我国货币市场息差研究

发布时间：2018-01-06 15:34

本文关键词：我国货币市场息差研究　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：在发达国家,货币市场息差是金融体系健全性的指标器和实体经济变化的预报器,在实践和学术领域受到普遍关注,而此次的金融危机更是使得TED spread与L ibor-OIS spread这两个息差成为众多学者的研究对象,集中探讨其在金融危机时发生巨幅波动的原因究竟是市场流动性的变化还是信用风险的增减。在我国,由于货币市场发展较晚,利率市场化还没有实现,货币市场金融工具相对较少、资料不足,市场主体对货币市场息差的性质和预报器作用缺乏认识,而经济学家们对货币市场息差的研究更是少之又少。鉴于此,本文尝试研究我国货币市场息差的决定因素,发现其变动规律,确定其构成因子,从而为充分认识我国货币市场息差的性质和所含信息奠定基础,也为中央银行货币政策的实施提供参考。本文从利率的风险结构理论出发分别论述了流动性溢价理论与信用风险溢价理论,然后在此基础上构建了基本模型。本文首先将我国货币市场息差的影响因素按照市场流动性和信用风险分为两类,通过面板数据回归模型实证分析,证明市场流动性与信用风险确实影响着息差的大小。具体地,外汇占款、资本市场回报率、国内以及国外经济周期对我国货币市场息差具有显著影响,这四个因素均对货币市场流动性产生一定的影响,而代表信用风险因素的指标仅有国内经济周期,因此,本文初步得出流动性溢价明显大于信用风险溢价的结论。然后本文分别构造流动性溢价和信用风险溢价指标,再次通过实证检验研究息差中这两个溢价所占比例,从而确定我国货币市场息差的构成。研究结果表明除同业拆借息差外,我国货币市场息差中普遍存在流动性溢价与信用风险溢价,但两者占比很小,息差的大小绝大程度上取决于其历史水平,由此可见我国货币市场利率的定价机制有待改进。根据实证研究结果,本文建议市场参与主体和中央银行关注货币市场息差的变动,特别是央行票据息差的变动,以了解货币市场流动性的变化,从而制定更为有效的决策。另外,考虑到外汇占款对国内流动性的显著影响,中央银行应完善外汇冲销机制,逐步推进外汇的市场交易制度,保持外汇占款增速的平稳性,从而维护国内市场流动性的稳定。最后,我国货币市场上信用风险溢价的不显著意味着必须增加以商业信用为基础的货币市场工具,提高投资者对信用风险的防范意识和能力,同时要进一步推进利率市场化改革的进程,进而完善我国货币市场利率的定价机制。
[Abstract]:In developed countries, money market spreads are indicators of the soundness of financial systems and predictors of real economic changes, which have received widespread attention in practice and academic fields. But this financial crisis makes the TED spread and L ibor-OIS spread the two spreads become the research object of many scholars. This paper focuses on discussing whether the reason of the huge fluctuation in the financial crisis is the change of market liquidity or the increase or decrease of credit risk. In our country, the interest rate marketization has not been realized because of the late development of the money market. The money market financial instruments are relatively few, the data is insufficient, the market main body lacks the understanding to the nature of the money market interest rate difference and the function of the predictor, and the economists study the money market interest rate difference is even less. In view of this. This paper attempts to study the determinants of the interest rate difference in the money market of our country, find out the law of its change, and determine its constituent factors, thus laying a foundation for fully understanding the nature of the interest rate difference and the information contained in the money market of our country. This paper discusses the liquidity premium theory and the credit risk premium theory respectively from the risk structure theory of interest rate. On this basis, the basic model is constructed. Firstly, the paper divides the influencing factors of the interest rate of our country's money market into two categories according to the market liquidity and credit risk, and makes an empirical analysis by panel data regression model. It is proved that market liquidity and credit risk do affect the size of the spreads. In particular, foreign exchange holdings, capital market returns, domestic and foreign economic cycles have a significant impact on China's money market spreads. These four factors all have a certain impact on the liquidity of the money market, and the indicators representing the credit risk factors are only the domestic economic cycle, so. This paper draws the conclusion that liquidity premium is obviously larger than credit risk premium. Then this paper constructs liquidity premium and credit risk premium index respectively. Again through the empirical test to study the proportion of these two premiums in the spread to determine the composition of the spread of the money market in China. The results show that in addition to the inter-bank spread of interest rates. There are liquidity premium and credit risk premium in the spread of money market in our country, but the proportion of them is very small, and the magnitude of the spread depends on its historical level. It can be seen that the pricing mechanism of interest rate in China's money market needs to be improved. According to the results of empirical research, this paper suggests that market participants and the central bank should pay attention to the change of interest rate difference in money market. In particular, the change in the interest rate of central bank notes in order to understand changes in liquidity in the money market in order to make more effective decisions. In addition, taking into account the significant impact of foreign exchange holdings on domestic liquidity. The central bank should perfect the mechanism of sterilizing foreign exchange, push forward the foreign exchange market trading system step by step, maintain the stability of the increase of foreign exchange funds, and maintain the stability of domestic market liquidity. Finally. The lack of credit risk premium in China's money market means that the money market tools based on commercial credit must be increased to enhance investors' awareness and ability to guard against credit risk. At the same time, we should further promote the process of interest rate marketization reform, and then perfect the pricing mechanism of interest rate in China's money market.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0

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