Research On The Selection Of Benchmark Interest Rates In China's Financial Market

From 2003 to 2010,China's GDP growth rate is more than 10% for years,which creates a shock as "the Chinese miracle" to the world.However,since 2012,China's economic growth slowed down,in order to maintain a high economic growth rate in this international economic downturn,in addition to maintaining the existing economic growth point,China needs to stimulate domestic growth potential,domestic supply and demand,but also requires domestic finance to get rid of financial repression,so that the limited capital can flows to higher-productivity sectors and improve the efficiency of the allocation of funds in the real economy.Interest rate marketization is part of the process of financial deregulation,that is,the process of financial liberalization,and the basis of capital account opening and the ultimate realization of the vision.However,the benchmark interest rate,which plays a decisive role in the marketization of interest rates,has yet to be determined.The People's Bank of China also appears to cultivate a variety of interest rates as the benchmark interest rates: besides the 7-day repo rate,Shanghai interbank offered rate(Shibor)officially run on January 4,2007,and the Chinabond government securities yield rate(Cgs),which can be a good representative in the government bonds market.All these above have signs and conditions to become the benchmark interest rate.However,the interest rate marketization process is long,the choice of benchmark interest rate is not a policy mandate,but by the market to decide.The discussion on whether to choose an interest rate or a basket of interest rates as the benchmark interest rate has never ceased,various interest rates have their own strengths and weaknesses,but it is generally believed that the monetary policy with interest rate as the intermediate target is in line with the current situation in China.In this background,from the view of monetary policy mechanism with interest rate transmission,to explore which interest rate(or several rates)is more relevant with other financial markets interest rates,which interest rate is linked more with the macroeconomic indicators,which has the potential to become the benchmark interest rate compared with the others,thus can make the monetary policy mechanism with interest rate transmission more smoothly and effective.This has an extremely important significance for the promotion of China's interest rate marketization process.This paper analyzes the four basic properties(marketability,basicity,stability and predictability)of the benchmark interest rate of financial market,and selects USD / CNY exchange rate,Shanghai Composite Index return rate,the retail price of social consumer goods,the total investment in fixed assets,the consumer price index and other macroeconomic indicators,and the financial market representative interest rate to build VAR model,the econometrics experiment shows that among the representative interest rates in financial market,Shibor in the short term,Shibor and Cgs integrated in the medium term,and Cgs in the long term conforms to the definition of benchmark interest rate.We can continue to promote the process of marketization,continue to strengthen the development of financial products based on above two interest rates,while regulating the bond transactions and negotiable instruments market,establish and improve the credit rating system for the establishment of a unified financial supervision basis,promote the process of marketization while firmly holding the bottom line of financial risk,so that China's financial market will be stable and healthy developped.