中国金融市场基准利率的培育——基于构建完整基准收益率曲线的实证分析  

On the Nurturing of China's Benchmark Interest Rate:An Empirical Analysis Based on the Structuring of Complete Benchmark Yield Curve

作　　者：梁琪[1] 张孝岩[1] 过新伟[1] 

机构地区：[1]南开大学金融学系,天津300071

出　　处：《金融研究》2010年第9期81-98,共18页Journal of Financial Research

基　　金：国家社科基金重大招标项目"中国金融监管制度优化设计研究"(09&ZD037)的阶段性成果

摘　　要：要推进我国利率市场化改革进程和金融创新,培育一个真正能够反映资金供求信息的基准利率和基准收益率曲线必不可少,而通过影响基准利率和基准收益率曲线来间接进行经济调控,是货币政策的必然选择。本文收集了近年来金融市场上具有不同利率期限结构的各类利率体系的月度数据,进行了同一期限利率品种数据的均值一方差分析、相关性分析,而后检验了数据的平稳性,在协整检验的基础上,构建了多元VAR模型,而后建立VECM模型,并在此基础上进行Granger因果关系检验和脉冲响应分析。研究发现:在基准收益率曲线的短端,Shibor在货币市场上的基准地位还有待加强;央行票据利率目前发挥着极为重要的作用;央行存贷款基准利率仍然包含金融市场大量信息;在收益率曲线的长端交易所国债回购利率发挥着重要影响,但其基准地位却也需加强。构建完整的中国基准收益率曲线仍然面临大量挑战。The nurturing of China＇s benchmark interest rate and benchmark yield curve becomes absolutely necessary in order to foster the process of interest rates liberalization and financial innovation. It is a necessary choice of monetary policy to adjust the economy by influencing the benchmark interest rate and benchmark yield curve indirectly. Based on the stationary and cointegration tests of monthly data from 2007M01 to 2010M03, under a framework of the multivariate Vector Autoregression Model, the paper tests the Granger causes under the VECM model and make the impulse response analysis. It is found that in the short term part of benchmark yield curve, the benchmark position of Shibor should be strengthened, interest rates of central bank＇s notes function well, central bank＇s benchmark rates of deposit and loan contains large information of financial markets, the Repo rates of government bonds in exchange markets are very important but the benchmark position in the long term should also be strengthened. The structuring of China＇s yield curve faces a lot of challenges.

关 键 词：基准利率 基准收益率曲线 多元向量自回归模型 VECM 

分 类 号：F832.5[经济管理—金融学]