Shibor作为我国基准利率的运行有效性分析

发布时间：2018-03-01 11:44

本文关键词： Shibor 基准利率利率期限结构异方差　出处：《深圳大学》2017年硕士论文　论文类型：学位论文

【摘要】：基准利率是金融市场上具有普遍参照意义的利率,市场上的其它利率或者金融产品都能够以其作为定价基准。因此,确立合理的基准利率对我国金融行业的健康发展极为重要。我国当前已经基本上实现了利率市场化,而基准利率属于利率市场化的前提,意味着要实现真正意义上的利率市场化,市场上就得有一个具有普遍参照意义,并且广为接受的基准利率。回顾我国20多年来的利率市场化改革进程,大致有以下几个标志性阶段:我国在1993年确立了利率市场化改革的基本设想,并于1996年完全放开了对银行间同业拆借利率的管制,紧接着又在1997年完全放开了银行间回购利率。十余年之后,我国又重启了利率市场化改革进程,并先后在2013年放开贷款利率下限,2015年放开存款利率上限。存款利率上限的放开标志着我国利率市场化改革完成了最后一跃,银行间货币市场的利率体系已经基本脱离了行政管制,实现了完全的市场化。本文从基准利率运行的有效性出发,先论述了国外基准利率的选择经验,然后结合学者们的研究,对我国历史上极具基准利率潜质的利率进行了比较,进而归纳出基准利率能有效运行的几点特征。然后围绕这些特征逐一展开分析,根据研究问题的需要和特征之间的特点将实证部分分为基准利率属性研究和动态研究两部分。基准利率属性方面采用了统计分析方法从市场性、基础性、相关性和稳定性几方面深入分析比较了以上几种利率。本文在后半部分的实证从期限结构理论入手,研究Shibor的短期利率波动,采用了 Vasicek模型刻画Shibor的短期变化过程。旨在分析Shibor的动态变化是否符合基准利率有效运行的均值回复性与波动稳定性。为了论证的完整性,对Vasicek模型的扩散项部分引入GARCH模型构建双因素Vasicek模型,考虑了波动项的时变问题。进一步地,为了说明利率的非对称波动特性,本文在最后还拟合了 Vasicek-GARCH(1,1)模型,使模型更贴近我国经济发展环境。本文在最后总结了 Shibor作为基准利率运行的有效性如何,以及存在的不足,并对今后Shibor的发展方向给出了几点启发性的建议。
[Abstract]:The benchmark interest rate is the universal reference rates of the financial market, the market interest rate or other financial products can be as the pricing benchmark. Therefore, the establishment of a reasonable benchmark interest rate for the healthy development of China's financial industry is very important. At present in our country has basically realized the interest rate market, while the benchmark interest rate is the premise of the interest rate market means to achieve a real sense of the interest rate market, there is a universal reference significance to the market, and is widely accepted. The review process of the benchmark interest rate of interest rate reform in China in the past 20 years, we have the following several landmark stages: China has established the basic assume the interest rate marketization reform in 1993, and in 1996 fully liberalized to interbank interest rate control, and then in 1997 fully liberalized inter-bank repo rate more than ten years. After China resumed the market-oriented interest rate reform process, and then release the lower lending rates in 2013 2015, release the deposit rate ceiling. The ceiling on deposit interest rate liberalization marks China's market-oriented interest rate reform to complete the final leap, the inter-bank money market interest rate system has been basically out of the administrative regulation, to achieve a market-oriented completely. This paper from the effective operation of the benchmark interest rate, this article first discusses the choice of foreign experience in the benchmark interest rate, and then combined with the study of the scholars, on China's history of great potential interest rate benchmark interest rates were compared, and then summed up some characteristics of the benchmark interest rate can run efficiently. Then around these features one by one analysis, according to the characteristics between the needs and characteristics of research problems of the empirical part is divided into two parts: properties and dynamic study of the benchmark interest rate benchmark interest rate. Aspects of mining property Using the method of statistical analysis from the market, the basic aspects of correlation and stability, in-depth analysis and comparison of the above rates. This paper starts from the theory of the term structure in the latter part of the empirical research, the short-term interest rate volatility Shibor, short-term changes in process using the Vasicek model. In order to characterize Shibor dynamic change analysis of Shibor whether compliance the stability and fluctuation of mean reversion for the effective operation of the benchmark interest rate. In order to complete the proof, construct the two factor Vasicek model GARCH model Vasicek model of diffusion part is introduced, considering the fluctuation of time-varying problems. Further, in order to illustrate the characteristics of asymmetric volatility of interest rates, at last this paper also fitted Vasicek-GARCH (1,1) the model, which makes the model more close to the environment of economic development in our country. Finally this paper summarizes the effectiveness of Shibor as the benchmark interest rate operation, and the existence of Some suggestions are given for the development of Shibor in the future.

【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F832.5

【参考文献】