上海银行间同业拆借利率报价机制改革效应的评估与研究
发布时间：2019-06-19 02:55
【摘要】：上海银行间同业拆放利率(以下简称Shibor)作为我国央行构建和培育的基准利率,自2007年1月4日运行以来,逐渐成为市场认可度最高、应用最广泛的货币市场基准利率。2014年8月1日,Shibor的报价时间由每个工作日上午11:30提前至9:30。本文利用Shibor报价时间变动作为自然实验,对Shibor及各报价行报价的稳定性和基准性进行分析,本文发现:(1)报价时间提前后,Shibor短端品种的报价的波动性显著下降,稳定性明显提高;(2)报价时间提前后,Shibor短端报价基准性下降;(3)报价行的报价质量易受市场波动扰动。2017年1月3日Shibor再次将报价时间延后至11:00,本文解释了这一机制改进背后的逻辑,对进一步完善Shibor报价和考核制度,以及推进我国的利率市场化进程有借鉴意义。
[Abstract]:Shanghai Interbank offered rate (Shibor), as the benchmark interest rate constructed and nurtured by the Central Bank of China, has gradually become the most recognized and widely used benchmark interest rate in the money market since its operation on January 4, 2007. On August 1, 2014, the quotation time of Shibor was advanced from 11:30 to 9 / 30 every working day. In this paper, the stability and benchmark of Shibor and its quotation lines are analyzed by using the change of Shibor quotation time as a natural experiment. It is found that: (1) after the quotation time is advanced, the volatility of Shibor short-end quotation decreases significantly and the stability improves obviously, (2) after the quotation time is advanced, the benchmark of Shibor short-end quotation decreases. (3) the quotation quality of quotation bank is easily disturbed by market fluctuation. On January 3, 2017, Shibor postponed the quotation time to 11 脳 00 again. This paper explains the logic behind the improvement of this mechanism, which is of reference significance for further perfecting the quotation and assessment system of Shibor and promoting the process of interest rate marketization in our country.
【作者单位】： 上海财经大学国际工商管理学院;上海财经大学经济学院;
【基金】：2017年度上海市人民政府决策咨询研究重点课题“上海深化供给侧结构性改革与产业结构、产业组织创新研究”项目编号:2017-A-007
【分类号】：F832.7
本文编号：2502014
[Abstract]:Shanghai Interbank offered rate (Shibor), as the benchmark interest rate constructed and nurtured by the Central Bank of China, has gradually become the most recognized and widely used benchmark interest rate in the money market since its operation on January 4, 2007. On August 1, 2014, the quotation time of Shibor was advanced from 11:30 to 9 / 30 every working day. In this paper, the stability and benchmark of Shibor and its quotation lines are analyzed by using the change of Shibor quotation time as a natural experiment. It is found that: (1) after the quotation time is advanced, the volatility of Shibor short-end quotation decreases significantly and the stability improves obviously, (2) after the quotation time is advanced, the benchmark of Shibor short-end quotation decreases. (3) the quotation quality of quotation bank is easily disturbed by market fluctuation. On January 3, 2017, Shibor postponed the quotation time to 11 脳 00 again. This paper explains the logic behind the improvement of this mechanism, which is of reference significance for further perfecting the quotation and assessment system of Shibor and promoting the process of interest rate marketization in our country.
【作者单位】： 上海财经大学国际工商管理学院;上海财经大学经济学院;
【基金】：2017年度上海市人民政府决策咨询研究重点课题“上海深化供给侧结构性改革与产业结构、产业组织创新研究”项目编号:2017-A-007
【分类号】：F832.7
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