摘要
本文以具有中国特色的银行间市场利率体系为研究对象,利用VEC模型、Granger因果检验、脉冲响应函数以及方差分解法等,实证分析银行间货币市场、债券市场之间的同期限利率之间、不同期限利率之间传导性,以期理清现阶段我国利率体系传导特征,为中央银行提高货币政策有效性以及为商业银行建立有效的利率管理体系、提高利率定价能力提供实证支持。
This article focuses on the inter-bank market interest rate system with Chinese characteristics, and uses VEC model, Granger causality test, impulse response function and variance decomposition to investigate the transmission of the interest rate in the money market and bond market with the same and different terms , to clarify the transmission characteristics of the present interest rate system. The empirical result is supposed to be helpful for banks to construct an effective interest rate management system and improve the ability to interest rate pricing and risk management.
出处
《上海金融学院学报》
2015年第2期40-50,共11页
Journal of Shanhai Finance University
关键词
利率市场化
利率传导
向量误差修正模型
interest rate liberalization
interest rate transmission
vector errorcorrection model （VEC）.
