对SHIBOR作为我国货币市场基准利率的有效性检验

SHIBOR是我国正在培育和发展的基准利率。本文根据国际通行的基准利率标准,运用SHIBOR运行以来的数据,采取理论分析和实证检验的方法,从市场性、基础性、稳定性、可控性、相关性五个方面,对其作为我国货币市场基准利率的有效性进行了全面系统地检验。结果表明,SHIBOR可初步作为基准利率,但有效性偏弱。并提出了改进建议。

Validity Test of the Benchmark Interest Rate Based on SHIBOR

SHIBOR is currently being cultivated and developed in China as a benchmark interest rate.This paper,based on the international standard of benchmark interest rate,made a through,systematic investigation into the validity of SHIBOR as the benchmark interest rate of China’s money market.By combining theoretical analysis with practical examination,this paper calculated data collected since the adoption of SHIBOR,and took quantitative tests of SHIBOR from five angles-marketability,fundamentality,stability,controllability and relevance.As a result,we concluded that SHIBOR had acquired the fundamental property to be a benchmark interest rate,but its validity is relatively low.Suggestions were given to help make improvements.