对SHIBOR作为货币市场基准利率在货币政策框架转型下的基准性研究

Research on the Benchmark of SHIBOR as Money Market Benchmark Interest Rate under the Transformation of Monetary Policy Framework

基于上海银行间同业拆放利率(SHIBOR)报价时间的调整,通过选取银行间回购定盘利率与短期SHIBOR的报价数据,运用格兰杰因果关系检验的方法,对SHIBOR在报价时间调整前后两阶段的基准性进行了对比分析。研究结果表明:SHIBOR报价时间调整以后,在货币市场利率体系中的基准性地位不仅没有得到提升,反而出现了弱化的趋势。

Based on the adjustment of Shanghai Interbank Offered Rate（SHIBOR）offer time,a contrast analysis of SHIBOR benchmark is made between unchanged and changed time by Granger causality test,which selects quotation data of interbank fixing repo rate and short SHIBOR.The research result shows that the benchmark position of SHIBOR in money market interest rates system has not improved,but appeared a weakening trend after adjustment.