摘要
本文以货币政策传导机制为研究基础,运用VAR模型实证检验了银行间债券市场利率与公开市场业务利率的互动关系。实证分析表明:(1)在二者的互动关系中,公开市场业务利率对银行间债券市场利率的影响、冲击效应及解释力远远大于银行间债券市场利率对公开市场业务利率的影响、冲击效应及解释力;(2)银行间债券市场利率不是引起公开市场业务利率变化的Granger原因,只存在公开市场业务利率对银行间债券市场利率的单向引导的Granger因果关系。
Based on monetary policy transmission mechanism, this paper exams the relationship of interest rate between interbank bond market and open market operation. The empirical analysis from VAR model shows that： （1） the influence, shocking effect and explanation power of open market operation interest rate to interbank bond market interest rate are much larger than vice versa; （2） interbank bond market interest rate is not the Granger cause to the change of open market interest rate; but, there is just an unidirectional Granger causality from open market to interbank bond market.
出处
《证券市场导报》
CSSCI
北大核心
2008年第2期10-15,共6页
Securities Market Herald
