市场基准利率Shibor的基准性检验

Benchmark Test for Market Standard Interest Rate Shibor

针对中国利率"双轨制"的特殊情况,就目前并存的官方基准利率与市场基准利率进行定性分析,结果显示市场基准利率明显优于官方基准利率,具有更强的基准利率特性。定量比较中国现有的三种市场利率后,发现短期Sh ibor在形成机制、基础性、稳定性、相关性和对其它宏观经济指标影响等方面总体优于短期银行间债券质押式回购加权平均利率和短期银行同业拆借利率;中长期Sh ibor则在期限、交易市场、相对随机性等方面远远优于中长期的银行间债券质押式回购加权平均利率和中长期的银行同业拆借利率。因此,Sh i-bor拥有的基准利率特性最为全面,适合成为中国的市场基准利率。

Targeting at the special condition of China＇s ＂dual track＂ interest rate, a qualitative analysis is made on both the official and the market standard interest rates. The results indicate that the latter is obviously superior to the former because of its stronger characteristics of the standard interest rate. After making a quantitative analysis on three current market interest rates in China, it is revealed that with the formation mechanisms, stability, correlation and influences of other macro economic indexes, as a whole, the short-term Shibor is better than the interbank security hypothecation weighting average interest rate and the short-term interbank lending interest rate; in the aspects of time limit, trading market, relative randomness, etc. , the mid-term and long-term Shibor is far superior to the mid-term and long-term interbank security hypothecation buyback weighting average interest rate and the mid-term and long-term interbank lending rate. As a result, the Shibor, which has the most complete standard interest characteristics, is fit to be the market standard interest rate of China.