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我国银行间同业拆借利率的影响因素分析——基于VEC模型的实证研究

Analysis of the Influencing Factors of Inter-bank Offered Rate in China——An Empirical Study Based on VEC Model
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摘要 利率作为国家货币政策的重要工具,其决定和影响因素的相关研究具有重要的实践意义。以2006年至2017年的Shibor月度经济数据为研究对象,选取政府支出、汇率、货币供应量M2、固定资产投资、通货膨胀率和股票价格指数为解释变量,通过建立协整方程和误差修正模型(VEC),运用脉冲响应分析、方差分解探讨了各变量对我国市场利率的影响、冲击程度和时滞性,得出在推进我国利率市场化改革过程中要更加重视政府支出对利率正向冲击影响的结论。 Interest rate is an important tool of national monetary policy, the relevant study on its decisions and influencing factors has important practical significance. Based on the monthly economic data of Shibor from 2006 to 2017, government expenditure, exchange rate, money supply M2, fixed asset investment, inflation rate and stock price index were selected as explanatory variables. By establishing cointegration equation and error correction model (VEC), through using impulse response analysis, variance decomposition to study the influence of variables on market interest rate in China, the impact degree and time delay, we get the conclusion that we should pay more attention to the positive impact of government expenditure on interest rate in the process of promoting the reform of interest rate marketization in China.
作者 赵燕梅 ZHAO Yan-mei(School of Economics and Management,Changchun Finance College,Changchun 130028,China;Jilin Province Financial Security Research Center,Changchun 130028,China;Research Center for College Students'Innovation and Entrepreneurship,Changchun 130028,China)
出处 《长春金融高等专科学校学报》 2018年第5期30-42,共13页 Journal of Changchun Finance College
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