我国银行间同业拆借市场基准利率的选择  

Selection of the Benchmark of Chinese Inter-Bank Offered Rate

作　　者：李中山[1] 武军伟[2] 甄红线[2] 

机构地区：[1]武汉理工大学,湖北武汉430070 [2]东北财经大学,辽宁大连116024

出　　处：《上海金融》2009年第8期27-30,共4页Shanghai Finance

摘　　要：本文从均值—方差前沿收益角度出发考虑货币市场基准利率的选择。以我国银行同业拆借市场八种不同期限的利率CHIBORs为样本,利用有限维完全市场收益前沿判断的Hilbert方法进行分析。本文认为以前的CHIBORs不适合作为市场基准利率,并且60天CHIBOR比隔夜CHIBOR在均值—方差意义上更有效,这从侧面表明了以前CHIBOR的缺陷。新推出的SHIBOR可能给市场基准利率重新带来希望。This paper considers the selection of benchmark rate of monetary market in the view of mean-variance frontier. With the sample of Chinese Inter-Bank Offered Rate （CHIBOR）, we make analysis by the means of finite-dimension Hilbert Space. We draw conclusions that CHIBORs are not suitable to be benchmarks of the market. We also find that the 60-days CHIBOR is more efficient than the overnight CHIBOR in the sense of mean-variance. The newly SHIBORs may bring hope for the market.

关 键 词：银行同业拆借利率 均值一方差前沿 HILBERT空间 

分 类 号：F832.5[经济管理—金融学]