Research On The Benchmark Yield Curve Of China

The continuous development of China’s financial markets makes monetary policy continue to strengthen endogenous money supply to reflect the real economy advantages are reduced. In contrast, as China’s interest rate market continued to deepen, especially in recent years, China’s macro-control means an interest rate based actual situation, interest rate index is increasing in importance. Money supply indicators in our weakening the effectiveness of the interest rate indicator in the context of increasing effectiveness study how to build a fund that reflects the financial market supply and demand situation, but also can hold other reference interest rate pricing benchmark yield curve for promoting the interest rate market reform, and promote the development of financial markets and to enhance the effectiveness of monetary policy and other aspects have certain forward-looking sense. China’s current interest rate of each variety in the term structure integrity, market-oriented, risk level, etc. There are varying degrees of impairment, explore the combination of different interest rates and thus the formation of a variety of relatively complete benchmark yield curve has some innovative.Introduction part of the main research background, purpose, meaning, status, content and method are described, and describes possible innovations; theory part of the core concepts presented, based on the interest rate term structure theory and the theory of monetary policy transmission mechanism are discussed, as the study of theoretical support; Economic Analysis benchmark yield curve constructed mainly contains two parts, one is through the analysis of the benchmark interest rate transmission mechanism of monetary policy transmission channels and the benchmark interest rate to demonstrate the impact of the real economy, mainly in order to illustrate the need to build benchmark yield curve. Second, China’s financial market benchmark interest rate investigation, selection criteria in determining the benchmark interest rate benchmark interest rate on the basis of a preliminary qualitative analysis; empirical analysis section, constructed multivariate VAR model and on this basis, the variables are stationary test, co-integration test and Granger causality test, draw empirical conclusions; finally proposed to build a benchmark yield curve of policy recommendations, including the consolidation SHIBOR short end of the reference position and continue to strengthen the status of national debt interest basis. The main conclusions are: As a benchmark interest rate, you must have a low risk, high liquidity, adequate size, data integrity can be obtained, term structural integrity and other features, while China is not yet the existence of such a single interest rate can satisfy all the requirements of each species are present key interest rate different defects; less than one year in the short run, SHIBOR have a stronger benchmark, although in a certain period (eg one month) showed interest in the mutual independence of the individual, but from the relevance and lead-lag relationship look, the short end is SHIBOR benchmark yield curve is more appropriate, while the long end of the yield curve on the basis of the inter-bank bond interest rate benchmark performance more, our complete benchmark yield curve as short Duanyou SHIBOR, Duanyou long as the intcr-bank bond repurchase rate may be a better choice; SHIBOR there are still trading mechanism is imperfect, unstable operating environment and other issues, it must consolidate its position in the short end of the benchmark. In the long run, the benchmark interest rate bonds is suitable as the only option, but this goal depends on the maturity structure of the debt and the Treasury market reforms perfect.