基于理性预期和适应性预期的Shibor实证研究

An Empirical Test of Shibor based on the Rational Expectation & Adaptive Expectation

预期的形式决定了经济主体的前瞻性行为,体现为不同形状的收益率曲线,是货币政策制定和执行必须考虑的微观行为基础。基于利率期限结构的理性预期理论和适应性预期理论,本文采用单位根检验、协整检验和线性回归方法,对我国银行间同业拆借利率体系(Shibor)进行实证研究,发现Shibor整体、短端和以3个月利率为短期的中长端利率组合均符合适应性预期理论,但理性预期假设没有通过显著性检验。

The form of expectation determines the forward - looking behavior of economic subject, in the form of the different shapes of the yield curve. It is the microscopic behavior basis that must be considered before monetary policy formulation and implementation. Based on the rational expectation and adaptive expectation, this paper utilizes the unit root test, cointegration test and linear regression method to make empirical research on Shanghai Interbank Offered Rate （ Shibor）. It is shown that the adaptive expectation is valid for not only the whole Shibor, but also for its short - end and longer term combinations which uses 3 - month rate as short term rate, while the rational expectation hypothesis fail to pass the test of significance.