我国货币市场的基准利率及其管制因素

The Benchmark Interest Rate and Its Regulatory Factors of Chinese Monetary Market

通过建立VAR模型,使用Granger因果检验及脉冲响应函数、方差分解等分析方法,揭示我国同业拆借市场利率、债券市场利率等短期利率之间的动态关系。分析结果表明,七日债券回购利率R007是所有市场利率的Granger成因,是当前我国货币市场上的基准利率;上海银行间同业拆借利率作为我国金融市场上的基准利率缺乏足够的证据支持。

By building a VAR model and using time series methods such as Granger causality,pulse response function and variance decomposition,this article discovers the dynamic relations among the interest rates on Chinese interbank market,bond market and other short-term interest rates.The results show that the 7-day Repo Rate is Granger-cause of all the market interest rates and can be considered as the benchmark interest rate in Chinese monetary market.However,we have not got enough evidence to assert that the interest rate on the interbank market of Shanghai banks acts as the benchmark rate in Chinese financial market.