韩国利率市场化对市场调节功能影响的实证研究

发布时间：2018-04-11 04:16

本文选题：韩国利率市场化 + 市场调节功能　；参考：《复旦大学》2014年硕士论文

【摘要】：目前中国金融改革的一个热点话题是利率市场化。虽然去年贷款利率下限放开,但存款利率仍在管制下,陆续出现余额宝等各种变形存款产品。2014年3月5号在十二届全国人大二次会记者会上就金融改革与发展相关问题,中国人民银行行长周小川在会场说存款利率放开很可能在最近一两年就能够实现。韩国金融当局1991年公布《放宽利率管制的中长期计划》,进行分为四个阶段的利率市场化改革措施,然后1997年放开核心市场利率限制并实际上进入了全面利率市场化时代。韩国的利率市场化改革进程与条件跟目前中国的利率市场化改革非常相同。所以本文将通过韩国利率市场化是否提高市场效应的实证研究,评估韩国利率市场化的结果并查找其结果的主要原因,最终得出对中国利率市场化改革的借鉴。本文在韩国利率市场化前后期分界点的选择和实证变量上存在跟现有研究不同点。现有的有关韩国利率市场化研究均以利率市场化刚开始的1991年为分界点进行实证分析,所以并没有充分反映利率市场化之后的市场变化,即难以判断利率市场化是否提高金融市场的效率。本文以韩国利率市场化实际上完成的1997年为分界点,进行韩国利率市场化前期和后期金融市场效率变化的实证分析。另外,因为没完成利率市场化改革的时候进行研究,现有的论文在选取变量上存在较大的限制。当时主要市场利率要么没放开,要么放开的时间不够长,不合适被选取。本文选取短期金融市场利率作为市场利率,并选取最好反映实体经济和金融市场的指标作为解释变量进行了实证研究。最后,随着韩国金融市场的开放,国外因素对韩国经济和金融市场的影响日益增加。于是本文增加一个可以代表国外货币供需影响的解释变量进行了实证分析。本文为了分析利率市场化改革对金融市场效率的影响,使用Bowden(1978a,1978b)的部分调整模型(Partial Adjustment Process)。该模型里,市场调整系数μ(前一期利率系数)为0≤μ1,u越大利率的市场调整节功能越不好,u越小利率的市场调整节功能越好。本文以Call利率(韩国银行同业拆借利率)作为市场利率变量,以G,DP和CPI作为货币需求变量,以Lf(金融机构流动性)和LIBOR(伦敦银行同业间拆借利率)作为货币供给变量,进行实证分析。实证结果,表示金融市场效率的市场调整系数μ,市场化改革之后μ2=0.256084、改革之前μ1=0.368739,意味着韩国利率市场化改革措施改善了利率对市场调节功能影响,即提高了整体金融市场效率。韩国利率市场化改善利率对市场调节功能影响的三大可能原因如下。第一、金融政策变化。在利率市场化的过程当中,韩国政策当局过度担忧利率市场化带来的利率快速上升,进行半强制性的利率“下方稳定化”政策。由此,从1991年到1997年,金融机构不能充分地发挥自主决定利率的力量,因此市场利率也不能充分地反映市场供求情况。第二、资金供给与需求方面的变化。在资金需求方面,韩国经济1997年金融危机以后,进入经济低增长的局面。在这过程当中,不仅以前长期过剩的企业资金需求大幅减少,而且他们对融资成本的敏感度也大大提升了,所以韩国企业摆脱高度依赖于银行的资金融资方式,寻找债券、股票等能降低融资成本的方法。在资金供给方面,随着金融产品与市场的多元化,资金供给者在资金运作上对利率的弹性大幅增加。资金供给者的选择范围扩大引起了各种利率之间的相关性上升的作用。第三、国外的影响。1990年代以来,韩国进行外国人投资比重扩大、利率市场化、汇率变动幅度扩大等一系列金融自由化与开放措施。尤其是,1997年韩国面临金融危机时,按照IMF的建议金融市场限制都废止了。于是国际利率对韩国利率的影响大幅增加了。韩国金融市场全面开放后,.韩国利率开始跟踪国际利率的最大的原因在于套利交易。比如韩国利率存在政府的人为控制的话,国际套利资金进入市场进行套利交易,所以政府的利率管制实际上是不可能的。中国利率市场化完成之前预测其对市场效应是不可以的,所以我们通过别的国家的利率市场化对市场效应的研究可以猜测中国利率市场化对金融市场的可能影响。1990年代韩国完成利率市场化改革,虽然在改革的过程当中存在市场效应恶化的现象,但是改革完成后其改革改善了利率对市场调节功能的影响,进一步完善市场机制。韩国利率市场化的路径和条件跟中国的利率市场化非常相似,因此我们可以预测中国的利率市场化完成后,中国的市场利率对市场调节功能影响也会提高。
[Abstract]:Is currently a hot topic China financial reform is the interest rate market. Although last year the lower lending rate liberalization, but deposit rates are still under control, gradually appeared in the balance of treasure and other deformation deposit products.2014 year in March 5th in the twelve session of the two National People's Congress on financial reform and development issues related to the press conference, President of the people's Bank of China Zhou Xiaochuan said in the deposit interest rate liberalization is likely to be able to achieve in the last one or two years. South Korean financial authorities announced in 1991: deregulation of interest rates in the long term plan ", is divided into four stages of the market-oriented interest rate reform measures, then the 1997 release of the core market interest rate restriction and actually entered the overall interest rate marketization reform era. The process of marketization of interest rates and the conditions of South Korea with the current interest rate market reform Chinese the very same. So this article will through the Korean market interest rates or not An empirical study on high market effect, the main reason of Korea assessment result of the interest rate market and its search results, finally obtains the Chinese of interest rate marketization reform for reference. There are different with the existing research paper before the late cut-off point selection and empirical variables in the interest rate market in Korea. The Korea related interest rate market research in the interest rate market at the beginning of 1991 as the dividing point of empirical analysis, so did not fully reflect the changes in the market after the interest rate market, it is difficult to judge whether the interest rate market to improve the financial market efficiency. Based on the South Korean market interest rates actually completed in 1997 as the dividing point, the empirical interest rate market early and South Korea the efficiency of financial market changes analysis. In addition, because no complete interest rate marketization reform of the existing in the selection of variables There is a big limitation. When market interest rates or did not release or release time is not long enough, not suitable to be selected. This paper selects the interest rate on short-term financial market as a market interest rate, and the best reflect the real economy and the financial market indicators as explanatory variables in the empirical study. Finally, with South Korea's financial market opening, influence the