基准利率视角下国债收益率与Shibor的动态关系——基于DCC-MVGARCH模型的实证分析  

The Dynamic Relationship between Treasury Bond Yield Rate and Shibor from the Benchmark Interest Rate Perspective:Based on the Empirical Analysis of DCC-MVGARCH Model

作　　者：王晓燕[1] 

机构地区：[1]广东轻工职业技术学院,广东广州510300

出　　处：《南方金融》2014年第8期27-32,45,共7页South China Finance

基　　金：国家社会科学基金青年项目<非线性时间序列协整理论的非参数方法及其应用研究>(项目批准号:11CTJ003);2012年度广东轻工职业技术学院哲学社会科学研究项目<货币国际化对宏观经济的影响研究>(项目批准号:SK201205)的资助

摘　　要：本文从基准利率视角探讨了国债收益率与Shibor的地位和作用,分析了Shibor和国债收益率曲线的编制方法、运行情况以及存在的问题,并利用协整关系检验和DCC-MVGARCH模型分析了国债收益率与Shibor之间的动态相关关系。研究结果表明:国债收益率与Shibor之间存在一定的相互引导作用,但这种相互引导作用目前还较弱;相对国债收益率而言,Shibor对基准利率的引导作用会更强,而且对于期限越短的品种,这种引导作用会更强。为更好地发挥国债收益率与Shibor作为利率定价基准的作用,本文还提出要完善国债收益率与Shibor等基准利率定价机制、促进期限结构合理分布和加大在金融市场定价中的更广泛应用等政策建议。This paper discusses the role of Shibor and treasury bond yield rate when they act as the benchmark interest rate, how to draw yield curves of treasury bonds and Shibor, the operation situation and the problems of them, and dynamic correlation of them through co-integration test and DCC-MVGARCH model. The results show that： bond yields and Shibor are co-integrated, but the relationship is weak. Comparing with Bond yields, Shibor affects the benchmark interest rate in a larger extent. The shorter duration of financial products, the stronger this effect will be. At last, the paper gives the policy suggestions about improving the affect of bond yields and Shibor to benchmark interest rate, promoting reasonable distribution of term structure and utilizing bond yields and Shibor in financial market.

关 键 词：金融市场 利率市场化 基准利率 动态相关 

分 类 号：F224[经济管理—国民经济] F832.51