银行间同业拆借利率的离在岸联动性实证研究

Empirical Research on the Linkage Between the Onshore and Offshore Interbank Offered Rate

本文采用格兰杰因果检验和向量自回归模型来考察SHIBOR和CNH-HIBOR的联动性。研究表明:两者短期期限品种的联动性较弱,中长期期限品种以SHIBOR对CNH-HIBOR的影响为主,但离岸市场已开始对在岸市场产生影响;短期期限品种对冲击的响应较为迅速,而长期期限品种对冲击的响应需要长时间消化。结果表明我国银行间同业拆借利率离在岸市场的联动性正逐步增强,需要进一步强化SHIBOR的基础地位,并不断完善报价机制和放松离岸市场限制。

This paper uses Granger causality test and VAR model to examine the linkage between SHIBOR and CNH-HIBOR. The study shows that the linkage is weak in the short term, the medium-and long-term SHIBOR has a main influence on CNH-HIBOR,but the offshore market has started to have an impact on the onshore market. The re-sponse of the long-term variety to shocks takes a long time to digest. The result shows that the linkage between SHI-BOR and CNH-HIBOR becomes much stronger, the government should strengthen the base position of SHIBOR, and continuously improve the quotation system and loosen the restrictions on offshore market.