我国基准利率有效性研究--基于SHIBOR在金融市场的表现  

Study on the Effectiveness of China's Benchmark Interest Rate——Based on SHIBOR's Performance in Financial Markets

作　　者：课题组 高孝廉 李彩云[4] 康晓琴 罗慧媛[4] Group Research(Xi’an Branch of PBC,Xi’an Shannxi 710075)

机构地区：[1]不详 [2]西安交通大学经济与金融学院 [3]中国人民银行西安分行 [4]中国人民银行榆林市中心支行

出　　处：《西部金融》2018年第12期31-37,共7页West China Finance

摘　　要：2015年,我国已经基本完成了利率市场化,而利率市场化的核心是价格信号能够在市场中有效传导,而基准利率的有效性就是其衡量标准。2007年以来我国推出了上海银行间同业拆借利率,并运行良好,在中短期期限上,发挥着基准利率的作用。本文试图通过状态空间模型和向量自回归模型实证研究SHIBOR在金融市场上的传导效果,以探讨我国基准利率的有效性,并由此提出政策建议。China has basically completed interest rate liberalization in 2015,and the core of interest rate liber-alization is that price signals can be effectively transmitted in the market,and the effectiveness of the benchmark interest rate is its measurement standard.China has introduced the Shanghai interbank offered rate since 2007,and it has been running well,playing the role of benchmark interest rate in the short and medium term.This paper attempts to empirically study SHIBOR's transmission effect in the financial market through state space model and vector autoregressive model,in order to discuss the effectiveness of China's benchmark interest rate and put forward policy recommendations accordingly.

关 键 词：基准利率 利率市场化 SHIBOR 有效性 

分 类 号：F830.31[经济管理—金融学]