CAJ | 학술논문

要推进我国利率市场化改革进程和金融创新，培育一个真正能够反映资金供求信息的基准利率和基准收益率曲线必不可少，而通过影响基准利率和基准收益率曲线来间接进行经济调控，是货币政策的必然选择。本文收集了近年来金融市场上具有不同利率期限结构的各类利率体系的月度数据，进行了同一期限利率品种数据的均值一方差分析、相关性分析，而后检验了数据的平稳性，存协整检验的基础上，构建了多元VAR模型，而后建立VECM模型，并在此基础上进行Granger因果关系检验和脉冲响应分析。研究发现：在基准收益率曲线的短端，Shibor在货币市场上的基准地位还有待加强；央行票据利率目前发挥着极为重要的作用；央行存贷款基准利率仍然包含金融市场大量信息；在收益率曲线的长端交易所国债回购利率发挥着重要影响，但其基准地位却也需加强。构建完整的中国基准收益率曲线仍然面临大量挑战。
요추진아국리솔시장화개혁진정화금융창신，배육일개진정능구반영자금공구신식적기준리솔화기준수익솔곡선필불가소，이통과영향기준리솔화기준수익솔곡선래간접진행경제조공，시화폐정책적필연선택。본문수집료근년래금융시장상구유불동리솔기한결구적각류리솔체계적월도수거，진행료동일기한리솔품충수거적균치일방차분석、상관성분석，이후검험료수거적평은성，존협정검험적기출상，구건료다원VAR모형，이후건립VECM모형，병재차기출상진행Granger인과관계검험화맥충향응분석。연구발현：재기준수익솔곡선적단단，Shibor재화폐시장상적기준지위환유대가강；앙행표거리솔목전발휘착겁위중요적작용；앙행존대관기준리솔잉연포함금융시장대량신식；재수익솔곡선적장단교역소국채회구리솔발휘착중요영향，단기기준지위각야수가강。구건완정적중국기준수익솔곡선잉연면림대량도전。
The nurturing of China＇s benchmark interest rate and benchmark yield curve becomes absolutely necessary in order to foster the process of interest rates liberalization and financial innovation. It is a necessary choice of monetary policy to adjust the economy by influencing the benchmark interest rate and benchmark yield curve indirectly. Based on the stationary and cointegration tests of monthly data from 2007M01 to 2010M03, under a framework of the multivariate Vector Autoregression Model, the paper tests the Granger causes under the VECM model and make the impulse response analysis. It is found that in the short term part of benchmark yield curve, the benchmark position of Shibor should be strengthened, interest rates of central bank＇s notes function well, central bank＇s benchmark rates of deposit and loan contains large information of financial markets, the Repo rates of government bonds in exchange markets are very important but the benchmark position in the long term should also be strengthened. The structuring of China＇s yield curve faces a lot of challenges.