Shibor作为中国基准利率有效性的市场属性分析

THE MARKET ATTRIBUTES ANALYSIS ON SHIBOR AS CHINA'S BENCHMARK INTEREST RATE

本文在利率市场化背景下,以已有理论与研究成果为基础,从有效基准利率的基本属性入手,选取Shibor自2007年推出以来6年的月度数据,运用相关性分析、Granger因果检验等实证检验方法,采取定量与定性分析相结合的方式,考察了Shibor作为我国基准利率的有效性中的关键属性——市场属性(包括市场性和基础性)。实证结果表明:自Shibor运行发展至今,市场性方面表现较为良好,但基础性方面还需要进一步完善。

Back on the interest rate liberalization and based on the existing theory and research, this paper uses the monthly data of Shibor from 2007 to now, and tests the effectiveness from the marketability and fundamentality views. In virtue of correlation analysis, Granger causality test and other empirical methods, this paper analyzes quantitatively and qualitatively the market attributes of Shibor as a benchmark interest rate. Empirical results illustrate that Shibor performs well in its marketability, while its fundamentality requires further improvement to be China＇s benchmark interest rate.