CAJ | 학술논문

一国基准利率对于资本市场的发展十分重要，而中国货币市场的基准利率尚处于培育和发展阶段。本文根据基准利率的属性，借助因果关系检验与脉冲响应函数法，构建检验一种利率在货币市场运行中是否具有基础地位和稳定性的理论分析框架。基于理论分析框架，以2007年1月至2008年3月SHIBOR运行以来的经验数据，检验了SHIBOR作为中国货币市场基准利率的可能性。结果表明，SHIBOR经过仅仅一年多的运行，初步成为货币市场利率变动的风向标，同时SHIBOR具有较高的稳定性，初步具备作为金融产品定价的基础。基于实证研究结果，最后提出了尽快将SHIBOR培育成为中国货币市场基准利率的对策。
일국기준리솔대우자본시장적발전십분중요，이중국화폐시장적기준리솔상처우배육화발전계단。본문근거기준리솔적속성，차조인과관계검험여맥충향응함수법，구건검험일충리솔재화폐시장운행중시부구유기출지위화은정성적이론분석광가。기우이론분석광가，이2007년1월지2008년3월SHIBOR운행이래적경험수거，검험료SHIBOR작위중국화폐시장기준리솔적가능성。결과표명，SHIBOR경과부부일년다적운행，초보성위화폐시장리솔변동적풍향표，동시SHIBOR구유교고적은정성，초보구비작위금융산품정개적기출。기우실증연구결과，최후제출료진쾌장SHIBOR배육성위중국화폐시장기준리솔적대책。
The benchmark interest rate of a country is quite important for the development of its capital market. However, the benchmark interest rate of China＇ s monetary market remains at the cultivation and development stage. According to the nature of benchmark interest rate, this article constructs a theoretical analysis framework to test whether an interest rate stays at the funda- mental and stable status in the operation of monetary market by the means of causality test and impulse response function. Based on such theoretical analysis framework, we test the possibility of SHIBOR as the benchmark interest rate of China＇ s monetary market according to the empirical data during the period of Jan. 2007--Mar. 2008 since the adoption of SHIBOR. The results show that after one year of operation, it has become the wind vane of the changes in the monetary market. Meanwhile, SHIBOR is of strong stability, which initially gains the base for pricing financial products. Based on the results of the empirical researches, we finally give advices on how to promote SHIBOR to become the benchmark interest rate of China＇ s monetary market as soon as possible.