我国银行间同业拆借市场有效性分析

从市场内部和外部两个角度实证分析银行间同业拆借市场的有效性,结果表明:银行间同业拆借市场利率服从随机游走过程,而且相互间存在协整关系,从市场内部可以判断市场是有效的;银行间同业拆借市场与债券回购市场同期限的利率具有正向的协整关系,两个市场的利率具有趋同性,从市场外部判断市场也是有效的.银行间同业拆借市场的有效性对我国基准利率的选择、利率市场化以及货币政策的有效性等方面具有重要启示.

An Empirical Examination on the Efficiency of the Interbank Market of China

The paper makes an empirical analysis on interbank market efficiency from internal and external views.These are concluded that the inter-bank overnight lending rate and 7days rate obey random walk process,and there exist positive cointegration between them which means the market is efficient from the view of inside;there exist positive cointegration between inter-bank market and Repo market at the same term,which show that the inter-bank market is efficient as well from the outside.Inter-bank market efficie...