基于VAR的银信理财产品收益率与Shibor的协整分析

Cointegration Relationship between the Yield of Trust Wealth Investment Products in Commercial Banks and Shibor based on the VAR Model

本文选取2008年1月-2013年12月银信合作理财产品月度平均收益与相同时期和相同期限的上海银行间同业拆放利率(Shibor)的时间序列数据,通过基于VAR模型的协整分析得出标准化协整方程和误差校正模型,结果表明样本区间内银信合作理财产品的平均收益率与同时期相同期限的Shibor间形成了长期、稳定的均衡关系,且后者是前者的格兰杰原因。因此,在Shibor发挥着货币市场基准利率作用的条件下,银信合作理财产品的收益从某种程度上体现了存款利率的市场化,为利率市场化改革探索开辟了一条新的途径。

By selecting the time series data of average monthly yield of trust wealth investment products in commercial banks and the corresponding Shanghai interbank offered rate （ Shibor ） from January 2008 to December 2013 , and through the cointegration analysis based on the VAR model , this paper educes the standard cointegration and error correc-tion model , and reaches the conclusion that in the sample interval the average yield of trust wealth investment products in commercial banks forms a long -term and stable equilibrium relationship with the same period of Shibor , and moreover , the latter is the former′Granger cause .Therefore , when Shibor plays the role of benchmark interest rate in monetary mar-ket, yield of trust wealth investment products in commercial banks reflects the market -oriented deposit interest rate , and thus it opens up a new way for the reformation of interest rate marketization .