金融学院知识库

       货币市场基准利率是金融市场的核心利率。其是否合理有效与市场信息的对称性密切相关，选择并培育有效的货币市场基准利率与金融机构密切相关，也是调节宏观经济的重要抓手，这倒逼着我国利率体系的改革。

    本文从理论分析和实证检验两个角度出发，基于基准利率的经济相关性、市场代表性、定价基准性、政策调节性和合理稳定性，对2014年12月15日至2022年2月28日的银行间同业拆借利率CHIBOR、上海银行间同业拆借利率SHIBOR、存款类机构间利率债质押的回购DR利率、全市场机构的质押式回购R利率的属性进行比较分析，得出结论：假设1成立。即DR007具有较好的货币市场基准利率属性。在此基础上，进一步深入探讨利率与汇率的关系，丰富基准利率的内涵。考虑到利率和汇率同为资金的价格，有着“一枚硬币的两面”的联系，基于利率平价理论运用协整模型和VAR模型进行实证分析，发现：以DR007利率、美联储联邦基金利率为中美两国市场的基准利率，发现模型拟合效果差，利率与汇率之间的影响不显著。即假设2不成立。分析导致利率平价在我国不适用的原因时，考虑到中美两国的汇率对中国总体汇率的代表性，以实际有效汇率REER替代中美之间的汇率水平。在经济全球化的今天，利率深度受经济大国影响，仍以联邦基金利率作为国外利率水平。此外，为了说明DR007利率作为货币市场基准利率的有效性，引入在理论上与汇率有关的控制变量，实证结果表明：汇率主要与外汇储备有关，利率和汇率的传导机制有待畅通。

    综合论文的实证结果，为了培育有效的货币市场基准利率，提出要继续深化利率市场化改革、大力发展衍生品市场和进一步扩大对外开放并强化利率和汇率的传导效果等建议。

      The core interest rate is the monetary market benchmark interest rate in the financial market. Whether it is reasonable and effective is closely related to the symmetry of market information, and the effective benchmark interest rate is closely related to financial institutions, which is also an important start to adjust the macro economy, which forces the reform of interest rate system.

          Based on the economic relevance，market representation, pricing benchmark, policy accommodation and reasonable stability of benchmark interest rate, this paper starts from theoretical analysis and empirical test. A comparative analysis is made on the attributes of CHIBOR, SHIBOR, DR and R rates from December 15, 2014 to February 28, 2022. The results show that DR007 is feasible benchmark interest rate in monetary market.The relationship between interest rate and exchange rate is further discussed to enrich the connotation of benchmark interest rate on that basis. Considering that interest rate and exchange rate are both the price of capital and are related to “two sides of the same coin”, based on the theory of interest rate parity, VAR shows that: the regression model constructed with DR007 and fed funds rate as the benchmark interest rates in both Chinese and American markets, and the forward exchange rate premium discount constructed by RMB forward exchange rate and spot exchange rate in three-month period has poor fitting effect, and the influence between interest rate and exchange rate is not significant.Given the representation of the exchange rate in the general exchange rate of China, the real effective exchange rate index REEP is used to replace. Interest rates are mainly affected by the economic powers, and the Federal Funds rate is still used as the foreign interest rate. At the same time, control variables related to exchange rate in theory are introduced. The empirical results show that exchange rate is mainly related to foreign exchange reserves, and the transmission mechanism of interest rate and exchange rate needs to be unimpeded.

        According to the empirical results, the author puts forward some suggestions: continue to deepen the reform of interest rate marketization, vigorously develop the derivatives market, build a firm bottom line thinking and effectively prevent major financial risks, more and more expand the opening to other countries and strengthen mechanism of interest rate and exchange rate.