Shibor对我国银行主要金融产品定价的基准性分析  

Benchmark Function Analysis of Shibor to the Main Financial Products Pricing of Banks

作　　者：孙晶[1] 

机构地区：[1]山西财经大学,山西太原030006

出　　处：《上海金融学院学报》2014年第5期54-64,共11页Journal of Shanhai Finance University

摘　　要：构建和培育市场基准利率是完善市场化利率体系的重要基础条件。自2007年人民银行构建和培育市场基准利率Shibor(上海银行间同业拆放利率)以来,Shibor的基准地位不断提高。加强对Shibor的基准性研究,分析判断Shibor在银行主要金融产品定价中的基准地位,成为当前我国利率市场化改革的重点课题。本文运用协整检验考察了Shibor对同业存款利率、贴现利率和贷款利率定价的基准性,通过误差修正模型(ECM)描述了各主要金融产品利率同Shibor走势的长期均衡关系和短期动态调整过程,分析了各主要利率的形成机制,并针对实证结果,结合目前的商业银行利率定价机制,提出了相关建议。The construction and cultivation of the benchmark interest rate in the market is the utmost important based conditions to perfect the market-based interest rate system. Since the People’s Bank of China started to construct and cultivate the market benchmark interest rate Shibor （Shanghai Interbank Offered Rate ） in 2007, the benchmark position of Shibor has improved gradually. Researching and analyzing the benchmark function of Shibor and judging benchmark status of Shibor in main financial products pricing of banks have become the key research topic of China ’s market-oriented interest rate reform. This paper used the co-integration test and error correction model to investigate the benchmark function of Shibor for inter-bank deposit rates , the discount rate and loan interest rate, and analyzed the formation mechanism of main interest rates. In the end, the paper put forward related suggestions according to the empirical results and the present commercial bank interest rate pricing mechanism.

关 键 词：市场基准利率 SHIBOR 利率定价 基准性 

分 类 号：F832.6[经济管理—金融学]