我国最优基准利率研究

The Research on Interbank Offered Rates,Interbank Bond Repo Transaction Interest Rates,SHIBOR and the Optimal Benchmark Interest Rates

我国货币政策框架正处于数量型向价格型转型之中,急需构建有效的基准利率以增强货币政策传导和调控效果。什么是有效或最优基准利率,本文对这一问题开展深入研究。本文首先分析最优基准利率需满足的标准,确定哪些利率可以成为基准利率;然后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,度量我国各种可行性市场利率能否发挥基准利率功能,根据实证研究检验并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—稳定性。

The monetary policy framework in China is in the process of the transformation from the quantity-based policy to the price-based policy, which urgently needs to build effective benchmark interest rates to strengthen the monetary policy transmission and adjustment and control effect. What is the effective or optimal benchmark interest rate？ The paper conducts a deep research on this issue. The paper firstly analyzes the standards that the optimal benchmark interest rates should meet and determines which inter- est rates can be the benchmark interest rates. Then, according to the standards, the paper determines alternative benchmark interest rates set and makes an empirical analysis to measure whether the various feasible market interest rates in China can play the role of the benchmark interest rates, and based on the result of the empirical test, the paper selects an optimal benchmark interest rate. Fi- nally, the paper draws the conclusion that among all alternative interest rates, the interbank bond repurchase transaction interest rate has the relatively good features of the benchmark interest rates. Among repo interest rates of each period, 1-day, 7-day repo interest rates have relatively good features of the benchmark interest rates. Compared with 1-day repurchase interest rate, 7-day repurchase interest rate has the characteristics of stability which is the relatively good feature of the core benchmark interest rate.