金融理论与实践
金融理論與實踐
금융이론여실천
FINANCIAL THEORY AND PRACTICE
2014年
10期
115-118
,共4页
货币市场%SHIBOR%基准利率%利率市场化
貨幣市場%SHIBOR%基準利率%利率市場化
화폐시장%SHIBOR%기준리솔%리솔시장화
monetary market%SHIBOR (Shanghai Interbank Offered Rate)%benchmark interest rate%interest rate marketization
随着利率市场化的进一步推进，基准利率的选择与培育亟待解决。分析了SHIBOR的运行现状与运行特征，并选取货币市场主要利率体系进行对比，运用格兰杰因果检验并建立EGRACH模型，检验SHIBOR是否具备市场基准利率及央行基准利率的属性。
隨著利率市場化的進一步推進，基準利率的選擇與培育亟待解決。分析瞭SHIBOR的運行現狀與運行特徵，併選取貨幣市場主要利率體繫進行對比，運用格蘭傑因果檢驗併建立EGRACH模型，檢驗SHIBOR是否具備市場基準利率及央行基準利率的屬性。
수착리솔시장화적진일보추진，기준리솔적선택여배육극대해결。분석료SHIBOR적운행현상여운행특정，병선취화폐시장주요리솔체계진행대비，운용격란걸인과검험병건립EGRACH모형，검험SHIBOR시부구비시장기준리솔급앙행기준리솔적속성。
As the further advance of interest rate marketization, the selection and cultivation of the benchmark interest rate needed to be addressed. This paper analyzed the status quo and features of SHIBOR’s running and chose the monetary market’s main interest rate system to make a contrast, made the Granger causality test and built EGRACH mode to test whether SHIBOR has the market benchmark interest rate and the attribute of central banks’benchmark interest rate or not.
