Shibor作为我国基准利率有效性的实证研究

发布时间：2018-06-29 18:47

本文选题：基准利率 + 同业拆借利率　；参考：《西南财经大学》2013年硕士论文

【摘要】：我国自1996年正式开始利率市场化改革,发展至今取得了一定成效,金融体制改革也取得了较大进步,金融市场不断发展完善,金融产品不断创新换代,各类金融交易规模不断扩大,金融发展呈现一片欣欣向荣之势。伴随着我国市场经济的发展不断取得进步,货币当局也逐步放开了对利率的管制,促进利率市场化发展不断深化。但若要实现真正的利率市场化,确定一个完全市场化且有效的基准利率便成为了亟需解决的关键性问题。作为市场化利率核心的基准利率,其对于我国的金融体制改革及利率市场化有着重大而深远的意义,具体体现在以下几个方面：第一,基准利率为实现存贷款利率市场化创造条件,是我国全面实现利率市场化的前提和核心环节；第二,基准利率为利率成为货币政策传导机制提供了操作对象,推动我国宏观调控手段由数量型向价格型转变。第三,基准利率为其他利率市场化的顺利进行提供指导,真实地反映市场资金供需,指导各种金融产品正确合理的定价,丰富市场交易品种,促进金融市场全面发展。所以,我国若要顺利的进行金融深化改革,就需要按部就班,建立一个适合我国金融市场发展要求的基准利率,形成一个有效的基准利率体系,这对于促进我国经济转型中的金融改革也具有非常重要的意义。然而由于我国市场化总体水平还不高,基准利率的生成和作用机制尚不完善,这便极大阻碍了基准利率在我国整体经济中发挥基准作用。同时,虽然我国当前金融市场上也存在有诸如债券回购利率、存贷款利率等市场常用的参考利率,但它们作为市场基准利率在一定程度上都存在着较为显著的缺陷,因此不能够有力的肩负我国货币市场基准利率的重任。为了能够促进我国利率市场化改革的进一步深化,央行于2007年1月4日正式推出了其大力打造的货币市场基准利率——上海银行间同业拆借利率(Shibor)。Shibor是一种在16家拥有较高信用评级的商业银行相互间拆借利率基础上形成的,以单利、无担保、批发性为特征的报价式基准利率。其一经全国银行间同业拆借中心发布,便受到了广泛的关注和使用。随着Shibor的正式运行,我国经济的市场化发展也向前迈进一大步。但针对Shibor作为我国基准利率以来,究竟为我国金融市场能否带来较大程度的影响,又带来了多大程度的影响；其是否已真正具备了成为我国基准利率的条件,又在我国经济中发挥了多大的基准作用等方面的问题,都是值得进行深入研究的。因此研究Shibor运行6年以来的实际效果,考察其能否担负起我国市场上基准利率的重任,是具有重要意义的。本文正是基于利率市场化的背景,借鉴国内外已有的理论与实证研究成果,着重探讨Shibor自推出并作为我国市场基准利率6年以来的有效性问题。本文从对国际上发达金融市场的基准利率考察入手,分析其市场状况和自身特性,归纳一国市场基准利率具有的一般特点,提出考察基准利率有效性的基本属性。之后回归我国货币市场,以基准利率对于我国货币市场的重要性为出发点,详细阐述Shibor推出的必然性与其近年来飞速发展的情况,并于后文在基于前文所概括标准下,对Shibor从定量与定性两个不同的方面进行具体的分析,总结出Shibor在目前我国经济形势及市场化进程下的作用、地位以及存在的问题,并对其进一步培育和完善提出相关的对策建议。本文总体上分为五个部分：第一部分导论,先是说明了在我国利率市场化不断深化的进程之中,对于市场基准利率的研究具有重要的意义。之后对国内外相关的研究文献进行了整理并发现,国外的研究文献着重于对基准利率期限结构方面的研究,而国内的研究文献对于我国基准利率的选择还没有得出一个较为统一的结论。最后基于这样的背景,提出了本文研究的思路及方法。第二部分,首先对基准利率的概念进行了介绍,并参照学者们对于基准利率的解释,对本文所研究的基准利率这一概念进行了相关界定。接下来详细介绍了国际主要的基准利率,通过对其经验借鉴,总结了作为一国基准利率的所具有的一般特点及应具备的基本属性,这也为后文的实证分析提供了研究的基础与依据。第三部分,以建立货币市场基准利率体系的必要性为出发点,列举了我国利率市场化的探索过程以及近年来Shibor不断发展完善的情况,然后通过对我国当前存在的几个较为有代表性的市场利率的评价,综合评述了我国当前的基准利率体系,并指出相较于其他利率,Shibor能够很好作为我国货币市场的基准利率,有效的发挥基准作用。第四部分,本文的核心部分,从实证的角度分析了Shibor作为我国基准利率的基准性作用。选取Shibor自推出以来6年的月度数据,运用了相关性分析、平稳性分析、协整分析、Granger因果关系检验、脉冲响应函数等实证检验方法,采取定量与定性相结合的方式,从前文所总结的基准利率应具备的5项基本属性分别来进行实证检验,试图对Shibor作为我国基准利率以来的有效性进行考察。第五部分,先对第四部分的实证分析进行总结,得出结论：Shibor运行发展至今,在市场性、可控性和稳定性三个方面已表现的较为良好,能够符合作为市场基准利率的标准。但在基础性和相关性方面,还需要进一步的加强。并结合所得出的结论以及Shibor自身和宏观层面存在的限制性因素,对于发展完善Shibor作为我国基准利率这一任务提出了相应的对策建议。本文的可能贡献在于较为系统的罗列了为国际上所普遍认可的四种货币市场基准利率,通过对其介绍并在借鉴国内学者研究的基础上,对货币市场基准利率具备的一般特点和基本属性进行了分析总结,并围绕此标准开展了实证检验：充分运用定性与定量分析相结合的方式,对Shibor的有效性系统的从归纳总结出的五个方面进行了实证分析,全面考察了Shibor作为我国基准利率,经过这些年发展后的基准性状况。同时,在实证研究中,本文认为由于利率本身具有的特殊性,对于利率方面的研究最为科学的方法就是将其与市场高度联系起来,不断更新每日变化的市场数据才能够得出更为可靠的结论,因此本文将研究数据区间拓展至2012年末,这样就会使得实证分析的结论较先前的相关研究而言,更具有时效性和说服力。最后,本文针对实证分析所得出的结论,为进一步加强Shibor的有效性,提升Shibor的基准地位,推进Shibor作为我国基准利率提出了改进的方向。同时,本文也尚存许多不足之处。在论文写作过程之中,笔者在对国际基准利率的选取,一般特征的概括以及基本属性的分析总结中,难免会由于主观局限性导致在对国际成熟基准利率的借鉴过程中,对其分析欠缺深度,不能够最终获得最为科学且最具代表性的结论,从而不能够为本文的实证分析提供强有力的理论支持。再次,因我国利率还未完全实现市场化,个别货币市场利率的市场性以及自身特点属性方面造成的问题,或多或少都为本文的实证分析带来一些难度,可能会使得部分实证分析结果相对缺乏说服力。此外,由于笔者自身的理论知识及实证研究水平有限,在有关实证方法和实证操作上存在加强与改进的空间,而且本文受制于篇幅等原因,对于Shibor期限结构方面未能够进行相应的研究,希望在以后的研究中,能够就此部分进行深化加强。由于以上种种主观及客观方面的原因,导致本文在研究上出现一些疏漏与不足是不可避免的,在此也诚恳的希望各位老师能够给予相应的批评和指导意见,以便笔者加以改进,帮助笔者在未来的学习研究中能够做得更好。
