On the Establishment of Benchmark Interest Rate and Its Dynamic Relationships in the Chinese Money Market
运用有向无环图与递归方差分解方法，研究中国货币市场基准利率的确定及其动态关系，发现存款利率是基准，Shibor的基准性随利率市场化推进而增强。
Based on the latest directed acyclic graph(DAG) technique,this paper explores the benchmark interest rate in China's money market,including its establishment and dynamic relationships.This is combined with the recursive variance decomposition method to quantitatively examine the effectiveness of interest rate liberalization. The results show that the deposit interest rate is the benchmark interest rate in China's money market. Meanwhile,the benchmark property of Shibor and of the inter-bank collateral Repo rate increases with the gradual advance of the interest rate liberalization,and Shibor is a stronger benchmark property than the interbank collateral Repo rate.Finally,the paper concludes in line with the current practice in China's financial market,which urges us to further promote the benchmark position of Shibor,and to enhance the benchmark property of Repo rate so that it can compete with Shibor.