银行同业拆借市场利率期限结构实证研究

Empirical analysis on term structure of China interbank offered rates

对我国银行同业拆借市场利率期限结构进行了实证研究,实证结果表明:中国银行间同业拆借利率在亚洲金融危机后发生了结构性变化,金融危机发生之前我国银行同业拆借利率支持利率期限结构中的预期理论,但金融危机发生之后却不能给予预期理论以充分的支持.

This paper studies the teml structure of 7-, 30-, 60-day China interbank offered rates （CHIBOR） using weekly data spanning 1996-1-1--2003-7-21. One interesting finding is that there exists a structural change on the China interbank offered rates during the sample period. The expectation hypothesis （EH） is supported by data prior to the Asia financial crisis. But expectation hypothesis is soundly rejected by data after the Asia financial crisis.