基于VAR模型的Shibor渠道货币政策传导机制研究

A study of Shibor monetary policy transmission with VAR Model

本文运用金融市场的实际数据,在短期Shibor更具有金融市场基准利率功能的假定基础上,通过建模实证Shibor与央行货币政策工具之间,以Shibor为中介传导货币政策信号的能力。同时,文章利用VAR模型,将Shibor与商业银行业务进行了联合估计,表明Shibor与商业银行业务的利率定价具有传导关系;并量化测量这些影响关系。

Based on an assumption that short-term Shibor is more characteristic of benchmark interest rate at financial markets,this paper,through modeling and empirical approach,analyzes the ability of transmitting monetary policy signals between monetary policy intermediate goal of Shibor and the central bank's monetary policy tools.At the same time,VAR model is employed to carry out a joint estimation of Shibor and the ultimate goal of China's monetary policy that is closely related to the business of commercial banks.The results show that there is a transmissible relationship between Shibor and commercial banking business pricing.