贷款利率放开环境下基于Shibor的基准利率研究
发布时间：2018-10-14 15:49
【摘要】：2013年7月20日，，央行宣布放开贷款利率管制，标志着我国已进行20多年的利率市场化又向前迈出重要一步。至此新形势新阶段下，利率市场化中货币市场基准利率体系的建设进程如何，值得我们关注。因此，本文基于我国利率市场化进程中贷款利率放开的现状，研究了以市场基准利率为发展方向的上海银行间同业拆放利率（Shibor）在利率市场化深入阶段的运行效果，既契合了目前形势又具有重大的现实意义。 全文共有六个部分。第1章绪论总体介绍了本文的研究背景、目的意义，总结了国内外利率市场化和基准利率选择问题的研究综述，指出成熟的货币市场基准利率是推进利率市场化的关键，；第2章主要探讨基准利率界定及基准利率应具有的一般属性及其确立后的作用意义、国外基准利率选择等，为本文研究奠定了理论基础；同时介绍了贷款利率市场化的历程、意义及贷款利率与市场基准利率的关系，切合了本文的研究主题；第3章对Shibor进行定性分析，介绍了Shibor的运行机制及理论和现实中的合理性和可行性，并进一步通过与其他主要市场利率对比分析，得出Shibor是我国的最佳基准利率选择；第4章对Shibor进行定量分析，分别采用描述性分析、相关性检验、ADF单位根检验、格兰杰因果检验、向量自回归模型（VAR）及脉冲响应函数等分析方法，从基准利率的基本属性出发，研究了Shibor自身各期限利率之间的关系、Shibor与货币市场其他利率之间的关系、Shibor与宏观经济变量的关系以及Shibor与股票市场的关系，验证了Shibor在央行及各金融机构七年多的培育下，市场性、基础性、相关性及稳定性等基本属性都得到了完善，尤其是短期Shibor表现出极强的基准利率特性，而中长期Shibor则需增大市场交易量，以提高其市场敏感性；第5章研究了Shibor和贷款利率的相互关系，表明Shibor对信贷市场的影响有待加强；第6章对全文进行总结，并提出完善Shibor的建议，以期促进市场基准利率的尽快建立。 本文最终的研究成果证明了现今贷款利率放开环境下Shibor作为市场基准利率的科学性和合理性，距离成为完善的基准利率指日可待。同时市场基准利率的建立是推进利率市场化顺利进行的前提和核心条件，因此Shibor基准利率的日渐成熟是我国利率市场化攻坚阶段的重要任务。
[Abstract]:On July 20, 2013, the central bank announced that the control of interest rate on loans should be liberalized, marking another important step forward in China's interest rate marketization which has been carried out for more than 20 years. So far, under the new situation and new stage, how to construct the benchmark interest rate system in the money market in the interest rate marketization is worthy of our attention. Therefore, based on the current situation of lending rate liberalization in the process of interest rate liberalization in China, this paper studies the operation effect of Shanghai Interbank offered rate (Shibor), which is based on the market benchmark interest rate, in the further stage of interest rate marketization. It is both in line with the current situation and has great practical significance. There are six parts in this paper. The first chapter introduces the background and significance of the research, summarizes the domestic and foreign interest rate marketization and benchmark interest rate selection, points out that the mature money market benchmark interest rate is the key to promote the interest rate marketization. Chapter 2 mainly discusses the definition of benchmark interest rate, the general attribute of benchmark interest rate and its function after establishment, and the choice of foreign benchmark interest rate, which lays a theoretical foundation for this study, and introduces the course of marketization of loan interest rate. The significance and the relationship between the loan interest rate and the market benchmark interest rate accord with the research topic of this paper. Chapter 3 carries on the qualitative analysis to the Shibor, introduces the operation mechanism of Shibor and the rationality and feasibility in theory and reality. By comparing with other major market interest rates, Shibor is the best choice of benchmark interest rate in China. Chapter 4 makes quantitative analysis of Shibor, using descriptive analysis, correlation test and ADF unit root test, respectively. Granger causality test, vector autoregressive model (VAR) and impulse response function are used to analyze the basic properties of benchmark interest rate. This paper studies the relationship between the term interest rate of Shibor itself, the relationship between Shibor and other interest rates in money market, the relationship between Shibor and macroeconomic variables, and the relationship between Shibor and stock market. It is proved that Shibor has been cultivated by the central bank and financial institutions for more than seven years. The basic attributes of market, foundation, correlation and stability have been improved, especially the short-term Shibor shows strong benchmark interest rate characteristics, while the medium and long term Shibor needs to increase the market trading volume in order to improve its market sensitivity; Chapter 5 studies the relationship between Shibor and loan interest rate, which indicates that the influence of Shibor on credit market needs to be strengthened. Chapter 6 summarizes the full text and puts forward some suggestions to perfect Shibor in order to promote the establishment of market benchmark interest rate as soon as possible. The final research results of this paper prove that Shibor is scientific and reasonable as the benchmark interest rate of market under the open environment of loan interest rate, and it is close to becoming a perfect benchmark interest rate. At the same time, the establishment of market benchmark interest rate is the premise and core condition to promote the marketization of interest rate. Therefore, the maturation of Shibor benchmark interest rate is an important task in the stage of interest rate marketization in our country.
