我国同业拆借市场利率市场化发展的实证研究  

An Empirical Study on the Development of China's Interbank Interest Rate Marketization

作　　者：苏昌蕾[1] 

机构地区：[1]上海商学院,上海200235

出　　处：《上海金融》2011年第2期88-90,共3页Shanghai Finance

摘　　要：同业拆借市场是货币市场最重要的子市场之一,市场化的同业拆借利率能及时灵敏地反映货币市场资金的供求状况,是市场上其他利率波动的重要参照与金融资产定价的重要基础。本文收集了1998-2003年、2005-2010年的相关数据,利用ADF单位根检验和格兰杰因果关系检验,对同业拆借利率的市场化情况进行实证分析,再对我国同业拆借市场的发展现状和存在问题进行分析,最后针对同业拆借利率市场化发展提出建议。Interbank market is one of the most important sub-markets of money markets. Marketized interbank interest rates reflect the condition of funds supply and demand timely and exactly. Therefore, interbank interest rates are the basic reference to the fluctuations of other market interest rates and the important foundation of pricing of fi- nancial assets. Based on the data of interest rates（1998-2003, and 2005-2010）,using ADF unit root test and Granger causality test, the paper conducts an empirical study on the marketization of interbank interest rates. Then the paper analyzes the present situation of China Interbank market and the existing problems. At last, it puts forward some suggestions on the improvement of interbank interest rate marketization.

关 键 词：同业拆借市场 同业拆借利率 利率市场化 

分 类 号：F830.9[经济管理—金融学]