我国货币政策对银行间同业拆借利率期限结构的影响效应研究

在中央银行提高（降低）对金融机构一年期的贷款利率的两个月内,所有期限银行间同业拆借利率与中央银行基准利率同向变动,但长期银行间同业拆借利率的变动幅度相对较大,银行间同业拆借利率期限结构曲线呈现截面稍微向上（下）倾斜变化和动态平行移动变化.在中央银行调整对金融机构一年期的贷款利率后的第二个月,所有期限的银行间同业拆借利率仍随中央银行基准利率同向变动,但中期银行间同业拆借利率变动幅度相对较大.我国银行间同业拆借利率期限结构随中央银行基准利率的变化规律反映了货币政策和经济周期的相互作用.当中央银行提高（降低）对金融机构一年期的贷款利率时,长期资金缺口增加（减小）,短期资金缺口减小（增加）,长期银行间同业拆借利率相对短期银行间同业拆借利率增加（降低）幅度较大.随着长期资金缺口增加（减小）,外源融资溢价增加（减小）,货币性资产收益率增加（降低）,中期银行间同业拆借利率增加（降低）幅度相对较大.

Effect Studies on the Term Structure of CHIBOR under the Chinese Monetary Policy

Within two months, China interbank offered rates （CHIBORs） for all terms move in the same direction with central bank benchmark rate and variations in long term CHIBORs are more obvious i. e. CHIBOR term structure curve shows slight cross-section movement inclining upward （downward） and dynamic parallel movement since the central bank has raised （reduced） one year~ loan rate for financial institution. In the second month,CHIBORs for all terms move also in the same direction with central bank benchmark rate and variations in medium term CHIBORs are more obvious after the central bank regulated one year＇s loan rate for financial institution. The laws of variations in CHIBORs with central bank benchmark rate reflect the interaction between monetary policy and business cycle. When central bank raises （reduces） one year~ loan rate for financial institution, the long term funds gap increases （decrea- ses）, the short term funds gap decreases （increases） and long term CHIBORs increase （decrease） more greatly than short term CHIBORs. With increasing （decreasing） in the long term funds gap, external finance premium increases （decreases）, the returns of monetary assets increase （decrease）and increases （decreases） in medium term CHIBORs are more obvious.