| 基于VAR模型的Shibor渠道货币政策传导机制研究 |
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| 引用本文： | 霍天翔,冯宗宪. 基于VAR模型的Shibor渠道货币政策传导机制研究[J]. 东南大学学报(哲学社会科学版), 2009, 11(4) |
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| 作者姓名： | 霍天翔 冯宗宪 |
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| 作者单位： | 西安交通大学,经济与金融学院,陕西,西安,710061 |
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| 摘 要： | 本文运用金融市场的实际数据,在短期Shibor更具有金融市场基准利率功能的假定基础上,通过建模实证Shibor与央行货币政策工具之间,以Shibor为中介传导货币政策信号的能力。同时,文章利用VAR模型,将Shibor与商业银行业务进行了联合估计,表明Shibor与商业银行业务的利率定价具有传导关系;并量化测量这些影响关系。
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| 关 键 词： | Shibor 向量自回归模型 货币政策传导机制 |
A study of Shibor monetary policy transmission with VAR Model |
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| HUO Tian-xiang,FENG Zong-xian. A study of Shibor monetary policy transmission with VAR Model[J]. Journal of Southeast University(Philosophy and Social Science ), 2009, 11(4) |
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| Authors: | HUO Tian-xiang FENG Zong-xian |
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| Abstract: | Based on an assumption that short-term Shibor is more characteristic of benchmark interest rate at financial markets,this paper,through modeling and empirical approach,analyzes the ability of transmitting monetary policy signals between monetary policy intermediate goal of Shibor and the central bank's monetary policy tools.At the same time,VAR model is employed to carry out a joint estimation of Shibor and the ultimate goal of China's monetary policy that is closely related to the business of commercial ba... |
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| Keywords: | Shibor |
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