Shibor作为我国市场基准利率有效性的实证分析

发布时间：2018-05-26 15:49

本文选题：上海银行间同业拆放利率 + 基准利率　；参考：《外交学院》2017年硕士论文

【摘要】：随着我国央行放开商业银行存款利率管制,我国利率市场化进程已几近完成。而基准利率的确定作为利率市场化问题的核心,也变得日益重要和迫切。上海银行间同业拆放利率也因其是各主要参考利率中最具影响力和参考价值的一种而备受关注。中国人民银行曾在多次官方报告中强调要建立以Shibor为基础的我国基准利率体系,以增强金融机构自主定价能力。同时我国近年来金融市场快速发展所带来的新型环境,也考验着Shibor作为基准利率发挥基准性的能力。因此也有必要对Shibor作为我国基准利率发挥的有效性进行论证。本文首先通过总结国内外的研究成果及现状,论述了基准利率的定义及选择标准,并分析了Shibor相比其他几种市场利率在形成机制,政策支持等方面存在的优势。同时重点分析了利率市场化及货币政策框架转型对确立Shibor基准利率所产生的的影响。再通过实证分析,论述了Shibor与我国金融市场几种主要利率的相互关系,证明了Shibor已基本发挥了基准利率的作用。最后针对Shibor目前存在的机遇与不足,提出促进同业拆借市场发展,拓宽Shibor定价产品等具体措施,以继续增强Shibor作为我国基准利率的有效性。
[Abstract]:With the central bank liberalizing the control of deposit interest rate of commercial banks, the marketization process of interest rate in our country has almost been completed. As the core of interest rate marketization, benchmark interest rate is becoming more and more important and urgent. Shanghai Interbank offered rate is also one of the most influential and valuable reference rates. In many official reports, the people's Bank of China has stressed the need to establish a benchmark interest rate system based on Shibor in order to enhance the autonomous pricing power of financial institutions. At the same time, the new environment brought by the rapid development of financial market in China in recent years also tests the ability of Shibor as benchmark interest rate. Therefore, it is necessary to demonstrate the effectiveness of Shibor as a benchmark interest rate in China. This paper firstly summarizes the research results and present situation at home and abroad, discusses the definition and selection criteria of benchmark interest rate, and analyzes the advantages of Shibor compared with other market interest rates in forming mechanism, policy support and so on. At the same time, it analyzes the influence of interest rate marketization and monetary policy framework transformation on the establishment of Shibor benchmark interest rate. Through empirical analysis, this paper discusses the relationship between Shibor and several main interest rates in China's financial market, and proves that Shibor has basically played the role of benchmark interest rate. Finally, aiming at the opportunities and shortcomings of Shibor at present, this paper puts forward some concrete measures such as promoting the development of interbank lending market and widening the pricing products of Shibor in order to continue to enhance the effectiveness of Shibor as the benchmark interest rate in China.
【学位授予单位】：外交学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0

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