摘要
当前,中国的利率市场化进程已处于存款利率改革的关键阶段,时机和参照利率的选择逐渐受到学者的重视。该文通过构建无套利HJM模型进行国际比较,结果表明,中国国库券数据同美国在存款利率改革时期的数据具有同等强度的解释力。借助于GMM估计和无嵌套J检验,可以验证中美两国的数据有较高的契合度,中国的利率市场化已处在放开存款利率上限管理的关键阶段。Granger因果检验和协整检验的结果表明,理财产品收益率同shibor利率之间存在长期的因果关系,这也为市场化的存款利率提供了有价值的参照。
The interest rate liberalization of China has entered the final stages of opening deposit rate control. There are two main challenges in lifting the upper management on deposit interest rate, the selection of opportunity and the reference rate. Therefore, in this paper, we found that the treasury data of the current China and America in the period of deposit interest rate reform have the same strong explanatory power on the HJM model. Then by GMM estimation and nested J inspection we verified the data fit China and America very well, and we could evaluate market-oriented progress of China＇s deposit interest rate. Later in this article, we found that there has a long-term causal relationship between yield of financial product and shibor interest rate through Granger causality test and co-integration test, and the yield can provide effective reference for the market-oriented deposit interest rate. Finally we summed up some policy Suggestions about the market-oriented reform of China＇s deposit interest rate.
出处
《上海经济研究》
CSSCI
北大核心
2015年第7期55-62,共8页
Shanghai Journal of Economics
基金
国家社会科学基金项目<形成有利于科学宏观调控体系中通货膨胀预期的研究>(项目编号:08CJL013)的资助
关键词
存款利率市场化
市场化进程
参照利率
the marketization of deposit interest rate
market-oriented progress
the referenceinterest rate
