人民币隔夜利率指数及其信息价值

RMB overnight interest rate index and its information value

本文以隔夜SHIBOR为基准,借鉴美国隔夜指数互换期货,首次提出了人民币隔夜利率指数以及指数隐含利率。通过研究指数与期限利率的信息传递关系,构建指数和指数隐含利率动态数据,分析了指数的信息价值。研究结果认为,人民币隔夜利率指数衍生品能有效对冲隔夜利率风险,促进金融市场信息效率,强化各期限利率关系。指数的信息价值包括:预测市场利率变化趋势,预测货币政策,定量刻画银行体系风险溢价水平。

In this paper, two new concepts -- RMB overnight interest rate index （OIRI） and its implicit interest rate are proposed based on overnight SHIBOR and referencing American 3-month overnight index swap futures. The information transitive relations between index and market interest rates are discussed first. After calculating the index and its implicit interest rate, the index information value is analyzed. The results proved that the OIRI derivatives are appropriate for hedging ovemight interest rate risk, improving financial market information efficiency and strengthening the relationship among each term interest rate. The index information value includes： forecasting the trend of market interest rates, forecasting the monetary policy and measuring the risk premium of the banking system.