参考利率的改进、测算及其应用  

Improvement,Calculation and Application of Reference Interest Rate

作　　者：马晓君[1] 范祎洁 吕新颖 陈瑞敏 Ma Xiaojun;Fan Yijie;Lv Xinying;Chen Ruimin(School of Statistics,Dongbei University of Finance and Economics)

机构地区：[1]东北财经大学统计学院

出　　处：《调研世界》2022年第2期50-58,共9页The World of Survey and Research

基　　金：国家社会科学基金重大项目“卫星账户编制的理论、方法与中国实践”(19ZDA120);国家社会科学基金重大项目“数字赋能中国全球价值链攀升的路径与测度研究”(21&ZD148)的资助。

摘　　要：SNA2008指出参考利率应反映存贷款风险水平与期限结构,然而目前存在的多种参考利率未能满足SNA2008的相关指导要求,因此有必要开展关于参考利率风险调整与期限调整的研究。本文以中国账面价值参考利率与存贷款加权参考利率为基础,深入剖析参考利率与风险、期限之间的关系,创新性提出账面加权参考利率,并实证检验该参考利率的可行性。使用我国数据检验表明,账面加权参考利率满足稳定性强、准确度高、关联性强等优良性能,切实体现中国金融市场的波动状况,其构建思路为中国参考利率的完善提供了原理遵循,明晰了调整思路,提供了改进方向。SNA2008 pointed out that the reference interest rate should reflect the risk level and term structure of deposits and loans.However,the various reference interest rates that currently exist fail to fully meet the relevant guidance requirements of SNA2008.Therefore,it is necessary to carry out research on risk adjustment and maturity adjustment of reference interest rate.Based on China’s book value reference interest rate and the weighted reference interest rate of deposits and loans,this paper deeply analyzes the relationship between the reference interest rate,risk and duration,innovatively proposes the book-weighted reference rate and empirically tests the feasibility of the reference rate.The test using China’s data shows thatthe book-weighted reference interest rate satisfies the excellent performance of strong stability,high accuracy and strong correlation,which effectively reflects the volatility of China’s financial market.Its construction ideas provide principles to follow for the improvement and improvement of China’s reference interest rate,clarify the adjustment ideas,and point out the way forward.

关 键 词：参考利率 风险水平 期限结构 利率测度 金融机构 

分 类 号：F222.33[经济管理—国民经济]