SHIBOR与LIBOR:期限结构、报价波动与准确性

SHIBOR and LIBOR: Term Structure,Fluctuations and Accuracy of the Offer

本文在对SHIBOR和LIBOR进行比较的基础上,研究如何能够更好地发挥SHIBOR作为我国的基准利率的作用。与SHIBOR相比,LIBOR波动更为平稳,期限结构更为合理、稳定;而与LIBOR相比,SHIBOR由中国人民银行直接对其报价、生成、运行进行监管,定期对报价情况进行多指标考核,将场外报价银行培育制度和报价银行淘汰机制相结合,增强了报价的准确性。但由于利率市场化程度和市场参与度仍有待提高等原因,SHIBOR波动性较大。所以,我国应进一步优化SHIBOR的利率期限结构,提高其作为基准利率的稳定性。

This paper studies how to make SHIBOR as China＇s benchmark interest rate play a better role, on the basis of comparison between LIBOR and SHIBOR. Compared with SHIBOR, the fluctuation of LIBOR is smoother and its term structure is more reasonable and stable. While compared to LIBOR, the price of SHIBOR is directly decided by the People＇ s Bank of China and the Central Bank directly supervises the offer, generation and operation of SHIBOR. Meanwhile, the Central Bank will assess the offer of SHIBOR regularly. But as a result of incomplete interest rate liberalization and market participation, SHIBOR fluctuates wildly. In order to make the offer more accurate, the Central Bank combine the cultivation system of OTC quotation bank and the elimination mechanism of the Offer Bank. Therefore, China should further optimize the term structure and the interest rate of SHIBOR and enhance the stability of its position as the benchmark interest rate.