SHIBOR作为我国货币市场基准利率的有效性研究

发布时间：2018-02-21 20:08

本文关键词： SHIBOR 基准利率货币市场有效性　出处：《兰州商学院》2012年硕士论文　论文类型：学位论文

【摘要】：实现利率市场化是我国深化金融体制改革的重要目标，利率市场化的重点是如何确定与选择市场化基准利率的问题。目前，我国是由法定利率和市场利率组成的双轨制基准利率结构，虽然已经实行了利率市场化，但以基准利率为核心的市场化利率体系还有待于进一步完善。SHIBOR推出至现在已有四年多的时间，但是，学者们对于SHIBOR能否作为我国货币市场基准利率仍在进行大量的研究。而众多研究成果表明，SHIBOR较货币市场其他利率更具优越性，已初步具备了作为货币市场基准利率的条件。因此，，研究SHIBOR推出几年来运行效果探讨SHIBOR作为我国货币市场基准利率的有效性仍然具有重要的意义。文章在既有研究成果的基础上，总结SHIBOR的有效性衡量标准。以有效性衡量标准为主线，采用格兰杰因果检验和脉冲响应函数法来检验SHIBOR作为我国货币市场基准利率的有效性，并进一步检验不同期限结构SHIBOR的有效性，最后针对SHIBOR有效性检验结果提出对策和建议。通过对SHIBOR有效性分析得出， SHIBOR已初步满足作为货币市场基准利率的市场性、基础性、合理的期限结构、相关性、可控性、稳定性的条件。同时，通过对不同期限结构SHIBOR的有效性进行检验得出，短端SHIBOR较长端SHIBOR更具优越性，长端SHIBOR基准性还有待于加强。但是，由于SHIBOR自身存在因素以及外部因素的制约，其作为我国货币市场基准利率还有待于进一步发展和完善。
[Abstract]:Realizing the marketization of interest rate is the important target of deepening the reform of financial system in our country. The key point of interest rate marketization is how to determine and select the benchmark interest rate of marketization. China is a two-track benchmark interest rate structure composed of legal interest rates and market interest rates, although interest rates have been marketized. However, the market-oriented interest rate system with the benchmark interest rate as the core has yet to be further improved. SHIBOR has been introduced for more than four years, but, Scholars are still doing a lot of research on whether SHIBOR can be used as the benchmark interest rate of money market in our country, and many research results show that SHIBOR is superior to other interest rates in money market. Therefore, it is still of great significance to study the effectiveness of SHIBOR as the benchmark interest rate in China's money market in the past few years. On the basis of the existing research results, this paper summarizes the effectiveness measurement standard of SHIBOR. Taking the effectiveness measurement standard as the main line, the Granger causality test and impulse response function method are used to test the effectiveness of SHIBOR as the benchmark interest rate in China's money market. Furthermore, the validity of SHIBOR with different term structure is tested. Finally, the countermeasures and suggestions are put forward for the test results of SHIBOR validity. By analyzing the validity of SHIBOR, it is concluded that SHIBOR has satisfied the conditions of marketability, basic and reasonable term structure, relevance, controllability and stability as the benchmark interest rate of money market. By testing the validity of SHIBOR with different term structure, it is found that short end SHIBOR is superior to long end SHIBOR, and the benchmark of long end SHIBOR still needs to be strengthened. However, because of the existence of SHIBOR itself and the restriction of external factors, the short end SHIBOR is superior to the long end SHIBOR. As the benchmark interest rate of China's money market, it still needs to be further developed and improved.
【学位授予单位】：兰州商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.0;F224

【参考文献】