上海银行间同业拆放利率（Shibor）作为我国基准利率的研究

发布时间：2017-12-30 21:02

本文关键词：上海银行间同业拆放利率（Shibor）作为我国基准利率的研究　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

更多相关文章： 基准利率 利率市场化 Shibor 基准性

【摘要】：基准利率在货币市场利率体系中起主导作用,是最具有代表性的利率。从长期来看,我国推出Shibor作为基准利率是我国利率市场化进程中的关键一步,是社会主义市场经济的内在要求,也是我国货币政策调控方式由数量型向价格型转变的支点。基准利率是最基本、最市场化的资金价格,是整个金融市场的纽带,也是提高我国商业银行等金融机构竞争力的的必要措施。因此,在我国目前的特殊国情和市场经济下,培育和发展一个成熟的基准利率,确实显得非常迫切和具有必要性。在我国利率市场化改革的过程中,曾经尝试把国债回购利率、银行间同业拆借利率等好几种作为我国的基准利率,但由于种种原因,都未能成功实践。为了进一步推进我国的市场化进程,央行在2007年1月4日正式推出“上海银行间同业拆放利率”,简称为Shibor,当作货币市场上的基准利率进行培育和完善,为了避免重蹈覆辙、吸取教训,迫切需要检验Shibor自运行以来的实际效果,对Shibor能否作为我国货币市场上真正的基准利率进行系统的研究。 1.本文研究思路与目的本文的研究思路：首先,在回顾了国内外对基准利率的研究基础上,对基准利率理论进行综述,为下文的利率市场化进程、基准利率选择和基准性实证检验做好理论准备工作;然后,简述了我国基准利率的选择及Shibor现状,介绍了Shibor的运行机制,运用归纳总结、对比分析的方法对Shibor进行可行性分析。最后,运用多种计量和统计方法分别对市场性、基础性、相关性和稳定性进行了实证检验,再结合理论分析和实证检验的结果为Shibor的完善提出建议。本文的研究目的：根据本文的内容,希望本文能够解决以下几个问题：(1)选择基准利率应该参考哪些标准?基准利率的内涵有哪些?(2)Shibor的基准性如何,能否担当我国基准利率的重任?其中,这是最主要目的。(3)Shibor的运行情况如何?还有哪些不足?如何改进? 2.本文研究内容本文以我国的利率市场化进程为历史背景,在前人对基准利率研究的基础之上,以Shibor的基准性为主线,一共分为七章,主要研究内容如下：第一章：绪论。在分析选题背景与研究意义的基础上明确研究目的,介绍本文研究思路,概述研究内容框架后,点明本文的主要贡献和不足。第二章：国内外文献综述。首先,回顾了国外关于基准利率的研究；其次,,总结了国内近些年对基准利率的探索与研究；最后,对国内外的文献综述进行了述评,指出了值得学习借鉴的地方以及一些不足。第三章：基准利率理论综述。在前人的研究基础上归纳总结了基准利率的定义、一般特征和作用,并结合我国的实际情况,表达了我国确定基准利率的必要性。概述了选择基准利率时应该遵循的原则,在这些基础上,总结了发达国家或地区几个较为成熟的基准利率及特点。第四章：我国基准利率的选择及Shibor现状。首先,运用比较分析的方法总结了我国几个重要基准利率候选利率的优缺点；其次,简述了我国利率市场化和基准利率的探索过程,运用归纳总结、对比分析的方法从理论上分析得到Shibor优于其它利率成为我国的基准利率；再次,简要介绍的Shibor的运行机制及Shibor现状；最后,对Shibor作为我国基准利率的可行性进行了分析。第五章：研究方法介绍。对相关性分析、ADF检验、Granger因果检验、VAR模型、脉冲响应的原理和特性做了简要介绍,为下文的实证检验做好准备。第六章：Shibor作为我国基准利率的实证检验,是本文最为重要的部分。分别对Shibor按照市场性、基础性、相关性、稳定性进行了实证检验,其中,相关性检验又分为三个部分即Shibor自身的相关性、与货币政策代表变量的相关性、与主要宏观经济变量的相关性。运用了多种统计和计量检验方法,如相关性分析、Granger因果检验、VAR模型、脉冲响应,环环相扣,层层递进。第七章：结语。得出的结论是：Shibor基本上能够成为我国货币市场的基准利率,但依然存在着一些不足。然后根据Shibor的困难和不足,针对性地提出了发展和完善的建议,总结本文研究不足之处及展望。 3.主要研究结论本文的研究方法的最大特色就是理论分析与实证检验相结合,在梳理完理论分析的基础上再运用历史数据进行实证检验,使文章有理有据,具有说服力。在理论分析中,运用的方法有归纳总结、对比分析；在实证检验中,运用了较多的计量方法,主要是相关性检验、Granger检验、VAR模型以及脉冲响应函数等检验方法,对各类数据围绕Shibor的基准性进行实证研究。最后,得到的结论有以下2个方面： (1)Shibor基本上能作为我国货币市场上的基准利率,原因如下：①我国建立基准利率的必要性。基准利率是我国利率市场化进程中的一个关键步,转变货币政策的调控方式需要这样的一个利率。②发达国家经验的启示。很多西方的发达国家或地区选择同业拆借利率作为本国的基准利率。③理论分析的比较。在我国的利率市场化进程中,前前后后选择出了好几种利率来作为基准利率参考指标,但它们只具备基准利率的部分属性,均未获得成功。Shibor在很大程度上弥补了它们的缺点。④实证检验的判断。在市场性方面,从报价行和市场参与主体来看,总体上还较为优秀。在基础性方面,Shibor能够对市场上其它利率有着基础性和成因性的影响。在相关性方面,Shibor自身品种的相关性非常高,期限结构很合理；与主要宏观经济变量之间的相关方向是符合经济理论意义的。在稳定性检验中,Shibor受外界干扰较小在收到小幅影响后能够在较短时期内回复到平稳状态。因此,Shibor的四个基准属性均较好。 (2)Shibor依然有较多不足：①报价质量和真实性不够。同发达国家的银行相比,我国银行的专业水平和道德水平还存在较大的发展空间。②期限品种少、交易量较小。我国的同业拆借交易量主要集中在短期品种上,限制了中场期限品种的发展。③与货币政策之间关系不强。我国是市场经济,货币政策也需从数量型转向价格型,但是通过检验的结果来看,效果还不是很好。④对经济金融的指示作用不够突出。Shibor与固定资产投资总额和社会消费品零售总额的相关程度不是很高,Shibor对消费和投资的指示作用还不多。 4.本文主要贡献纵观全文,本文具有以下几方面的贡献：①综合运用归纳总结、对比分析、理论分析与实证检验相结合的方法,使文章层层递理有据,论证的可信度较高。②本文将对Shibor进行系统的实证检验,并从三个方面去检验Shibor的相关性。③在一些学者的定量分析中,论证方法较为简单和粗糙,对一些宏观经济数据没有进行预处理,对一些计量方法的使用也存在不足,本文将针对这些不足进行弥补。④运用更多更新的Shibor的数据,使其实证结果更为准确和具有说服力,让人们能够更加准确的了解Shibor的运行效果。
[Abstract]:The benchmark interest rate plays a dominant role in the money market interest rate system, is the most representative of the interest rate. In the long term, China's launch of Shibor as the benchmark interest rate is a key step in the process of China's market-oriented interest rate, is the inherent requirement of socialist market economy, but also change the fulcrum of China's monetary policy regulation from quantity to the price type. The benchmark interest rate is the most basic, the market price of the funds, is the link of the whole financial market, but also the necessary measures to improve the competitiveness of China's commercial banks and other financial institutions. Therefore, in the present situation and the market economy, the cultivation and development of a mature benchmark interest rate. It is very urgent and necessary.
In the process of China's market-oriented interest rate reform, tried to bond repurchase rate, interbank interest rate etc. several as China's benchmark interest rate, but due to various reasons, did not succeed in practice. In order to further promote the marketization process in China, the central bank in January 4, 2007 officially launched the Shanghai interbank offered put the interest rate ", referred to as Shibor, to cultivate and perfect as the benchmark interest rate on the currency market, in order to avoid making the same mistakes, lessons learned, the urgent need to check the actual effect of Shibor since the operation of Shibor, can be used as China's currency market real benchmark interest rate system research.