[Abstract]:Since 1996, the reform of the interest rate marketization has been formally started in China. The reform of the financial system has made great progress, the financial market is constantly developing, the financial products are constantly innovating, the scale of various financial transactions is expanding, and the financial development is showing a flourishing trend. The monetary authorities have gradually made progress, and the monetary authorities have gradually released the control of interest rates to promote the deepening of the development of the interest rate market. But if the real interest rate marketization is to be realized, the key problem which is urgently needed to be solved is to determine a fully marketable and effective benchmark interest rate. The financial system reform and the interest rate marketization of our country have great and far-reaching significance, which are embodied in the following aspects: first, the benchmark interest rate creates conditions for the realization of the marketization of the deposit and loan interest rate, which is the prerequisite and core link to realize the overall interest rate marketization in China; second, the benchmark interest rate is the interest rate as the monetary policy transmitter. The system provides the operating object to promote the transformation of China's macro-control measures from the quantitative to the price type. Third, the benchmark interest rate provides guidance for the smooth progress of other interest rates, truly reflecting the supply and demand of the market funds, guiding the correct and reasonable pricing of various financial products, enriching the variety of market transactions, and promoting the overall development of the financial market. If our country wants to carry out the financial deepening reform smoothly, it is necessary to set up a benchmark interest rate which is suitable for the development of our financial market, and form an effective benchmark interest rate system, which is also very important to promote the financial reform in China's economic transformation. However, the overall level of our market is also due to the overall level of our country's marketization. Not high, the formation and mechanism of the benchmark interest rate are still imperfect, which greatly hinders the benchmark interest rate in the whole economy of our country. At the same time, although there is also the common interest rate in the market, such as the bond repo rate, the deposit and loan interest rate, and so on in the current financial market, they are the benchmark interest rates of the market. There are more obvious defects in the degree, so it can not effectively shoulder the heavy responsibility of the benchmark interest rate of our money market.
