对SHIBOR数据的利率期限结构实证研究

An Empirical Study on the Term Structure of Interest Rates for SHIBOR

摘要: 利率市场化是我国经济改革的重要一环，上海银行间同业拆放利率(SHIBOR)则是利率市场化进程的重要产物。过去十几年利率市场化进程的取得了重大进展，我国宏观经济基本面的也出现了较大的变动。现阶段我国利率市场化进程已经进入“最后一里路”的收尾阶段，经济基本面也已经进入中高速增长的“新常态”。这为本文对SHIBOR投入运行后主要年份的利率数据进行实证研究提供了必要性。本文对前人对于利率期限结构的研究进行了回顾，并简单回顾了利率期限结构的主要形成理论。选取协整检验的方法，对主要年份的SHIBOR数据进行了测度。得出SHIBOR对于包含溢价的预期理论支持程度有所提高，SHIBOR的市场化程度出现了非线性改善的结论。

Abstract: Interest rate marketization is an important part of China’s economic reform. The Shanghai Interbank Offered Rate (SHIBOR) is an important product of the interest rate marketization process. The progress of interest rate marketization in the past dozen years has made significant progress, and China’s macroeconomic fundamentals have also undergone tremendous transformation. At this stage, the process has entered the final stage of the “last mile road”, and the economic fundamentals have also entered the “new normal” with a medium-to-high speed of growth. This provides the necessity for this paper on the basis of an empirical study on interest rate data in the main years after SHIBOR was put into operation. This paper reviews the previous studies on the term structure of interest rates and briefly reviews the main formation theories of the term structure of interest rates. The method of cointegration test is selected to measure the SHIBOR data of the main year of its operation. It is concluded that SHIBOR has a higher degree of theoretical support for the theory of expectations with a term premium, and the degree of marketization of SHIBOR has experienced a non-linear improvement.