我国货币市场的基准利率及其管制因素
发布时间：2018-09-01 15:15
【摘要】：通过建立VAR模型,使用Granger因果检验及脉冲响应函数、方差分解等分析方法,揭示我国同业拆借市场利率、债券市场利率等短期利率之间的动态关系。分析结果表明,七日债券回购利率R007是所有市场利率的Granger成因,是当前我国货币市场上的基准利率;上海银行间同业拆借利率作为我国金融市场上的基准利率缺乏足够的证据支持。
[Abstract]:By establishing VAR model, using Granger causality test, impulse response function, variance decomposition and other analytical methods, the dynamic relationship between short-term interest rates such as interbank offered rate and bond market interest rate is revealed. The results show that the seven-day bond repo rate R007 is the Granger cause of all market interest rates and the benchmark interest rate in China's money market. The Shanghai Interbank offered rate (IBOR) as the benchmark interest rate in China's financial market lacks sufficient evidence to support it.
【作者单位】： 北京大学经济学院;
【分类号】：F822.0
[Abstract]:By establishing VAR model, using Granger causality test, impulse response function, variance decomposition and other analytical methods, the dynamic relationship between short-term interest rates such as interbank offered rate and bond market interest rate is revealed. The results show that the seven-day bond repo rate R007 is the Granger cause of all market interest rates and the benchmark interest rate in China's money market. The Shanghai Interbank offered rate (IBOR) as the benchmark interest rate in China's financial market lacks sufficient evidence to support it.
【作者单位】： 北京大学经济学院;
【分类号】：F822.0
【参考文献】
相关期刊论文 前6条
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