摘要
银行间债券市场定价基础的不统一导致信用债券误定价现象时有发生,本文采用G ranger因果关系检验方法分析了央行票据与同业拆借利率之间的相互引导关系,研究发现央行票据是引起同业拆借利率变化的G rang-er原因,由此可以推断央行票据利率具有更强的价格发现功能,是当前市场条件下信用债券定价的基准利率。
The benchmark rate is a basically factor of credit bond pricing,and there are two latent variables,Shibor and the yield of Center Bank Bills（CBB）,that can influence the yield of credit bond.This paper take the Granger causality methods to analyze the lead-lag relationship of Shibor and the yield of CBB,and find that the yield of CBB is the Granger causality of Shibor,which means the yield of CBB is more suitable for benchmark rate.
出处
《中州大学学报》
2011年第2期126-128,共3页
Journal of Zhongzhou University
