摘要
基准利率具有市场性、基础性、测控性、波动性和预测性等五个基本属性,参考FFR和LIBOR的数量属性,利用EGARCH、Granger等模型对2001年至2010年中国货币市场候选基准利率的时间序列数据进行市场性检验、测控性检验、波动性检验、基础性检验及预测性检验。实证结果表明,七天期银行间回购利率是当前中国货币市场上表现最好的基准利率,同时SHIBOR利率也具有很强的基准利率潜质,但因时间序列较短,难以定论。
The five basic attributes of the benchmark rate include marketing, measure & adjustment, fluctuation, foundation, pre- diction. Referring to international benchmark rate FFR and LIBOR, the empirical test for the five basic attributes of marketing, measure & adjustment, fluctuation, foundation, prediction, is made through the time series data of benchmark rates of monetary market in china from 2001 to 2010,and by EGARCH,Granger model. The empirical results show that 7 day buyback interest rate is the best benchmark rate in china monetary market, and SHIBOR is a potential benchmark rate but difficult to reach a conclusion because of its short time series.
出处
《投资研究》
北大核心
2012年第1期25-40,共16页
Review of Investment Studies