银行间同业拆借利率、银行间债券回购交易利率、SHIBOR与最优基准利率研究

Research on LIBOR 、Repo Rate、SHIBOR and Optimal Benchmark Interest Rate

本文在分析最优基准利率需满足标准的基础上,依据基准利率选取标准确定备选基准利率集合,通过实证分析来度量我国各种可行性市场利率能否发挥基准利率功能,根据实证研究检验选取一个最优基准利率,最后得出结论:在各备选利率中,银行间债券回购交易利率具有相对好的基准利率特性,在各期限回购利率中,1天、7天期回购利率具有相对好的基准利率特性,相对于1天期的回购利率,7天期回购利率具有相对好的核心基准利率特性。

The article determines alternative benchmark interest rate set based on the analysis of the optimalbenchmark interest rate criteria. Then the paper measures the feasibility of the various market benchmark interest ratewhich can play a function,tests and selects an optimal benchmark interest rate according to the empirical research. Fi-nal conclusions are：the inter-bank bond repo rate has a relatively good benchmark interest rate characteristics in thealternative interest rates,1 day,7-day repurchase rate have a relatively good characteristics of the benchmark interestrate in each term the repo rate,seven-day repurchase rate has a relatively good core benchmark interest rate character-istics respect to the period of one day.