In order to promote the further deepening of China's interest rate marketization reform, the central bank formally launched its major monetary market benchmark interest rate in January 4, 2007 - the interbank lending rate (Shibor).Shibor of Shanghai, which is based on the mutual interest rate of 16 commercial banks with higher credit rating. The benchmark interest rate, characterized by single profit, unsecured and wholesale, has been widely concerned and used by the national interbank lending center of China. With the formal operation of Shibor, the market development of China's economy has also taken a big step forward. However, since Shibor is the benchmark interest rate in China, it is the financial market of our country. Whether the field has a greater impact and how much influence has been brought, whether it has really had the conditions to become the benchmark interest rate of our country, and how many benchmarks have been played in our country's economy, is worthy of in-depth study. Therefore, the research on the actual effect of the operation of Shibor for 6 years has been studied. It is of great significance whether we can shoulder the heavy responsibility of the benchmark interest rate in our market.
This paper, based on the background of interest rate marketization, focuses on the validity of Shibor since its introduction and as the benchmark interest rate of China's market for 6 years. This paper analyzes the market situation and its own characteristics from the benchmark interest rate of the developed financial markets in the world. The basic characteristic of the benchmark interest rate of the national market is to examine the basic attribute of the validity of the benchmark interest rate. After the return to the monetary market in China, the importance of the benchmark interest rate to our currency market is set out, and the inevitability of the introduction of Shibor and its rapid development in recent years are expounded in detail. According to the specific analysis of the two different aspects of the quantitative and qualitative aspects of Shibor, this paper summarizes the role, status and existing problems of Shibor in the current economic situation and marketization of China, and puts forward relevant countermeasures and suggestions for its further cultivation and improvement.
This article is divided into five parts as a whole:
The first part is an introduction, which first illustrates the importance of the research on the market benchmark interest rate in the process of the deepening of the interest rate marketization in China. After that, the research literature at home and abroad has been arranged and found that the research literature abroad focuses on the research on the term structure of the benchmark interest rate and the domestic research literature. The choice of China's benchmark interest rate has not yet come to a more unified conclusion. Finally, based on this background, we put forward the ideas and methods of this study.
