基于DAG方法的中国基准利率研究

DAG Based on the Method of Benchmark Interest Rate of China

随着中国利率市场化改革的进行,基准利率的选择变得越来越重要。本文旨在借助一种新的计量模型DAG来确定我国目前短期利率中的关键利率。本文主要选取了六种非常活跃的、具有非常好的流动性的短期利率进行研究。最终得到的因果关系图显示隔夜Shibor、7天Shibor和隔夜同业拆借利率在货币市场中都起到了基础性作用,但这三者之间不存在因果关系,也就是说不存在唯一的利率可以直接地或间接地影响其他所有利率而充当基准利率的角色。

It has become more and more important to determine the bench- mark interest in China with the progress of interest marketization. This paper pro- poses a DAG based approach trying to identify the key short term interest rate among a group of six short term interest rates with active trading and good liquidity. The results show that the overnight Shibor rate, 7-day Shibor rate and the overnight interbank lending rate are key rates. But there is no causality effect existing among these three rates, which means that no single interest rate can olav the role of benchmark rate and affect all other rates.