我国利率市场化进程中Shibor作为基准利率的有效性研究
发布时间：2018-12-09 13:44
【摘要】：我国的利率市场化开始于20世纪90年代,经过20多年的发展已经取得了长足的进步,目前只剩下存款利率没有完全放开。而要真正实现利率市场化,最关键的就是要形成货币市场基准利率。为了推进利率市场化进程,为了促进我国金融市场的发展,为了培育我国货币市场基准利率,在借鉴国际经验的基础上,2007年我国推出了上海银行间同业拆放利率(Shibor)。Shibor利率作为我国的基准利率推出,肩负着我国货币市场基准利率体系建设的重大使命,并且Shibor已经推出六年之久,是否能够或者已经充当我国货币市场的基准利率,这是个值得关注和检验的问题。 文章在理论分析的基础上,阐述了Shibor作为基准利率的有效性而应该具备的五个基本特征：市场性、相关性、基准性、货币政策传导性、稳定性。然后以利率市场化为背景,分析了我国利率市场化改革的历程及取得的成效。同时说明构建基准利率体系的重要性。对我国货币市场其他利率的优缺点及Shibor运行以来的基本情况进行了分析与阐述。文章重点通过对Shibor与其他利率进行比较分析,运用VAR模型,具体采用平稳性检验、协整检验、格兰杰因果检验、脉冲响应函数等方法来检验Shibor是否已经具备了基准利率的五个基本特征,从而验证Shibor作为基准利率的有效性。实证结果表明,Shibor已经基本具备了货币市场基准利率的基本特征,但由于内外因素的制约,影响了其基准利率作用的发挥,并对这些存在的问题和制约因素提出了一些针对性的建议,由此来提高Shibor作为基准利率的有效性。
[Abstract]:The marketization of interest rate in our country began in the 1990s. After more than 20 years of development, we have made great progress, but only the deposit interest rate has not been completely liberalized. In order to realize the real marketization of interest rate, the most important thing is to form the benchmark interest rate in the money market. In order to promote the process of interest rate marketization, to promote the development of our financial market, to cultivate the benchmark interest rate of our country's money market, and on the basis of drawing lessons from international experience, In 2007, China launched the Shanghai Interbank offered rate (Shibor). Shibor) as the benchmark interest rate in China, which shoulders the important mission of the construction of the benchmark interest rate system in China's money market, and Shibor has been launched for six years. Whether we can or have acted as the benchmark interest rate of our country's money market is a question worthy of attention and test. On the basis of theoretical analysis, this paper expounds five basic characteristics that Shibor should possess as the validity of benchmark interest rate: market, relativity, benchmark, monetary policy conduction and stability. Then, based on the background of interest rate marketization, the paper analyzes the course and achievements of interest rate marketization reform in China. At the same time, it explains the importance of constructing the benchmark interest rate system. The advantages and disadvantages of other interest rates in China's money market and the basic situation since the operation of Shibor are analyzed and expounded. This paper focuses on the comparative analysis of Shibor and other interest rates, the use of VAR model, the specific use of stationary test, cointegration test, Granger causality test, The impulse response function is used to test whether the Shibor has five basic characteristics of the benchmark interest rate, so as to verify the validity of Shibor as the benchmark interest rate. The empirical results show that Shibor has basically possessed the basic characteristics of the benchmark interest rate in the money market, but the effect of the benchmark interest rate has been affected by the restriction of internal and external factors. Some suggestions are put forward to improve the effectiveness of Shibor as the benchmark interest rate.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F822.0
本文编号：2369453
[Abstract]:The marketization of interest rate in our country began in the 1990s. After more than 20 years of development, we have made great progress, but only the deposit interest rate has not been completely liberalized. In order to realize the real marketization of interest rate, the most important thing is to form the benchmark interest rate in the money market. In order to promote the process of interest rate marketization, to promote the development of our financial market, to cultivate the benchmark interest rate of our country's money market, and on the basis of drawing lessons from international experience, In 2007, China launched the Shanghai Interbank offered rate (Shibor). Shibor) as the benchmark interest rate in China, which shoulders the important mission of the construction of the benchmark interest rate system in China's money market, and Shibor has been launched for six years. Whether we can or have acted as the benchmark interest rate of our country's money market is a question worthy of attention and test. On the basis of theoretical analysis, this paper expounds five basic characteristics that Shibor should possess as the validity of benchmark interest rate: market, relativity, benchmark, monetary policy conduction and stability. Then, based on the background of interest rate marketization, the paper analyzes the course and achievements of interest rate marketization reform in China. At the same time, it explains the importance of constructing the benchmark interest rate system. The advantages and disadvantages of other interest rates in China's money market and the basic situation since the operation of Shibor are analyzed and expounded. This paper focuses on the comparative analysis of Shibor and other interest rates, the use of VAR model, the specific use of stationary test, cointegration test, Granger causality test, The impulse response function is used to test whether the Shibor has five basic characteristics of the benchmark interest rate, so as to verify the validity of Shibor as the benchmark interest rate. The empirical results show that Shibor has basically possessed the basic characteristics of the benchmark interest rate in the money market, but the effect of the benchmark interest rate has been affected by the restriction of internal and external factors. Some suggestions are put forward to improve the effectiveness of Shibor as the benchmark interest rate.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F822.0
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