中文摘要：

笔者在向量自回归（VAR）的基础上,运用Granger因果检验和多元GARCH分析方法,对我国货币市场3个月以内的准基准利率做了分析和评价。结合西方发达国家货币市场基准利率的相关特征,文章将利率序列按期限分为三组进行检验,结果显示1天期回购利率、7天期同业拆借利率和3个月期Shibor在各自的分组中引导作用最强。3个月内的利率均具有均值回复性,并且回复速度呈现先上升后衰减的特征。对于每组中市场引导作用较强的几种利率,在受到外界冲击时利率所受到的影响存在长期的异方差效应,并且具有协同持续性。

英文摘要：

On the basis of vector autoregressive （ VAR）, this paper uses Granger causality test and multivariateGARCH analysis method to analyze and evaluate the monetary market in China within 3 months of benchmark inter-est rates. Combined with the western developed countries relevant characteristics of money market benchmark inter-est rate, interest rates are divided into three groups according to the duration. Test results showed that 1 day reporate, seven-day interbank offered rate and three-month Shibor have the strongest guiding role in their respectivepacket. Interest rates within three months have the mean recovery, and the response rate in each group increasedfirst attenuation characteristics. For several interest rates having a strong guiding role, when affected by externalshocks it exist long-term heteroscedasticity effect and has coordinated sustainable.