In the second part, the concept of the benchmark interest rate is introduced and the concept of the benchmark interest rate studied in this paper is defined in the light of the scholars' interpretation of the benchmark interest rate. Then the main international benchmark interest rate is introduced in detail. General characteristics and basic attributes should be provided, which provides the basis and basis for the empirical analysis.
The third part, starting from the necessity of establishing the benchmark interest rate system in the currency market, enumerates the exploration process of the interest rate marketization in China and the continuous development and perfection of Shibor in recent years, and then reviews the current benchmark interest rate in China through the evaluation of several representative market interest rates that exist in China. System, and points out that compared with other interest rates, Shibor can serve as the benchmark interest rate of China's money market effectively.
The fourth part, the core part of this paper, from the perspective of empirical analysis of the benchmark role of Shibor as the benchmark interest rate in China, select the monthly data of 6 years since the launch of Shibor, use the correlation analysis, stability analysis, cointegration analysis, Granger causality test, pulse response function and other empirical testing methods, take quantitative and qualitative analysis. In this way, the 5 basic attributes of the benchmark interest rate, which was summed up in the previous article, are tested separately, trying to investigate the effectiveness of Shibor as the benchmark interest rate in China.
The fifth part, first of all, the fourth part of the empirical analysis of the summary, draw the conclusion: Shibor operation and development, in the market, controllability and stability in three aspects of better performance, can meet the standard as the market benchmark interest rate, but in the basic and relevant aspects, the need to further strengthen. The conclusion, as well as the restrictive factors in the Shibor and the macro level, put forward the corresponding countermeasures and suggestions for the development and improvement of Shibor as the benchmark interest rate of China.
The possible contribution of this paper is to systematically review the benchmark interest rates of four currency market, which is universally recognized internationally. On the basis of its introduction and reference to domestic scholars, the general characteristics and basic attributes of the benchmark interest rate in the currency market are analyzed and summarized, and an empirical test is carried out around this standard. In full use of the combination of qualitative and quantitative analysis, this paper makes an empirical analysis of the five aspects of the Shibor effectiveness system from the induction and summary, and comprehensively investigates the benchmark status of Shibor as the benchmark interest rate of our country after these years. Meanwhile, in the empirical study, the paper considers that the interest rate itself has the special characteristics. The most scientific way to study the interest rate is to link it with the market and constantly update the daily changing market data to come to a more reliable conclusion. Therefore, this paper will study the data range to the end of 2012, which will make the conclusion of the evidence analysis more than the previous related research. In the end, in view of the conclusions obtained from the empirical analysis, this paper puts forward the direction for improving the effectiveness of Shibor, improving the benchmark status of Shibor, and promoting the improvement of Shibor as the benchmark interest rate in China.
At the same time, there are still many shortcomings in this paper. In the process of writing, the author's selection of the international benchmark interest rate, the general characteristics of the summary and the analysis and summary of the basic attributes will inevitably lead to the lack of depth in the analysis of the international mature benchmark interest rate due to the subjective limitation, which can not be finally obtained. The most scientific and most representative conclusions can not provide strong theoretical support for the empirical analysis of this article. Again, because the interest rate of our country has not been fully marketed, the market nature of the interest rate of individual money market and the characteristics of its own characteristics, or more or less, bring some difficulty to the empirical analysis of this article. In addition, due to the limited level of theoretical knowledge and empirical research, there is a space to strengthen and improve the empirical methods and empirical operations, and this article is subject to the length of the space, and it is not able to study the term structure of Shibor. It is hoped that this part can be further deepened in the future research.
Because of the above subjective and objective reasons, some omissions and deficiencies are inevitable in this study. We sincerely hope that the teachers can give the corresponding criticism and guidance so that the author can improve it and help the author to do better in the future study.
【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】：F822.0;F832.5

【参考文献】