【学位授予单位】：江南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.1;F832.4
本文编号：2270915
[Abstract]:On July 20, 2013, the central bank announced that the control of interest rate on loans should be liberalized, marking another important step forward in China's interest rate marketization which has been carried out for more than 20 years. So far, under the new situation and new stage, how to construct the benchmark interest rate system in the money market in the interest rate marketization is worthy of our attention. Therefore, based on the current situation of lending rate liberalization in the process of interest rate liberalization in China, this paper studies the operation effect of Shanghai Interbank offered rate (Shibor), which is based on the market benchmark interest rate, in the further stage of interest rate marketization. It is both in line with the current situation and has great practical significance. There are six parts in this paper. The first chapter introduces the background and significance of the research, summarizes the domestic and foreign interest rate marketization and benchmark interest rate selection, points out that the mature money market benchmark interest rate is the key to promote the interest rate marketization. Chapter 2 mainly discusses the definition of benchmark interest rate, the general attribute of benchmark interest rate and its function after establishment, and the choice of foreign benchmark interest rate, which lays a theoretical foundation for this study, and introduces the course of marketization of loan interest rate. The significance and the relationship between the loan interest rate and the market benchmark interest rate accord with the research topic of this paper. Chapter 3 carries on the qualitative analysis to the Shibor, introduces the operation mechanism of Shibor and the rationality and feasibility in theory and reality. By comparing with other major market interest rates, Shibor is the best choice of benchmark interest rate in China. Chapter 4 makes quantitative analysis of Shibor, using descriptive analysis, correlation test and ADF unit root test, respectively. Granger causality test, vector autoregressive model (VAR) and impulse response function are used to analyze the basic properties of benchmark interest rate. This paper studies the relationship between the term interest rate of Shibor itself, the relationship between Shibor and other interest rates in money market, the relationship between Shibor and macroeconomic variables, and the relationship between Shibor and stock market. It is proved that Shibor has been cultivated by the central bank and financial institutions for more than seven years. The basic attributes of market, foundation, correlation and stability have been improved, especially the short-term Shibor shows strong benchmark interest rate characteristics, while the medium and long term Shibor needs to increase the market trading volume in order to improve its market sensitivity; Chapter 5 studies the relationship between Shibor and loan interest rate, which indicates that the influence of Shibor on credit market needs to be strengthened. Chapter 6 summarizes the full text and puts forward some suggestions to perfect Shibor in order to promote the establishment of market benchmark interest rate as soon as possible. The final research results of this paper prove that Shibor is scientific and reasonable as the benchmark interest rate of market under the open environment of loan interest rate, and it is close to becoming a perfect benchmark interest rate. At the same time, the establishment of market benchmark interest rate is the premise and core condition to promote the marketization of interest rate. Therefore, the maturation of Shibor benchmark interest rate is an important task in the stage of interest rate marketization in our country.
【学位授予单位】：江南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.1;F832.4
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