利率市场化进程中商业银行利率影响因素分析
发布时间：2019-01-02 20:07
【摘要】：在当前复杂多变的国际金融环境下,我国经济进入结构调整关键时期,与此同时中国利率市场化改革也相应的走到了改革的深水区。从国外利率市场化改革经验不难发现,利率市场化完成后在促进国内经济平稳增长、实现金融资源优化配置和实现国内外收支均衡等方面发挥着重要的作用。在国外研究中,对于利率定性与定量分析层出不穷、百家齐放。而我国针对利率波动的研究中,大多数着力于利率波动对其他经济变量变动的影响分析,鲜有探讨其他经济指标变动对利率波动影响的定量关系研究。 本文通过总结西方经济学中利率决定基础理论,分析在1996-2013年期间,我国利率市场化改革的实践过程。并将我国的利率市场化改革历程划分为三个阶段,分别考察期间内利率变动基本状况及其影响因素,并对这三个阶段进行协整检验试图建立长期稳定关系,然后通过VAR模型进行脉冲效应及方差分解分析。在样本期间内,选取的各项指标月度数据均为非平稳序列,必须对数据进行单位根检验及差分处理,而后通过格兰杰因果检验得出固定资产投资额、通货膨胀率、货币供应量、进出口差额、财政收支差额以及汇率均为影响利率波动的原因。通过构建协整方程后,通过VAR模型的方差分解以及脉冲响应分析得出在利率市场化改革的第一阶段主要影响利率波动的因素为通货膨胀率,第二阶段的主要影响因素为进出口差额,而最后一个阶段为通货膨胀率。最后为应对利率市场化改革所造成的利率波动,商业银行应建立自身利率预测及管理机制,加强银行内部资产负债管理,大力发展商业银行中间业务,使商业银行避免因为利率市场化改革带来利率波动所造成的利率风险。
[Abstract]:In the current complex and changeable international financial environment, China's economy has entered a critical period of structural adjustment, at the same time, China's interest rate marketization reform has also correspondingly moved to the deep water area of the reform. It is not difficult to find out from the experience of foreign interest rate marketization reform that interest rate marketization plays an important role in promoting the steady growth of domestic economy, optimizing the allocation of financial resources and realizing the balance of income and expenditure at home and abroad after the completion of interest rate marketization. In foreign research, the qualitative and quantitative analysis of interest rates emerge one after another. However, most of the researches on interest rate fluctuation in China focus on the analysis of the influence of interest rate fluctuation on other economic variables, and there is little research on the quantitative relationship between the change of other economic indicators and the fluctuation of interest rate. By summarizing the basic theories of interest rate determination in western economics, this paper analyzes the practical process of interest rate marketization reform in China from 1996 to 2013. The course of China's interest rate marketization reform is divided into three stages. The basic condition of interest rate change and its influencing factors are investigated respectively, and the cointegration test of these three stages is carried out to try to establish a long-term stable relationship. Then the pulse effect and variance decomposition are analyzed by VAR model. In the sample period, the monthly data of the selected indexes are all non-stationary series, the data must be processed by unit root test and difference, and then through Granger causality test, the fixed assets investment, inflation rate, money supply are obtained. Import and export balance, fiscal balance and exchange rate are the reasons for the fluctuation of interest rate. After the cointegration equation is constructed, the variance decomposition of VAR model and impulse response analysis show that inflation is the main factor affecting interest rate fluctuation in the first stage of interest rate marketization reform. The second stage is mainly affected by import and export balance, while the last stage is inflation rate. Finally, in order to deal with the fluctuation of interest rate caused by market-oriented interest rate reform, commercial banks should establish their own interest rate forecasting and management mechanism, strengthen the management of bank's internal assets and liabilities, and vigorously develop the intermediary business of commercial banks. Make commercial banks avoid interest rate risk caused by interest rate fluctuation caused by interest rate marketization reform.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.1;F832.33
本文编号：2398924
[Abstract]:In the current complex and changeable international financial environment, China's economy has entered a critical period of structural adjustment, at the same time, China's interest rate marketization reform has also correspondingly moved to the deep water area of the reform. It is not difficult to find out from the experience of foreign interest rate marketization reform that interest rate marketization plays an important role in promoting the steady growth of domestic economy, optimizing the allocation of financial resources and realizing the balance of income and expenditure at home and abroad after the completion of interest rate marketization. In foreign research, the qualitative and quantitative analysis of interest rates emerge one after another. However, most of the researches on interest rate fluctuation in China focus on the analysis of the influence of interest rate fluctuation on other economic variables, and there is little research on the quantitative relationship between the change of other economic indicators and the fluctuation of interest rate. By summarizing the basic theories of interest rate determination in western economics, this paper analyzes the practical process of interest rate marketization reform in China from 1996 to 2013. The course of China's interest rate marketization reform is divided into three stages. The basic condition of interest rate change and its influencing factors are investigated respectively, and the cointegration test of these three stages is carried out to try to establish a long-term stable relationship. Then the pulse effect and variance decomposition are analyzed by VAR model. In the sample period, the monthly data of the selected indexes are all non-stationary series, the data must be processed by unit root test and difference, and then through Granger causality test, the fixed assets investment, inflation rate, money supply are obtained. Import and export balance, fiscal balance and exchange rate are the reasons for the fluctuation of interest rate. After the cointegration equation is constructed, the variance decomposition of VAR model and impulse response analysis show that inflation is the main factor affecting interest rate fluctuation in the first stage of interest rate marketization reform. The second stage is mainly affected by import and export balance, while the last stage is inflation rate. Finally, in order to deal with the fluctuation of interest rate caused by market-oriented interest rate reform, commercial banks should establish their own interest rate forecasting and management mechanism, strengthen the management of bank's internal assets and liabilities, and vigorously develop the intermediary business of commercial banks. Make commercial banks avoid interest rate risk caused by interest rate fluctuation caused by interest rate marketization reform.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.1;F832.33
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