Abstract: The inter-bank market is the main way for financial institutions raise funds, the inter-bank market interest rates have a leading role in the structure of financial market interest rates. This article select the Multivariate GARCH methods, the use of four series data that are the monthly average data in term structure of interest rates of China's inter-bank lending market, conducted an empirical study base on the single-factor Vasicek model. The results showed that: addition to the 90d the data sequence, the mean-reversion phenomenon of China's inter-bank market interest rate fluctuations is significant, and its speed accelerated with the growth of the interest rate term; the 90d data sequence has the slowest mean reverting speed, the reason may is that the main inter-bank offered "prudent" lending behavior.; addition, When all of the interest rate by external shocks, the interest rate per period has a significant long-term effect, at the same time, the decay items are more affect than the information items,it indicating that interest rates frequently and dramatic adjustment lead to the risk, therefore the government should maintain a moderate stability of the money market.

摘要： 银行同业拆借市场是金融机构融通资金的主要途径，同业拆借市场利率在金融市场利率结构中具有主导作用。本文选取多元GARCH方法，利用我国同业拆借市场利率期限结构中四组加权平均月度利率数据，对单因子Vasicek模型进行实证研究。结果表明：除90d数据序列，我国银行同业拆借市场利率波动均值回复现象显著，并具有随利率期限的增长均值回复速度加快的动态特征；90d数据序列异常可能是因市场不确定性的增加促使拆借主体的资金拆借变得“谨慎”；另外，各期利率在外界冲击下存在显著的长期异方差效应，并且信息项对方差方程的影响弱于衰减项，这说明利率频繁而又剧烈的调整会引发风险，因此政府应保持货币市场的适度稳定。