我国金融市场中基准利率的选择

Candidates for the Benchmark Rates in the Financial Market of China

本文从资产定价角度给出了基准利率选择的理论框架,并对我国市场中的利率体系进行研究。我们发现,在均值一方差标准下,银行间隔夜同业拆借利率和银行间隔夜国债回购利率并不是最有效的;银行间同业拆借市场与银行间国债回购市场内部各利率与期限之间的关系不是单调的;银行间同业拆借市场利率与银行间国债回购利率之间并不存在绝对的占优关系;相比之下,存款利率尤其是活期存款利率最有效从而更适合作为其他资产定价的依据,应该成为我国目前金融市场的基准利率。最后,本文给出了相应的建议。

This paper suggests a theoretical framework of candidates for the benchmark rates in financial market. The theory is applied in China market. The authors find that the overnight inter-bank offered rates and the overnight inter-bank repo-rates of government bend are not the most effective according to the mean-variance criteflon. The internal rates are not monotone with respect to terms for the inter-bank offered rates and the interbank repo-rates of government bond. There are no complete dominances between the inter-bank offered rates and the inter-bank repo-rates of government bond. The deposits rates, especially the demand deposits rates, should be the benchmarks to price other financial instruments because the deposit rates are more effective than other rates in the current situations in China.