银行间同业拆借利率的影响因素——基于集合经验模态分解的研究  

The Factors Influencing SHIBOR——An Analysis Based on Ensemble Empirical Mode Decomposition

作　　者：韦晓[1,2] 李周雅雯 WEI Xiao;Li Zhou-ya-wen

机构地区：[1]中央财经大学保险学院,北京102206 [2]中央财经大学中国精算研究院,北京102206

出　　处：《金融论坛》2021年第11期6-16,26,共12页Finance Forum

基　　金：教育部人文社科青年项目,19YJC79150。

摘　　要：本文从不同频率分量的角度分析上海银行间同业拆借利率(SHIBOR)的影响因素。研究表明,高频分量代表市场正常供需力量的博弈,主要受货币净投放影响;低频分量代表重大事件冲击,主要受活期存款基准利率、1年期存贷基准利差、法定准备金率和CPI影响;残差项代表长期趋势,社会消费品零售总额、CPI和社会固定资产投资额是它的驱动力。This paper analyzes the factors influencing the Shanghai Inter-bank Offered Rate(SHIBOR)from the perspective of different frequency components.The results shows that the high-frequency component represents the game of normal market supply and demand,which is mainly affected by the net currency supply;the low-frequency component represents the impact of major events,which is mainly affected by the benchmark interest rate of current deposit,the benchmark interest margin of one-year deposit and loan,the required reserve ratio and CPI;the residual represents the long-term trend,mainly driven by the total retail sales of consumer goods,CPI and social fixed asset investment.

关 键 词：集合经验模态分解 格兰杰因果检验 隔夜SHIBOR 拆借利率 

分 类 号：G43[文化科学—教育学]