中国货币市场基准利率选择及培育研究——基于不同期限利率日频数据的实证分析  

Choosing the Money Market Benchmark Rate of China——An Empirical Analysis of the Daily Data of Interest Rates

作　　者：彭振中 余珮[2] 张搏 PENG Zhenzhong;YU Pei;ZHANG Bo(Business School,Beijing Normal University,Beijing 100875,China;Economic School,Wuhan University of Technology,Wuhan 430070,China;Financial Markets Department,Agricultural Bank of China,Beijing 100005,China)

机构地区：[1]北京师范大学经济与工商管理学院,北京100875 [2]武汉理工大学经济学院,湖北武汉430070 [3]中国农业银行金融市场部,北京100005

出　　处：《大连理工大学学报（社会科学版）》2018年第5期15-23,共9页Journal of Dalian University of Technology(Social Sciences)

基　　金：国家社会科学基金青年项目:"欧美‘再工业化’冲击下的中国制造业‘去空心化’的策略研究"(13CJY052)

摘　　要：当前我国央行利率调控模式正处于直接调控向间接调控的转型阶段,如何选择和培育货币市场基准利率是中央银行迫切需要解决的问题。在平稳性、协整检验的基础上构建多元向量自回归模型,基于误差修正模型对各种货币市场利率之间的相互引导关系进行实证研究。研究发现:在短端利率中,上海银行间同业拆放利率和银行间质押式回购利率的基准作用较强,在长端利率中,存款基准利率和短期国债利率基准作用较强,上海银行间同业拆放利率的基准作用仍相对不足,未来可以将上海银行间同业拆放利率和国债利率同时作为货币市场基准利率进行培育。As the interest rate control mode of the People＇s Bank of China is being transformed from direct to indirect control,money market benchmark interest rate choice becomes such an urgent issue that the People＇s Bank of China has to address adequately.We find that for the short term（overnight and 7 days）money market interest rates,as the benchmark position of the interbank repo rate and Shanghai interbank offered rate are stronger than that of other rates;For the long term（3 months and longer）money market interest rates,deposit rate and the treasury bill rate may act as benchmark rates,as the benchmark position of the Shanghai interbank offered rate is low.We suggest that both Shanghai interbank offered rate and Treasury bill rate be adopted as the benchmark rate to build the money market benchmark rate system.

关 键 词：货币市场 基准利率 上海银行间同业拆放利率 短期国债利率 

分 类 号：F830.9[经济管理—金融学]