对Shibor利率市场化发展程度的实证研究

发布时间：2018-03-20 17:25

本文选题：Shibor　切入点：利率市场化　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：利率市场化一直是我国经济领域中一个热议话题,随着我国加入WTO和经济金融改革的深化,来自各方的声音要求放开利率管制,利率市场化势在必行。我国利率市场化采用了渐进改革的方式,首先是2004年放开外币存贷款利率,然后是同年放开了商业银行的存、贷款定价权,再者是对货币市场交易、商业票据、金融债等领域实行市场化定价,最后是扩大商业性住房贷款的利率浮动范围。长期以来,我国的利率都呈现出受管制的状态,是货币政策意图的风向标,利率市场化程度不高,无论是货币市场、外汇市场还是债券市场,甚至是金融衍生品市场,几乎没有金融创新,产品的定价缺乏基准利率,定价公允性不高,导致我国金融市场化程度低,发展脚步缓慢。因此在推进利率市场化进程中,央行在2007年1月4日推出了以上海银行间同业拆放利率(Shanghai Interbank Offered Rate,简称Shibor)为核心的成为各个金融市场间枢纽的基准利率体系,Shibor的推出不仅有利于货币政策的实施,更是有利于与Shibor相挂钩的一系列金融创新产品的发展,央行打造Shibor的初衷就是为了“进一步推动利率市场化,培养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。”自2007年1月Shibor推出以来,其功能和地位一直受到有关人士的关注,在肯定和质疑声中Shibor已走过了五年多的发展历程,如今再看,Shibor是否已经具备了基准利率该有的特征?能否可以扮演货币市场基准利率的角色?它的市场化发展程度究竟如何?是否达到人民银行推出时所期望的效果,是否真正实现了市场化?对于这些问题,本文展开了对Shibor利率市场化发展状况的实证研究,本文主要分为以下几个方面：第一章是绪论部分,首先论述了本文的选题背景以及研究意义,同时进行文献综述,分为国外和国内两部分,国外的研究主要围绕在利率自由化这个主题,而国内对于Shibor的研究主要集中在Shibor是否能成为货币市场基准利率的讨论,对于国内的研究分为两个部分进行阐述,分别是Shibor推出之前和推出之后。为后文的研究做了理论的铺垫。第二章阐述了Shibor的产生、发展和主要功能。首先介绍了我国利率市场化的进程,分为四个阶段,紧接着分析了Shibor在我国利率市场化过程中所起的作用。本章第二个部分则是详细阐述了Shibor的内容,包括相关的概念、Shibor是如何产生的、报价行的选取、报价规则、Shibor的品种等等。第三个部分则是分析了Shibor市场的主要功能,分别从宏观调控和金融产品定价两个方面进行。第三章是本文的主体部分,分为两个部分,首先对Shibor的现行运行状况进行了分析,运用定性和定量的方法,通过数据的呈现,对Shibor从2007年运行至今的发展情况进行阐述和分析,其次从六个方面分析了Shibor的发展状况,第一研究Shibor自身各利率期限结构之间的相关性,第二研究了Shibor与其他市场利率之间的相关性,本文选取的是银行间债券回购利率和银行间同业拆借利率；第三对Shibor与货币政策指标M2之间的相关性进行研究,旨在探索Shibor对于宏观货币政策的传导效应以及联动关系,第四研究了Shibor与宏观经济指标之间的联动效应,本文选取了国民生产总值(GDP)和居民消费指数(CPI)；第五则是对Shibor与国际利率之间的联动效应进行了研究,目的在于发现国际利率水平对Shibor是否有影响,本文选取了伦敦银行同业协会拆借利率LIBOR作为短期国际利率水平的指标；最后一部分对比了不同期限的Shibor市场化程度,试图找出发展最成熟,市场化程度最高的品种。第四章是本文的实证研究的结论和政策建议。分析了Shibor存在的问题和限制发展的因素。为进一步推进Shibor作为我国市场基准利率提供改进的方向,提供了建议。
[Abstract]:The interest rate market has been a hot topic in the field of China's economy, with the deepening of China's accession to the WTO and the economic and financial reform, voices from all sides for liberalization of interest rates, the interest rate market imperative. China's interest rate market with a gradual reform, the first is the 2004 release of foreign currency deposit and loan interest rates. Then let go of the commercial bank deposit and loan pricing, the same year, in addition to money market transactions, commercial bills, financial bonds and other areas of the implementation of market pricing, the last is to expand the commercial housing loan interest rate floating range. For a long time, the interest rate of our country are under the control of the state's monetary policy the intention of the vane, marketization of interest rate is not high, whether it is the money market, foreign exchange market or the bond market, and even the financial derivatives market, almost no financial innovation, lack of product pricing benchmark Rate of fair pricing is not high, leading to the low level of financial market in our country, the pace of development is slow. In order to promote the process of marketization of interest rates, the central bank launched in January 4, 2007 by the Shanghai interbank offered rate (Shanghai Interbank Offered Rate, referred to as Shibor) as the core to become the benchmark interest rate system of each financial market hub Shibor, not only conducive to the implementation of monetary policy, it is conducive to the development of Shibor and linked to a series of innovative financial products, the central bank to create a Shibor's intention is to further promote the interest rate market, cultivating the benchmark interest rate China money market, improve the ability of independent pricing of financial institutions, to improve the monetary transmission mechanism