SHIBOR是否成为我国基准利率

发布时间：2018-01-31 22:22

本文关键词： SHIBOR 基准利率格兰杰因果检验脉冲响应函数　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：目前,我国正处于利率市场化进程中。这场自二十世纪九十年代开始的改革在经历近二十年的发展后,使我国的利率市场化取得了较大进步,金融改革也取得重大的成就,金融市场的创新产品不断涌现,交易也越来越活跃,央行也逐步放松了对利率的管制。然而,要真正实现利率市场化必须在由众多利率组成的利率体系中确定一个基准利率,以此基准利率为金融市场金融产品定价基准。因此,基准利率作为一个市场利率体系中最核心的利率,其确定对金融市场的发展有着极为重要的意义。当基准利率有变化时,市场中的其他利率也会相应的发生变化。故中央银行可以运用宏观经济调控方法,通过基准利率的变化,引导其他市场利率变动,让市场参与者的行为发生相应的改变,最终达到央行采取货币调控政策的目的。这种连锁效应,使基准利率在货币政策实施过程中发挥起了中介目标的作用。在全球市场上,主要的发达国家都建立了自己的基准利率,如英国设立了伦敦银行间同业拆放利率(LIBOR),新加坡则确定了新加坡银行间同业拆放利率(SIBOR)。我国在2007年推出了上海银行间同业拆放利率(简称SHIBOR)。其推出的目的是为了“进一步推动利率市场化,培育中国货币市场基准利率,提高金融机构自主定价的能力,更好的完善货币传导机制。"SHIBOR如果成为市场基准利率,将是中国利率市场化的关键一步。因此,自SHIBOR推出以来,针对SHIBOR运行的研究就一直不曾间断。而对于SHIBOR运行以来的实际效果,是否能够担负起中国市场基准利率的重任,是一个迫切需要检验的问题。本文以利率市场化为历史背景,结合众多学者的研究成果,首先对基准利率的定义和特征、SHIBOR的基本情况进行了理论研究。其次在实证分析部分,以SHIBOR的运行情况为主线,首先检验了不同期限结构SHIBOR的利率期限结构,随后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和稳定性。通过定性和实证分析,最后得出目前SHBOR作为基准利率存在的限制因素和不足,并提出对策和建议。
[Abstract]:At present, our country is in the process of interest rate marketization. This reform, which began in 1990s, has made great progress in interest rate marketization after nearly two decades of development. Financial reform has also made significant achievements, financial markets are emerging innovative products, transactions are becoming more and more active, the central bank has gradually relaxed the control of interest rates. In order to realize the real marketization of interest rate, a benchmark interest rate must be determined in the interest rate system composed of many interest rates, which is used as the benchmark for the pricing of financial products in financial markets. Therefore, as the core interest rate in a market interest rate system, the determination of benchmark interest rate is of great significance to the development of financial market. Other interest rates in the market will also change accordingly, so the central bank can use macroeconomic regulation and control methods, through the change of the benchmark interest rate, to guide other market interest rate changes. Let the behavior of market participants change accordingly, and finally achieve the purpose of the central bank to adopt monetary control policy. This kind of chain effect. The benchmark interest rate plays an intermediary role in the implementation of monetary policy. In the global market, major developed countries have established their own benchmark interest rates. For example, the London Interbank offered rate (LIBORR) has been established in the United Kingdom and Singapore has set the Singapore Interbank offered rate (IBORR). In 2007, China launched the Shanghai Interbank offered rate (SHIBORA). Its purpose is to "further promote the marketization of interest rates and cultivate the benchmark interest rate in China's money market." Improve the ability of independent pricing of financial institutions, and better improve the monetary transmission mechanism. "if SHIBOR becomes the benchmark interest rate in the market, it will be a key step in the marketization of interest rate in China." Since the introduction of SHIBOR, the research on SHIBOR operation has been uninterrupted. But for the actual effect of SHIBOR operation. Whether the benchmark interest rate in the Chinese market can be shouldered is an urgent question to be tested. Based on the historical background of interest rate marketization and the research results of many scholars, this paper firstly studies the definition and characteristics of benchmark interest rate and the basic situation of SHIBOR. Secondly, in the empirical analysis part. Taking the operation of SHIBOR as the main line, this paper first tests the term structure of interest rate of SHIBOR with different term structure. Then Granger causality test and impulse response function method are used to test the validity and stability of SHIBOR as the benchmark interest rate of China's money market. Finally, the limitations and shortcomings of SHBOR as the benchmark interest rate are obtained, and the countermeasures and suggestions are put forward.
【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】：F832.5;F224

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