摘要
银行间债券市场定价基础的不统一导致信用债券误定价现象时有发生。采用Granger因果关系检验方法分析了央行票据与同业拆借利率之间的相互引导关系,研究发现央行票据是引起同业拆借利率变化的Granger原因,由此可以推断央行票据利率具有更强的价格发现功能,是当前市场条件下信用债券定价的基准利率。
The benchmark rate is a basically factor of credit bond pricing. This paper take the Granger causality methods to analyze the lead-lag relationship between SHIBOR and the yield of Center Bank Bills（CBB）,and find that the yield of CBB is the Granger causality factor of SHIBOR, which means that the yield of CBB is more suitable for benchmark rate.
出处
《当代经济管理》
2011年第5期85-87,共3页
Contemporary Economic Management
