摘要
本文在Shibor波动率目前发展状况的基础上,从央行的货币供给、金融机构的货币需求、微观资金的流动、国外金融市场和金融参与者心理五个方面,选取了八个影响Shibor波动率的因素,采用向量误差修正模型(VECM),得出Shibor与M2、社会融资规模和沪深300指数呈反比,与银行家信心指数呈正比;提出了增强shiboar利率的基准性,加快我国利率市场化改革进程的的对策建议。
Based on the current development status of Shibor volatility,eight factors affecting Shibor volatility were selected in this paper from five aspects,namely,the monetary supply of central bank,the monetary demand of financial institutions,the micro-capital flow,the foreign financial market and the psychology of financial participants.Selected data from January 2016 to March 2016,a total of 27 groups of monthly data,these data are first stability,JJ cointegration test and granger causality,after rejecting not significant variables,using vector error correction model(VECM),Shibor and M2 is inversely proportional,social financing scale and the csi 300 index,and bankers confidence index were positively.The paper also puts forward some countermeasures to strengthen the benchmark of shiboar interest rate and accelerate the reform of interest rate marketization in China.
作者
孙泊涯
SUN Boya(School.of mathematics,The university of Birmingham,Birmingham B 152TT;Sehool of Finance,Harbin University of Commerce,Heil0iagjiang Harbin150028)
出处
《西部金融》
2018年第10期38-42,共5页
West China Finance
