Shibor作为银行间市场基准利率的可行性研究

发布时间：2018-05-10 19:35

本文选题：基准利率 + 银行间市场　；参考：《上海社会科学院》2016年硕士论文

【摘要】：基准利率是指在金融市场具有普遍参考意义的利率,是金融交易以及金融产品定价的基础,因此,基准利率的选择及其基准性效果关系着我国金融行业的发展。我国在1993年确立了利率市场化改革的基本设想,并在1996年完全放开了对银行间同业拆借利率的限制,紧接着,在1997年,银行间回购利率也完全放开。至此,我国银行间货币市场的利率体系已经脱离了行政管制,实现了完全的市场化。我国的银行间市场已经变成债券交易和短期资金融通的主市场,银行间市场的利率行为以及基准利率的发展是我国利率自由化进程中的重要课题。本文从基准利率的理论研究出发,基于银行间市场的交易数据,对Shibor作为银行间市场的基准利率进行了深入的分析。在我国现有的基准利率体系中,定期存款利率、央票票据的发行利率、国债利率、银行间市场的回购利率以及后来的Shibor利率,都曾经是金融市场基准利率的重要参考。由于银行间市场分为现券市场和货币市场,本文实证部分的研究也分成了两部分。在现券市场的研究方面,本文主要选择了交易量较大,信用等级较高的几类债券,在期限结构上选择了三个月和一年的短期债券分别进行分析。根据数据本身的特点和研究需要,本文选择了误差修正模型(VECM),并在此基础上进行了Granger因果分析。在货币市场的研究方面,为了分析货币市场基准利率之间的相互关系和稳定性,本文选择了期限更短的利率品种,Shibor的隔夜以及七天利率、回购定盘利率(FR007)、回购利率的移动平均利率以及期限最短的国债以及央票的收益率进行分析。考虑到变量之间可能存在同期因果关系,本文采用有向无环图(DAG)法分析了扰动项之间的同期影响,并在此基础上将VECM模型扩展为SVECM模型,之后进行方差分解,对利率之间的动态影响和结构变动进行分析。本文的研究旨在帮助银行间市场的参与主体准确把握市场的利率走势以及利率特征,并为金融机构的产品定价以及风险管理提供基准利率,同时也为银行间市场的利率以及相关利率产品的发展提供理论参考。
[Abstract]:Benchmark interest rate refers to the interest rate which has universal reference meaning in financial market and is the basis of financial transaction and pricing of financial products. Therefore, the choice of benchmark interest rate and its benchmark effect are related to the development of financial industry in China. Our country established the basic idea of interest rate marketization reform in 1993, and completely liberalized the restriction on interbank offered rate in 1996. Then, in 1997, the interbank repo rate was also completely liberalized. At this point, the interest rate system of interbank money market in our country has been separated from administrative control and completely market-oriented. The interbank market in China has become the main market for bond trading and short-term financing. The interest rate behavior and the development of the benchmark interest rate in the interbank market are important topics in the process of interest rate liberalization in China. Based on the theoretical study of benchmark interest rate, this paper makes a deep analysis of Shibor as the benchmark interest rate in interbank market based on the transaction data in the interbank market. In the current benchmark interest rate system of our country, the interest rate of time deposit, the issuing rate of central bill, the interest rate of national debt, the repo rate of interbank market and the later Shibor interest rate are all important references for the benchmark interest rate of financial market. Due to the fact that the interbank market is divided into the coupon market and the money market, the empirical part of this paper is divided into two parts. In the research of the stock market, this paper mainly selects several kinds of bonds with larger trading volume and higher credit rating, and analyzes the short-term bonds of three months and one year respectively in term structure. According to the characteristics of the data and the needs of the research, the error correction model is selected in this paper, and the Granger causality analysis is carried out on the basis of the model. In the aspect of money market research, in order to analyze the relationship and stability of the benchmark interest rate in the money market, this paper chooses Shibor, a shorter term interest rate variety, as well as the overnight interest rate and the seven-day interest rate. The fixed repurchase rate is set at FR007. The moving average rate of the repo rate and the yield on the shortest maturities of government bonds and central notes are analyzed. Considering the causality between variables may exist at the same time, this paper uses directed acyclic graph (DAG) method to analyze the effect of synchronization between disturbance terms, and then extends the VECM model to SVECM model, then decomposes the variance. This paper analyzes the dynamic effects and structural changes of interest rates. The purpose of this study is to help the participants in the interbank market to accurately grasp the market interest rate trend and interest rate characteristics, and to provide the benchmark interest rate for the pricing of products and risk management of financial institutions. It also provides a theoretical reference for the development of interbank interest rate and related interest rate products.
【学位授予单位】：上海社会科学院
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F822.0;F832

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