摘要
本文以金融危机为分界点,选取2007-2010年的数据,研究了Shibor与上证指数之间的波动溢出效应及背后所体现的货币政策逻辑含义。研究结果表明:金融危机后,Shibor与上证指数的波动溢出效应逐渐增强。政策含义是:shibor发展较快,已经具备了基准利率的功能,这为上海建设国际金融中心和人民币国际化奠定了基础;管理层可以利用shibor与上海指数的内在逻辑关系,改善和提高货币政策调控效果。
The paper uses data from 2007 to 2010,which was split into two parts by financial crisis,to study the volatility spillover effect between Shibor and Shanghai Stock Index,and its implication on monetary policy.The result clearly states that volatility spillover effect between Shibor and Shanghai Stock Index became increasingly strong after financial crisis.The policy implication is：Shibor has already possessed the function of benchmark interest rate,thus establishes the foundation for Shanghai＇s international financial center construction and RMB internationalization;Authorities can improve the effect of monetary policy control by making use of the intrinsic logical relation between Shibor and Shanghai Stock Index.
出处
《上海金融》
CSSCI
北大核心
2010年第10期108-112,共5页
Shanghai Finance