foreign factors of the Korean economy and the financial market is increasing. So this paper adds a can represent the effect of foreign currency supply and demand variables for empirical analysis. In order to analyze the influence of interest rate marketization reform of financial market efficiency, the use of Bowden (1978a, 1978b) the partial adjustment model (Partial Adjustment Process) of the model. In the market, adjustment coefficient (a rate coefficient) is more than or equal to 0 mu 1, u greater interest rate market adjustment function is not good, the smaller the U interest rate market The adjustment of section function better. This paper takes Call rates (Korea interbank rate) as the market interest rate variables, using G, DP and CPI as money demand variables to Lf (the liquidity of financial institutions) and LIBOR (London Interbank Offered Rate) as the money supply variables for empirical analysis. The empirical results, said the market adjustment coefficient of financial market efficiency, after market reform before the reform of 2=0.256084, 1=0.368739, means that South Korea market-oriented interest rate reform measures to improve the regulation function of interest rate impact on the market, that is to improve the overall efficiency of the financial market. The Korean market interest rates three reasons may improve the regulation function of interest rate impact on the market. First, the financial policy changes. In the process of marketization of interest rates, South Korea policy authorities worry too much about the interest rate market has brought the rapid rise in interest rates, the interest rate semi mandatory " The stability of the policy. Thus, from 1991 to 1997, financial institutions can not give full play to the determination of the interest force, so the market interest rates can not fully reflect the market supply and demand situation. Second, changes in money supply and demand. The demand for funds, the Korean economy after the 1997 financial crisis, into the low economic growth situation. In this process, not only before the long-term excess corporate demand for funds is greatly reduced, and their sensitivity to the cost of financing is also greatly improved, so the South Korean enterprises to get rid of capital financing, is highly dependent on the bank for bonds, stocks can reduce the cost of financing methods. In the supply of funds, with the diversification of financial the product and the market, the supply of funds in the capital operation of the interest rate elasticity increased significantly. The selection range of the supply of funds by the interest rate of expansion The correlation between the rise. In third,.1990 abroad since South Korea, expanding the proportion of foreign investment, the marketization of interest rate, exchange rate movements and expand the range of a series of financial liberalization and opening up measures. Especially in 1997, South Korea is facing the financial crisis, according to the recommendations of the IMF financial market restrictions are then abolished. The impact of the international interest rate for South Korea a substantial increase in interest rates. Opening the financial market of Korea, South Korea. The biggest reason why interest rates began tracking the international interest rate is arbitrage. South Korea rates are artificially controlled by government, international arbitrage funds into the market arbitrage, so the government's interest rate regulation is virtually impossible. China before the completion of the interest rate liberalization is not possible to predict the market effect, so we through other countries of interest rate marketization on the market effect. The Chinese can guess the market interest rates may impact on financial markets.1990 South Korea's complete market-oriented interest rate reform, although the existence of market effect deteriorated in the process of the reform, but after the completion of the reform of the reform and improve the impact of the interest rate adjustment to the market, to further improve the market mechanism and conditions of South Korea. The path of interest rate marketization Chinese with the interest rate market is very similar, so we can predict the Chinese interest rate market after the completion of China market regulation function of interest rate impact on the market will also be improved.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F833.126

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