better. "Since its launch in January 2007 Shibor, its function and status has been the concern, and certainly in the voices of doubt Shibor has gone through five years The course of development, today again, whether Shibor has some of the characteristics of the benchmark interest rate? Whether can play the role of money market benchmark interest rate marketization and its level of development? How? Whether to meet the expectations of the people's Bank launched the effect, whether truly market? For these problems, this paper carried out an empirical study on the status of the development of the market interest rate of Shibor, this paper is mainly divided into the following aspects: the first chapter is the introduction part, firstly discusses the background and significance of the research, the literature review is divided into two parts at home and abroad, study abroad mainly focus on this theme in the interest rate free, while domestic the research of Shibor mainly focus on whether Shibor can become a discussion of money market benchmark interest rate, the domestic research is divided into two parts, respectively is Shibor Before and after the launch of the launch. After the study for the theory. The second chapter of the Shibor generation, development and main functions. First introduced our interest rate marketization process, is divided into four stages, followed by an analysis of Shibor in the process of China's market-oriented interest rate in effect this chapter. The second part is the elaboration of the contents of Shibor, including the related concept, Shibor is how to produce, selection, line bidding rules, the variety of Shibor and so on. The third part is the analysis of the main functions of the Shibor market, macro-control and financial products respectively from two aspects of macro pricing. The third chapter is the main part of this paper is divided into two parts, the first of Shibor's current operating conditions were analyzed using qualitative and quantitative methods, the data show, Shibor from 2007 to run so far the development of the situation For the description and analysis, then analyzes the development condition of Shibor from six aspects, the first study of correlation between different Shibor term structure of interest rate. Second to study the correlation between Shibor and other market interest rates, this paper selects the inter-bank bond repo rate and interbank lending rates; third to study the correlation between indicators Shibor M2 and monetary policy, in order to explore the Shibor for the transmission effect of monetary policy and macro linkage relationship, fourth of the linkage effect between Shibor and macroeconomic indicators, this paper selects the gross national product (GDP) and the consumer price index (CPI); the fifth is the linkage effect between Shibor and the international interest rate the study aims to discover whether international interest rates have an impact on Shibor, this paper selects the London Interbank Offered Rate LIBOR as short Association International interest rate index; the last part compares the Shibor degree of marketization in different period, and tries to find out the most mature varieties, the highest level of the market. The fourth chapter is the empirical research conclusions and policy suggestions. Analysis of the factors in the development of the problems and limitations of Shibor. In order to improve the direction as China's benchmark interest rate to further promote the Shibor, to provide recommendations.

【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5

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