中国基准收益率曲线的培育及其应用价值研究

发布时间：2018-03-08 23:13

  本文选题：利率市场化　切入点：基准利率　出处：《南开大学》2012年博士论文　论文类型：学位论文

【摘要】：要推进利率市场化改革进程和金融创新，在指导金融衍生品定价、指示和传导央行货币政策、商业银行内部转移定价、确立人民币境内的定价权方面，培育一个真正能够反映资金供求信息的基准利率必不可少，而通过影响基准利率和基准收益率曲线来间接进行经济调控，是货币政策的必然选择。 基准收益率曲线反映了无风险长、短期利率之间的关系，所以基准收益率曲线就成为了货币政策态势的重要体现。中央银行通过基准收益率曲线及其变动来分析货币政策的传导，通过货币政策的调整来改变预期，最后反过来又引导和影响利率的期限结构。而如何培育适用于中国金融市场的完整基准收益率曲线，探讨收益率曲线对中国经济的宏观调控，尤其是货币政策制定有何应用价值，正式本文关注的核心问题。本文所做的主要工作如下： 第一、为了探讨我国利率市场化的效果，在向量自回归模型的框架下探索我国利率市场化水平与相关宏观经济变量的相关性，并建立结构向量自回归模型（SVAR）并进行脉冲响应分析，从而了解相关变量的动态关系；利用多元自回归移动平均模型全面测定利率市场化的宏观经济效应的大小，包括分析利率市场化对金融机构贷款和投资以及对农村储蓄和消费的影响，分析利率市场化的增长效应，探讨利率变动与农民收入等宏观经济变量的关系等。研究发现：改革开放30年来我国利率市场化改革是有效的，利率市场化水平的提高直接影响了贷款、投资和储蓄的增长，由此带动了生产、消费乃至居民收入的增长，因此改革需要坚定不移的推行下去。下一步的改革关键是存款利率的逐步放开以及市场化的基准利率的逐步培育以及真正发挥作用，由此使得利率能够反映实际资金供给与需求，从而改善有限的金融资源的配置，改革依然任重道远。 第二、收集了金融市场上具有不同利率期限机构的各类利率体系的数据，进行了同一期限利率品种数据的均值-方差分析、相关性分析，而后检验了数据的平稳性，在协整检验的基础上，，构建了多元VAR模型，在多元VAR模型框架下建立了VECM模型，并在此基础上进行Granger因果关系检验和脉冲响应分析。研究发现：在基准收益率曲线的短端，Shibor在货币市场上的基准地位还有待加强；央行票据利率目前发挥着极为重要的作用；央行存贷款基准利率仍然包含金融市场大量信息；在收益率曲线的长端，交易所国债回购利率发挥着重要影响，但其基准地位却也需加强，构建完整的中国收益率曲线仍然面临大量挑战。 第三、选取恰当的经济增长和期限利差数据，首先计算各期限利差与经济增长指标间的时差相关系数，而后采用普通最小二乘法对基准模型做回归，同时标准误差项通过Newey-West方法进行计算，并比较相关期限利差的预测能力指标，从而探索期限利差对中国经济增长的预测能力；而后采用Svensson模型，对银行间国债回购利率进行拟合，从而得到收益率曲线的各因子，采用时差相关系数和对预测方程回归的方法，探索收益率曲线的长短期因子对中国通货膨胀的预测能力；在此基础上，结合国际经验，探索收益率曲线对中国宏观经济进行实时预测的可行性。 第四、从2011年全年我国货币政策的实践出发，实证研究央行存贷款基准利率和存款准备金率的调整对收益率曲线的冲击效应，并建立向量自回归模型来探讨收益率曲线与货币政策变量直接的关联性，从而探讨收益率曲线成为我国货币政策工具的可行性。在此基础上，初步提出一些可供货币当局选择的、基于基准收益率曲线的货币政策操作方法。 第五、总结基准收益率曲线应当具备的六大要素，并对目前金融市场上存在的收益率曲线进行逐一分析，探讨金融市场上不同类型的收益率曲线是否具备这些特征，在此基础上提出培育中国基准收益率曲线的思路。从基准收益率曲线的基本特征来看，银行间市场的国债、政策性金融债、企业债券、商业银行债券等均占有重要地位，其利率体系是目前培育基准收益率曲线的可选标的。构建完整中国基准收益率曲线的可行思路包括：重点培育国债收益率曲线、分段设计和整体重构。
[Abstract]:To promote the reform process of interest rate marketization and financial innovation, under the guidance of financial derivatives pricing, indication and conduction of the central bank's monetary policy, the internal transfer pricing of commercial banks, the establishment of the RMB pricing power in China, foster a truly reflect the supply and demand of funds information essential to the benchmark interest rate, and through the influence of the benchmark interest rate and the benchmark yield curve indirectly economic regulation is the inevitable choice of monetary policy.
The benchmark yield curve reflects no risk, the relationship between short-term interest rates, the benchmark yield curve has become an important manifestation of the situation of monetary policy. The central bank through the benchmark yield curve and to analyze the changes in monetary policy, through the adjustment of monetary policy is expected to change, and finally turn to guide and influence the term structure interest rate. And how to foster a complete benchmark yield curve for China financial market, explore the yield curve of macro-control of the Chinese economy, especially what is the application value of monetary policy, the core problem of formal attention in this paper. The main works are as follows:
First, in order to investigate the effect of interest rate marketization in our country, the vector auto regression model under the framework to explore the relationship between the level of China's interest rate market and related macroeconomic variables, and establish a structural vector autoregression (SVAR) model and impulse response analysis, so as to understand the dynamic relationship between variables using multivariate autoregressive moving; the average model of overall determination macroeconomic effects of the interest rate market size, including the analysis of financial institutions and investment as well as the impact on rural consumer savings and interest rate market analysis, growth effect of the interest rate market, to explore the relationship between the interest rate and the income of farmers and other macroeconomic variables. The study found that: 30 years of reform and opening up to our country interest rate market reform is effective, the interest rate market to raise the level of direct impact on the loans, savings and investment growth, which has led to the production and consumption And the income growth, so the reform should unswervingly carry out the next step of reform. The key is the gradual liberalization of deposit interest rate and the benchmark interest rate marketization gradually cultivate and really play a role, so that the interest rate can reflect the actual supply and demand of the funds, so as to improve the Limited financial resources, the reform is still a long way to go.
Second, collected with different interest rate term structure of interest rate system of financial market data, the average interest rate - the same varieties of data analysis of variance, correlation analysis, and then test the stability of data, based on the cointegration test, establish multivariate VAR model, the multivariate VAR model framework the VECM model is established, and based on Granger causality test and impulse response analysis. The study found: in the short end of the benchmark yield curve, the reference position of Shibor in the money market to be strengthened; the central bank interest rate according to the ticket currently plays a very important role; the central bank loans to keep the benchmark interest rate still contains financial a large number of market information; in the long end of the yield curve, the exchange bond repurchase rate play an important role, but its basic position but also need to strengthen the construction of the complete China yield curve The line is still facing a lot of challenges.
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