构建中国利率走廊的实证分析

A Modeling and Empirical Test of China Interest Rate Corridor

摘要: 选择银行间质押式回购利率为货币市场代表性利率，以常备借贷便利为走廊上限做中国利率走廊模拟，结果表明，目前只有隔夜和7天品种的利率走廊效果明显。借助泰勒规则，对隔夜、7天、1个月、3个月、6个月五个期限品种的银行间质押式回购利率进行检验，结果显示，五种期限品种的质押式回购利率都满足泰勒规则。这说明，以质押式回购利率为标志的中国货币市场利率具有较高程度的可预估性；质押式回购利率可以作为中国利率走廊的目标利率；经过进一步持续的跟踪、模拟，可以形成中国利率走廊上限模型，并将之付诸市场实践。

Abstract: We try to construct China Interest Rate Corridor by selecting the rates of REPO as a representative of China money market rates, and capped by SLF (Standing Lending Facility) rates, unfortunately only 2 (overnight and 7-days) of the 5 rates (plus: 1 month, 3 months, 6 months) have been effectively channeled by the respective corridors. But interestingly, all the 5 rates successfully passed the empirical test under Taylor’s Rule. It demonstrates that, under Taylor’s Rule, the REPO rates are to a greater degree predictable. So, it is reasonable to choose some REPO rate/rates as the target rate/rates of interest rate corridors, and it is also probable to further establish corridor cap by modeling, and put them into practice thereafter.