形势的认识偏差,货币政策工具及政策调控时机的选择不当,以及政策信息的披露不及时等,都有可能误导公众预期,增加市场不确定性,从而引致货币政策操作风险。文章通过利用中国货币市场上同业拆借和债券回购的利率数据进行实证,结果表明,中央银行政策操作透明度不高以及对宏观经济形势进行判断的前瞻性不足,是引致我国货币政策操作风险的重要原因。When central bank implements monetary policies, biased judgement of economic situation, incorrect choice of monetary policy tools and operational opportunity, and insufficient information disclosure will mislead public expectation and increase uncertainty in market. Moreover, all of those factors will lead to operational risk of monetary policy. By using time-series data of interest rate in money market in China, the result shows that opacity of monetary policy and incorrect foresight of macroeconomic judgement should induce operational risk of monetary policy.

关 键 词：货币市场 同业拆借 货币政策 操作风险 

分 类 号：F821.0[经济管理—财政学]