1. the thinking and purpose of this paper
The idea of this study: first, reviews the domestic and foreign research foundation of the benchmark interest rate, the benchmark interest rate to summarize the theory for the marketization of interest rates below the benchmark interest rate, benchmark selection and empirical test of the theoretical preparation work; then, the choice and the status quo of Shibor benchmark interest rate in China, introduced. The operating mechanism of Shibor, the use of the summary, comparative analysis method to analyze the feasibility of the Shibor. Finally, using a variety of measurement and statistical methods were used to the market, basic, correlation and stability of empirical test, combined with theoretical analysis and empirical test results to put forward suggestions for the perfection of Shibor.
The purpose of this paper is: according to the contents of this article, I hope this paper can solve the following problems: (1) choose the benchmark interest rate should refer to what standards? What is the connotation of the benchmark interest rate? (2) how to reference Shibor, can assume responsibility of benchmark interest rate in China? Among them, this is the main purpose. (3 how to run Shibor)? Is there any problem? How to improve?
2. the content of this paper
Based on the historical background of China's interest rate marketization process, based on previous studies of benchmark interest rates, Shibor's benchmark is divided into seven chapters.
The first chapter is the introduction. Based on the analysis of the background and significance of the research, we clarify the purpose of the research, introduce the research ideas of this paper, and summarize the main contributions and shortcomings of this article after summarizing the content framework.
The second chapter: literature review. Firstly, reviews the research on the benchmark interest rate in foreign countries; secondly, and summarizes the exploration and Research on the benchmark interest rate of recent years; finally, the literature review at home and abroad are reviewed, pointed out that it is worth to learn from the place and some shortcomings.
The third chapter is literature review of the benchmark interest rate theory. On the basis of previous studies, summarized the definition of the benchmark interest rate, and the role of the general characteristics, combined with the actual situation of our country, expressed China's necessity to determine the benchmark interest rate. The choice of the benchmark interest rate should follow the principles, on the basis of summarizing. The developed countries or regions of several relatively mature and characteristics of the benchmark interest rate.
The fourth chapter: the selection and Shibor status of China's benchmark interest rate. First of all, by the method of comparative analysis, summarizes the advantages and disadvantages of China's benchmark interest rates several important candidate; secondly, to explore the process of China's market-oriented interest rate and the benchmark interest rate with the use of the summary of the method of comparative analysis from theory analysis Shibor is better than that of other interest rates become the benchmark interest rate in China; thirdly, the operation mechanism and the status quo of Shibor Shibor are introduced; finally, the feasibility of Shibor as the benchmark interest rate in China is analyzed.
The fifth chapter is the introduction of research methods. The correlation analysis, ADF test, Granger causality test, VAR model, impulse response principle and characteristics are briefly introduced, so as to prepare for the following empirical tests.
The sixth chapter: Shibor as an empirical test of China's benchmark interest rate, is the most important part of this paper. The Shibor according to the market, basic, correlation, stability of the empirical test, the correlation test is divided into three parts: correlation of Shibor itself, and the correlation between monetary policy variables on behalf of the association with the main macroeconomic variables. Using the method of testing a variety of statistics and measurement, such as correlation analysis, Granger causality test, VAR model, impulse response, interlocking, step by step.
