Abstract: Based on monthly data from Jan 2007 to Jan 2013, this paper has three findings. First, cointegration test shows the long-run equilibrium among the new credit, interest-rate derivatives and interest rates. Secondly, VAR model implies the complementary relationship between the interest rate derivative market and credit expansion. Thirdly, the impulse response function reflects that the dynamic relationship is obviously synchronical and symmetrical. Finally, it puts forward policy recommendations.

摘要： 以我国2007年至2013年1月的月度数据为研究样本, Johansen协整检验发现新增信贷规模、利率衍生品交易量与市场利率之间存在着长期均衡关系，VAR模型表明利率衍生品市场发展与信贷扩张互为正效应，而脉冲响应函数显示这两者之间的动态关系呈现较为明显的同步性和对称性。最后，提出在我国货币政策操作中应当考虑利率衍生品市场以及加强市场监管的政策建议。