国外同业拆借利率期限结构影响因素的实证分析——以美元LIBOR为例

FACTOR ANALYSIS ON THE TERM STRUCTURE OF INTER-BANK OFFERED RATE ABROAD

通过选择反映经济的基本面和具体市场的资金面的变量建立不带移动平均项的自回归分布滞后模型,研究美元LIBOR期限结构影响因素,得到以下结论:从长期来看,通货膨胀率、联邦基金利率、道琼斯工业指数和广义货币的增长率都对LIBOR利率的水平值和斜率有影响.另外,水平值还受到三年期国债收益率的影响.从短期来看,影响水平值的因素有通货膨胀率和联邦基金利率,而三年期国债收益率是影响斜率的唯一短期因素.

We analyzed the influencing factor on the term structure of the US dollar Libor by building an autoregressive distributed lag model （ADL）, whose variables include basic economic variables and capital variables. The results show that inflation rate, federal fund rate, the growth rate of Dow Jones Indexes and M2 have long-term effect on the level and slope value of the US Dollar LIBOR, but the level value is affected by the yield rate of the 3rd government bonds. The results also show that inflation rate and federal fund rate have short-term effect on level value, and the yield rate of the 3rd government bonds is the only short-term factor on the slope value of the US dollar Libor.