利率走廊对短期市场利率波动的影响研究

发布时间：2018-08-31 15:39

【摘要】：利率走廊是20世纪90年代兴起的新型货币调控政策,它以其成本低、透明度高、操作方便等优点受到越来越多的国家所青睐。随着我国资本市场的完善和金融行业的发展,货币政策调控模式的转型势在必行,利率走廊模式也变成未来我国货币政策转型的主要方向。本文为研究利率走廊对短期市场利率波动的影响作用,采用了理论与实证相结合的方法。首先,本文在前人研究的基础之上,系统的介绍了利率走廊调控模式的含义,并结合货币工具的利率传导机制深入剖析了利率走廊模式的作用机制;同时本文创新性的从货币需求与货币供给的角度出发,利用最优目标函数从理论上阐述了利率走廊模式对短期市场利率波动的调控作用;另外本文回顾了加拿大、欧元区和美国等地区利率走廊的实践情况,总结出国外利率走廊模式的启示意义;本文通过利率走廊理论基础的分析和国外经验的借鉴这两部分,从理论上阐述了利率走廊具有降低短期市场利率波动的调控作用。为了验证这一理论假设的正确性,本文着重采用实证方法,建立了 GARCH模型,通过对比分析已经实行了利率走廊调控模式的英国、欧洲、美国的市场利率与未实行利率走廊的中国隔夜拆借利率,以及对比分析英国在实行利率走廊前后的市场利率波动情况,用数据有力的说明了利率走廊具有降低短期市场利率波动的作用。本文最后以实证结果为基础,提出了我国构建利率走廊模式面临的诸多挑战,并提出了诸如发展成熟稳健的金融市场、改革存款准备金制度等相应的政策建议,为我国构建成熟的利率走廊调控模式提供了些许借鉴经验。
[Abstract]:Interest rate corridor is a new monetary control policy which rose in 1990s. It is favored by more and more countries because of its advantages of low cost, high transparency and convenient operation. With the improvement of capital market and the development of financial industry, the transformation of monetary policy regulation mode is imperative, and the interest rate corridor model becomes the main direction of monetary policy transformation in the future. In order to study the influence of interest rate corridor on short-term market interest rate volatility, this paper adopts a theoretical and empirical method. First of all, based on the previous studies, this paper systematically introduces the meaning of the interest rate corridor control model, and deeply analyzes the mechanism of interest rate corridor model combined with the interest rate transmission mechanism of monetary instruments. At the same time, from the point of view of money demand and money supply, this paper uses the optimal objective function to explain theoretically the effect of the interest rate corridor model on the short-term market interest rate fluctuation. The practical situation of interest rate corridor in the euro area and the United States, summarizes the enlightening significance of the foreign interest rate corridor model, this paper analyzes the theoretical basis of the interest rate corridor and draws lessons from the foreign experience in these two parts. This paper theoretically expounds that the corridor of interest rate can reduce the fluctuation of interest rate in short-term market. In order to verify the validity of this theoretical hypothesis, this paper focuses on the use of empirical methods, the establishment of the GARCH model, through a comparative analysis of the interest rate corridor has been implemented in the United Kingdom, Europe, The market interest rate in the United States and the overnight lending rate in China, which does not have an interest rate corridor, and the comparative analysis of the volatility of market interest rates in the United Kingdom before and after the implementation of the interest rate corridor, The data show that the interest rate corridor can reduce the volatility of short-term market interest rate. Finally, based on the empirical results, this paper puts forward a lot of challenges facing the construction of interest rate corridor model in China, and puts forward some corresponding policy recommendations, such as developing mature and stable financial market, reforming the system of deposit reserve, and so on. It provides some reference experience for our country to construct the mature regulation mode of interest rate corridor.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0

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