上海银行间同业拆借利率有效性研究

发布时间：2018-01-04 19:27

本文关键词：上海银行间同业拆借利率有效性研究　出处：《南京农业大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来,利率市场化一直是我国金融深化改革的重点,而利率市场化改革的重点,则是基准利率选择的问题。自从1996年央行推出银行间同业拆借利率Chibor以来,我国的利率市场化进程不断向前推进。1997年,央行放开银行间现券交易和债券回购利率,1998年国债发行利率和银行间市场的政策性金融债也逐步放开,2013年,我国贷款利率下限完全放开。如今,除了存款利率的上限仍然受到管制,我国的利率基本完成了市场化改革。而在我国利率市场化即将完善之际,基准利率在利率体系中的引导作用就显得越来越重要。学术界先后对金融市场基准利率的建立提出建议,包括一年期存贷款利率、国债利率、银行间同业拆借利率(Chibor)、银行间质押式回购利率等作为基准利率,但是由于自身的缺点均不适合成为真正意义上的基准利率。为了建立我国的基准利率,央行在借鉴伦敦银行间同业拆借利率Libor、美国联邦基金利率的基础上,于2007年推出了上海银行间同业拆借利率,即Shibor,并有隔夜、1周、1月、3月、6月、9月以及1年9个期限品种。自从Shibor推出以来,其逐渐成为金融衍生品、浮息债和利率互换的定价基准,其货币市场的基准利率地位逐步确立,这对我国金融市场的发展,以及实现货币政策调控从数量型向价格型转变有促进作用。本文理论研究部分分析了Shibor的形成以及运行机制,通过比较分析研究了Shibor与Libor的共同点与不同点。而实证分析是本文的重点,第一部分研究了Shibor作为基准利率的基准属性。首先分析了Shibor与货币市场上几种具有代表性的央票到期收益率和银行间同业拆借利率的相关性,结果显示相关系数高达0.9以上,并且对其他利率有引导作用；然后比较了Shibor与回购定盘利率,证明了Shibor在货币市场具有基础性；最后通过国内股票市场以及国外美元对人民币汇率的冲击对Shibor的稳定性进行研究,结果表明Shibor对于国内以及国外的冲击表现稳定,已经初步具备货币市场基准利率的特征。第二部分是从货币政策的利率传导机制角度对Shibor作为基准利率的效应进行研究,目前我国货币政策调控正由数量型向价格型转变,即货币政策的中间目标从货币供应量变为利率。首先研究了Shibor在货币市场的传导效果,以及其对股票市场以及债券市场的影响,最后研究了Shibor对于我国宏观经济变量的影响。结果显示,Shibor在货币市场的传导效应明显,对其他利率具有较好的引导作用,而其对资本市场以及对宏观经济变量的影响则不显著。由于我国资本市场分割现象明显,市场上产品利率期限由短到长的收益率传导不畅通,加上Shibor在资本市场的基准性地位并没有完全确立,导致Shibor对资本市场影响较小。而由于我国没有实现完全的利率市场化,存款利率的上限还没有放开,虽然贷款利率下限已经放开,但由于政策时滞等原因,市场还没有做出较大的反映,这些因素都导致Shibor对宏观经济变量的传导效应并不明显。本文的研究主要分成六章,主要的研究内容如下：第一章：提出研究的背景和意义,以及可能的创新与不足。第二章：阐述基准利率相关概念、国内外学者对基准利率以及货币政策传导机制等方面的研究。第三章：介绍Shibor的生成和运行机制,分析伦敦银行间同业拆放利率Libor的运行机制及特点,比较Libor与Shibor的共同点和不同点,并通过比较分析评价Shibor作为基准利率运行的效果。第四章：Shibor作为我国货币市场基准利率有效性分析,采用理论分析和实证分析相结合的方法从市场性,基础性,相关性和稳定性对Shibor进行有效性分析。市场性主要通过描述性分析；基础性的实证分析首先选择Shibor对利率债、信用债和金融衍生品定价产生的影响,然后再用Shibor和回购定盘利率(选择相对应的期限品种)做协整、格兰杰检验；相关性实证分析是选择央票到期收益率、银行间同业拆放利率和银行间质押式回购利率与Shibor做相关性检验；稳定性分析主要研究Shibor与股价指数和汇率的关系,采用ADF检验,协整检验和脉冲响应函数。第五章：第二部分实证研究的是Shibor在利率传导机制中的效应,分别从Shibor对货币市场、资本市场和宏观经济的影响来检验Shibor作为基准利率对市场以及经济的作用。货币市场传导效应,选择Shibor与银行间质押式回购利率、银行间同业拆放利率分别建立Var模型,分析Shibor对两种利率的影响,最后对Var模型进行检验；资本市场传导效应,分别研究Shibor对上证指数与债券市场(金融债、国债收益率)的传导效应；宏观经济传导效应,运用货币政策效应时滞理论对宏观经济指标(GDP、净出口等)的影响进行研究,分别建立Var模型,并用脉冲响应函数进行检验。第六章：根据实证结果进行总结并提出相应的政策建议。
[Abstract]:In recent years, the interest rate market has become China's financial deepening reform focus, and focus on the interest rate marketization reform, is the choice of benchmark problems. Since 1996, the central bank introduced interbank interest rate Chibor, interest rate marketization in China continues to move forward in.1997, the central bank released the interbank bond market and the repo rate, the issuance of treasury bonds in 1998 policy financial bonds and interest rates in the interbank market is gradually opened, in 2013, China fully liberalized lending rates lower. Today, in addition to the deposit rate ceiling is still under control, China's interest rate market has basically completed the reform. In the interest rate market in our country is perfect as the guiding role of the benchmark interest rate in the interest rate system is becoming more and more important. The academic circles has on the benchmark interest rate of financial market to establish recommendations, including the one-year deposit interest rate, Treasury rates, interbank offered rate (Chibor), the inter-bank collateral repo rate as the benchmark interest rate, but because of their own shortcomings are not suitable to become the benchmark interest rate on real significance. In order to establish the benchmark interest rate in our country, from the central bank in the London Interbank Offered Rate Libor, U.S. federal funds rate in 2007, launched the Shanghai interbank offered rate, or Shibor, and overnight, 1 week, January, March, June, September and 1 years of the 9 term varieties. Since the introduction of Shibor, which has gradually become the financial derivatives, floating rate bonds and interest rate swap pricing benchmark, the money market benchmark interest rate has been gradually established, the development of financial market in our country, and the implementation of monetary policy from quantity change to the price type promotion. This part of the theoretical analysis of the Shibor formation and operation mechanism System, through the comparative analysis of common Shibor and Libor with different points. The empirical analysis is the focus of this paper, the first part of the study of Shibor as the benchmark interest rate benchmark attribute is analyzed. Shibor and money market on several representative bills due return and correlation of interbank lending rates, the according to the correlation coefficient more than 