货币国际化背景下同业拆借利率影响因素分析

发布时间：2019-06-27 17:47

【摘要】：本文主要研究的内容是在货币国际化背景下,上海银行间同业拆借利率期限结构的影响因素。在具体研究方向上,本文选择了美元伦敦银行间同业拆借利率影响因素和上海银行间同业拆借利率影响因素进行对比分析。选取了反应经济基本面和资金面的具体指标,运用Nelson-Siegel简化模型,建立不带移动平均项的自回归分布模型,研究美元伦敦银行间同业拆借市场和上海银行间同业拆借市场利率期限结构的影响因素的分析。得出以下结论：在美国市场上,联邦基金利率、欧元兑美元的汇率、消费者价格指数、美国国债收益率和广义货币的增加是影响美元伦敦银行间同业拆借利率的长期因素；国债收益率、消费者价格指数、联邦基金利率是影响美元伦敦银行间同业拆借利率的短期因素；道琼斯工业指数、欧元兑美元汇率、联邦基金利率是影响利率曲线的中期因素。在我国市场上,上海银行间同业拆借利率的长期影响因素包括回购利率和贷款利率,短期影响因素包括回购利率和消费者价格指数,中期影响因素只有回购利率。最后进行了上海银行间同业拆借利率和香港人民币银行间同业拆借利率相关性分析,检验结果显示上海银行间同业拆借利率对香港人民币同业拆借利率产生影响。中美实证对比分析说明上海银行间同业拆借利率对宏观经济因素反应较迟钝,尽管上海银行间拆借利率对离岸市场的利率产生影响,但是市场化程度有待进一步加强,最后本文提出了相关的政策讨论,意在通过加快上海银行间同业拆借利率的市场化改革,提高其对市场的敏感度,使其成为在岸和离岸金融市场的基准利率
[Abstract]:The main content of this paper is the influencing factors of the term structure of Shanghai interbank offered rate under the background of currency internationalization. In the specific research direction, this paper selects the influencing factors of US dollar London interbank lending rate and Shanghai interbank offered rate for comparative analysis. The specific indexes reflecting economic fundamentals and capital surface are selected, and the autoregression distribution model without moving average term is established by using Nelson-Siegel simplified model, and the influencing factors of interest rate term structure in US dollar London interbank lending market and Shanghai interbank lending market are analyzed. The following conclusions are drawn: in the United States market, the federal funds rate, the exchange rate of the euro against the US dollar, the consumer price index, the yield on US Treasuries and the increase in the broad currency are the long-term factors affecting the US dollar interbank lending rate, while the Treasury bond yield, the consumer price index and the federal funds rate are the short-term factors affecting the US dollar interbank lending rate. The Dow Jones Industrial average, the euro against the dollar, and the federal funds rate are the medium-term factors that affect the interest rate curve. In the Chinese market, the long-term influencing factors of Shanghai interbank lending rate include repurchase rate and loan interest rate, the short-term influencing factors include repurchase rate and consumer price index, and the medium-term influencing factor is only repurchase rate. Finally, the correlation analysis between Shanghai Interbank offered rate and Hong Kong RMB Interbank offered rate is carried out. The test results show that Shanghai Interbank offered rate has an impact on the RMB interbank offered rate in Hong Kong. The empirical comparative analysis between China and the United States shows that the Shanghai interbank lending rate is slow to respond to macroeconomic factors. Although the Shanghai interbank lending rate has an impact on the interest rate in the offshore market, the degree of marketization needs to be further strengthened. Finally, this paper puts forward relevant policy discussions in order to improve its sensitivity to the market by speeding up the marketization reform of the Shanghai interbank lending rate. Make it a benchmark interest rate for onshore and offshore financial markets
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F224

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