摘要
本文利用向量误差修正模型分析了2000至2004年中国货币市场利率(银行间拆借和回购市场)、国债市场收益率(银行间市场和交易所市场)、股票市场指数(上证 A 股市场)之间的长期均衡和短期互动关系。我们发现,货币市场与债券市场的内部都存在相当稳定的长期均衡和短期互动关系,银行间市场和交易所之间长期分割的现象已经基本得到解决,但是,货币市场与债券市场之间的均衡关系却比较脆弱。股票市场与其他市场不存在长期均衡关系,短期互动效应也比较弱。就市场参与者而言,这意味着当前尚没有充分的套利机制来规避系统性风险;就货币政策而言,意味着即使在以市场化的金融市场利率体系中,也没有稳定、有效的利率传导渠道。因此,在当前汇率制度已经开始改革的背景下,加快金融市场建设,尤其是加快远期利率市场的发展,显得极其迫切。
By using the Vector Error Correction Model(VECM),this paper examines the linkages between interest rates of money markets(including interbank offer market and repo market),yield return of treasury markets (including interbank market and exchange market)and stock price index(Shanghai Stock Exchange)in China for the period of 10 January 2000 to 31 December 2004.We find strong empirical support for long-term equi- librium relationship and short-term causality existed inside money markets and also treasury markets.But the relationship between money markets and treasury markets is comparatively weak.As for linkages between stock market and other markets,there doesn't exist long-term equilibrium relationship,neither does steady short- term causality.These results imply market participants can not avoid systematical risk in financial markets and central bank can not depend on interest rate conduct even though these interest rates are marketized.
出处
《世界经济》
CSSCI
北大核心
2006年第1期50-60,共11页
The Journal of World Economy
作者简介
电子信箱：yjfifb@cass．org．cn。
