商业研究
商業研究
상업연구
COMMERCIAL RESEARCH
2015年
2期
62-69
,共8页
Shibor%理性预期%适应性预期
Shibor%理性預期%適應性預期
Shibor%이성예기%괄응성예기
Shibor%rational expectation%adaptive expectation
预期的形式决定了经济主体的前瞻性行为，体现为不同形状的收益率曲线，是货币政策制定和执行必须考虑的微观行为基础。基于利率期限结构的理性预期理论和适应性预期理论，本文采用单位根检验、协整检验和线性回归方法，对我国银行间同业拆借利率体系（ Shibor ）进行实证研究，发现Shibor整体、短端和以3个月利率为短期的中长端利率组合均符合适应性预期理论，但理性预期假设没有通过显著性检验。
預期的形式決定瞭經濟主體的前瞻性行為，體現為不同形狀的收益率麯線，是貨幣政策製定和執行必鬚攷慮的微觀行為基礎。基于利率期限結構的理性預期理論和適應性預期理論，本文採用單位根檢驗、協整檢驗和線性迴歸方法，對我國銀行間同業拆藉利率體繫（ Shibor ）進行實證研究，髮現Shibor整體、短耑和以3箇月利率為短期的中長耑利率組閤均符閤適應性預期理論，但理性預期假設沒有通過顯著性檢驗。
예기적형식결정료경제주체적전첨성행위，체현위불동형상적수익솔곡선，시화폐정책제정화집행필수고필적미관행위기출。기우리솔기한결구적이성예기이론화괄응성예기이론，본문채용단위근검험、협정검험화선성회귀방법，대아국은행간동업탁차리솔체계（ Shibor ）진행실증연구，발현Shibor정체、단단화이3개월리솔위단기적중장단리솔조합균부합괄응성예기이론，단이성예기가설몰유통과현저성검험。
The form of expectation determines the forward -looking behavior of economic subject , in the form of the dif-ferent shapes of the yield curve .It is the microscopic behavior basis that must be considered before monetary policy for -mulation and implementation .Based on the rational expectation and adaptive expectation , this paper utilizes the unit root test , cointegration test and linear regression method to make empirical research on Shanghai Interbank Offered Rate ( Shi-bor ) .It is shown that the adaptive expectation is valid for not only the whole Shibor , but also for its short -end and lon-ger term combinations which uses 3-month rate as short term rate , while the rational expectation hypothesis fail to pass the test of significance .
