基准利率选择:来自中国金融实践的证据  

The Benchmark Interest Rate Selection:the Evidence from China's Financial Practices

作　　者：陆凤芝 黄永兴[1] 

机构地区：[1]安徽工业大学商学院,安徽马鞍山243002

出　　处：《兰州财经大学学报》2016年第5期48-55,共8页Journal of Lanzhou University of Finance and Economics

基　　金：安徽工业大学研究生创新研究基金(项目编号:2015122)

摘　　要：该文在已有研究的基础量上定性比较分析了具有基准潜质的利率指标,并从中选出三组利率进行定量分析。实证部分构建了隔夜与7天利率两个向量自回归(VAR)模型,并基于VAR模型分别使用Granger因果检验与脉冲响应函数对候选基准利率进行了相关性与基础性检验。实证结果表明银行间债券回购利率的相关性最强,SHIBOR的基础性最强。最后对就如何加强SHIBOR的基准地位提出了建议。This paper has been combing the basis of qualitative research on the comparative analysis of each candidate benchmark interest rate,and to choose the three candidates for the benchmark interest rate for quantitative analysis. In the part of empirical research,this paper constructs the overnight and seven days interest rates two vector auto regressive（ VAR） system,and based on VAR system respectively using Grange causality test and impulse response function check the correlation and benchmark of the candidates for the benchmark interest rate. The empirical results show that the strongest correlation between REPOR and SHIBOR of the benchmark has been strengthened.

关 键 词：基准利率 VAR模型 GRANGER因果检验 脉冲响应函数 

分 类 号：F822[经济管理—财政学] F224