中国金融市场基准利率选择的经验分析

An Empirical Study on the Choice of Benchmark Interest Rate in China

本文在总结金融市场基准利率基本属性和评析国外基准利率选择的基础上,围绕基准利率的四个属性,系统比较分析了中国利率体系中各种利率,并对相关利率关系进行统计分析和Granger 因果检验,认为以银行间债券回购市场利率作为当前中国金融市场短期基准利率优于其他利率。

With the advancement in the market-oriented reform of interest rate,the benchmark interest rate in finan- cial market is of great implication both for monetary authority to implement financial policy and for various agents to channel the capital allocation.Based on the analysis on the attributes of the interest rates in the financial mar- ket and the experience on the selection of the benchmark interest rate abroad,we compare various kinds of in- terest rates in the domestic financial market and conduct Granger causality test on the relative interest rates.We conclude that the repo rate in the inter-bank bond market is the optimal benchmark interest rates for China.