The Empirical Research Based on the Choice of the Benchmark Interest Rate in Our Country´s Money Market

The choice of benchmark interest rate is an important part of interest rate marketization and financial market reform in our country. When choosing benchmark interest rate, we must adhere to principles of marketability, fundamentality, reasonable term structure, stability, immunity, conductivity, fundamentality and correlation. This paper selects SHIBOR and Repo Rate with regard to international experience and China´s reality. Then we test whether these two rates meet principles above by descriptive analysis, ADF test, impulse response analysis, Granger Causality test and correlation analysis. Empirical results show that SHIBOR is superior to Repo Rate with regarding to fundamentality and correlation, however, this advantage is not significant. This paper suggests that we can cultivate the two rates simultaneously, and select the appropriate rate as the benchmark rate according to the future development prospects.