0.9, and has a guiding role for other interest rates; and then compares Shibor and repo rate, and prove that Shibor is the basic research in the money market; finally the stability of the domestic stock market and the foreign exchange rate of USD to RMB is the impact of Shibor, the results show that the Shibor for domestic and foreign the impact of performance and stability, has begun with the characteristics of the benchmark interest rate in the money market. The second part is from the perspective of interest rate transmission mechanism of monetary policy on Sh Study on the IBOR effect as the benchmark interest rate, China's monetary policy is from quantity to price change, which is the intermediate target of monetary policy from the money supply quantity rate. Firstly, Shibor conduction effect in the money market, and its impact on the stock market and bond market, at the end of the Shibor the impact of China's macroeconomic variables. The results show that the transmission effect of Shibor in the money market, has a better guide to other interest rates, and the capital market and the impact on macroeconomic variables is not significant. Because of China's capital market segmentation phenomenon is obvious, the term product market from short to long the return rate of transmission is not smooth, with the benchmark role of Shibor in the capital market is not fully established, resulting in Shibor has little effect on the capital market. But because our country did not achieve Complete the interest rate market, the deposit rate ceiling are not open, although lower lending rates have been liberalized, but because of policy lag and other reasons, the market has not made great reflect, these factors have led to the conduction effect of Shibor on macro economic variables is not obvious. This paper is divided into six chapters, the main contents are as follows: the first chapter puts forward the background and significance of the study, and possible innovations. The second chapter elaborates the related concepts of benchmark interest rates, domestic and foreign research on the benchmark interest rate and monetary policy transmission mechanism and other aspects. The third chapter introduces the Shibor formation and operation mechanism, operation mechanism and characteristic analysis of interbank interest rate Libor the London Interbank, common comparison between Libor and Shibor and different points, and through the comparison analysis and evaluation of the Shibor benchmark interest rate for the effect of the operation. The fourth chapter: Shib Analysis of or as the benchmark interest rate of China's money market validity, from the market, the basic method of combining theoretical analysis and empirical analysis, correlation and stability of Shibor. The market validity analysis mainly through descriptive analysis; empirical analysis based on the first choice of Shibor interest rate debt, credit debt and financial impact the pricing of derivatives, and then Shibor and fixing repo rate (select corresponding maturities) do cointegration, Grainger correlation test; empirical analysis is the choice of counting the yield to maturity, interbank offered rate and the inter-bank collateral repo rate and Shibor correlation test; stability analysis of Shibor and the relationship between stock price index and exchange rate, using ADF test, cointegration test and impulse response function. The fifth chapter is the empirical research part second: Shibor in the interest rate conduction machine In effect, from the Shibor to the money market, capital market and macro economy to test Shibor as the benchmark interest rate of the market and the economy. The effect of monetary market conduction, Shibor and the choice of the inter-bank collateral repo rate, interbank interest rates were set up Var model, analyze the influence of Shibor on the two the interest rate, finally to test the Var model; the transmission effect of the capital market, respectively Shibor on the Shanghai stock index and bond market (financial bonds, bond yields) conduction effect; macro economy effect, the effect of monetary policy lag theory on macroeconomic indicators (GDP, net exports) were used to study the effects, respectively. The establishment of Var model and impulse response function test. The sixth chapter: Based on the empirical results are summarized and put forward corresponding policy recommendations.

【学位授予单位】：南京农业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5

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