The seventh chapter is the conclusion. The conclusion is: Shibor basically can become China's money market benchmark interest rate, but there are still some shortcomings. Then according to the Shibor's difficulties and shortcomings, puts forward the development and improvement suggestions, summing up and prospect the shortcomings of this study.
3. main research conclusions
The biggest characteristic of this research method is the combination of theoretical analysis and empirical tests, the historical data of the empirical test using based on combing theory analysis, makes this article convincing. In the theoretical analysis, the use of the method are summarized, comparative analysis; in the empirical test, using econometric method more, mainly is the correlation test, Granger test, VAR model and impulse response function test method, the empirical research on the benchmark data on Shibor. Finally, the conclusions are the following 2 aspects:
(1) Shibor basically can be used as the benchmark interest rate, China's currency market for the following reasons: the necessity of establishing China's benchmark interest rate. The benchmark interest rate is a key step in the process of marketization of interest rates in the regulation of monetary policy changes to a rate that the experience of developed countries. Enlightenment. Many western developed countries or regions to choose the interbank interest rate as the benchmark interest rate in our country. The comparison of the theoretical analysis. In the process of marketization of interest rate in China, and selected several interest rates as a reference index to the benchmark interest rate, but they only have some attributes of the benchmark interest rate, were not successful.Shibor to make up for their shortcomings to a great extent. The empirical judgment. In the market aspect, from the quotation and market participants, on the whole is relatively good. On the basis of sex, Shibor There are enough influence and cause based on other interest rates on the market. In the correlation, correlation between Shibor own varieties is very high, the term structure is reasonable; the relevant direction between the main macroeconomic variables is consistent with the economic theory. In the stability test, Shibor less interference in receiving slightly influence can return to the steady state in a short period of time. Therefore, four benchmark properties of Shibor are better.
(2) Shibor still has many deficiencies: the quality and authenticity of the quotation is not enough. Compared with the developed countries of the bank, Bank of China's professional level and moral level there is a large space for development. The term of less varieties, small volume of transaction. The interbank trading volume in our country mainly in the short-term varieties. Limit the development of maturity. The relationship between the midfield and the monetary policy is not strong. China is a market economy, monetary policy will need to shift from quantity price, but through the test results, the effect is not very good. The degree of correlation indicates the effect of the financial is not enough to highlight the.Shibor and total investment in fixed assets and the total retail sales of consumer goods is not very high, indicating the effect of Shibor on consumption and investment is not enough.
4. the main contribution of this article
Throughout the paper, this paper has the following contributions: comprehensive use of the summary, comparative analysis, theoretical analysis and empirical test, this paper makes a presentation layer according to the high reliability, the argument. This paper will makes an empirical test on the Shibor system, and from three aspects to examine the correlation between Shibor 3. In the quantitative analysis of some scholars, demonstration method is relatively simple and rough, some of the macroeconomic data without pretreatment, the use of some measurement methods are also problems, this paper will make up for these deficiencies. Using more updated Shibor data, make the results more accurate and persuasive force, so that people can more accurately understand the operation of the Shibor effect.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F832.5;F224

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