基于Shibor的利率期限结构预期理论研究

Test of the Expectation Theory of the Term Structure of Shibor

利用Shibor数据进行利率期限结构预期理论的假设检验,结果发现,1M以下和3M以上期限的利率能分别较好地验证预期理论,而如(3M,1W)或(6M,1M)的长短期利率组合却难以验证预期假设;并且现实中期限较短利率的波动程度要远大于期限较长的拆借品种,基于此,我国需要进一步规范和培育Shibor以作为基准利率和货币政策的操作目标。

The article analyzes the expectation theory of the term structure of Shibor. The result shows that short-term or long-term interest rate alone can prove the hypothesis, while the combination of the two fails. In reality, the fluctuation of short-term interest rate is much greater than that of long-term counterpart. For this reason, we should promoted Shibor persistently as the benchmark interest rate and the target of monetary policy.