我国银行间债券回购市场流动性研究

发布时间：2018-02-28 15:33

本文关键词： 银行间债券回购市场流动性融资效率三方回购　出处：《陕西师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国的银行间债券回购市场是银行间债券市场的重要组成部分,同时也是连接货币市场和债券市场的桥梁。以商业银行、保险公司、证券公司等为代表的机构投资者是主要的参与者,该市场在拓宽投资者融资渠道、促进货币政策执行和传导、推进利率市场化方面发挥重要作用。银行间债券回购市场的交易产品、交易机制、市场参与者行为都直接关系到该市场流动性状况,而市场流动性状况影响着资金配置效率、资产负债结构、交易成本及盈利能力,更进一步影响着我国金融市场的稳定与发展。随着我国银行间债券回购市场的不断发展,其所处的外部宏观经济环境与市场内部结构在不断发生着变化。因此有效测度市场流动性,检验流动性状况对市场参与者融资效率的影响,并针对性解决不利于市场流动性的因素成为亟待解决的问题。本文首先根据国内外学者的研究对市场流动性定义、测度方法和影响因素的进行总结,根据我国银行间债券回购市场的市场结构、产品等特征,界定我国银行间债券回购市场流动性的定义,建立适用于我国银行间债券回购市场的流动性指标,并从商业银行角度考察银行间债券回购市场流动性对融资效率的影响,从正反两方面反映市场流动性状况及其重要性。通过对2007年以后,我国银行间债券回购市场的流动性的测度分析,可以得出我国银行间债券回购市场整体发展迅速,交易主体、交易品种不断丰富,市场整体流动性明显提升,但同时也发现整个银行间债券回购市场交易以质押式回购为主,质押式回购市场与买断式回购市场流动性改善水平不同。信用类债券的换手率水平较低。在金融危机期间,我国回购市场也受到影响,换手率较危机发生前下行,回购利率与交易量波动加大,市场流动性下降。银行间债券回购市场流动性与银行持有超额准备金的成本负相关,即表明市场流动性与融资效率正相关,银行间债券回购市场流动性越好对于市场参与者的融资效率越高。但从目前的影响程度上看,银行间债券回购市场流动性对市场参与者降低流动性管理成本,提高融资效率所起的作用有限,未来通过完善市场结构、交易产品类型、扩充市场参与者实现融资效率的充分发挥。影响我国银行间债券回购市场流动性的因素主要分内外两种：宏观经济因素和市场内部因素。其中宏观经济因素包括宏观流动性、货币政策,市场内部因素有回购市场机制建设因素、产品结构因素、制度与规范因素。金融危机期间美欧回购市场,特别是三方回购市场表现差异,美国回购市场出现了“抵押品危机”,三方回购市场在危机中暴露了很多缺陷和漏洞,市场融资规模在短期内暴跌,加速了两大投行的倒闭,对金融危机造成推波助澜的作用。相反,欧洲三方回购市场在为金融机构提供流动性,维持市场稳定方面发挥了应有的作用。从市场参与者、担保品结构等方面看,欧洲回购市场与我国较为类似,因此欧洲回购市场机制,三方回购经验对于我国回购市场提高流动性,进行机制创新具有借鉴意义。未来我国银行间债券回购市场在落实《中国银行间市场债券回购交易主协议(2013年版)》的基础上,通过完善制度措施,推动相关配套设施建设,健全回购市场机制,加大创新力度,适时推出三方回购业务,实现银行间债券回购市场流动性的提高。
[Abstract]:China's inter-bank bond repo market is an important part of the inter-bank bond market, but also the bridge between the money market and bond market. Commercial banks, insurance companies, securities companies as the representative of the institutional investors are the main participants in the market, broadening the financing channels for investors, and promote the implementation of monetary policy conduction and play an important role in promoting the marketization of interest rates. The inter-bank bond repo market trading products, trading mechanism, market participants are directly related to the liquidity situation of the market, and the market liquidity situation affects the efficiency of capital allocation, asset liability structure, transaction cost and profitability, and further affects the stability and development of our China's financial markets. With the continuous development of China's inter-bank bond repo market, in which the external macroeconomic environment and market structure in time Therefore, effective measurement of market liquidity and testing of the impact of liquidity on market participants' financing efficiency and targeted solutions to factors that are not conducive to market liquidity have become urgent problems.
According to the research of domestic and foreign scholars on the definition of market liquidity, measurement methods and influence factors were summarized, according to the market structure of China's inter-bank bond repo market, product features, the definition of the liquidity of China's inter-bank bond repo market, liquidity index established in the inter-bank bond repo in the market, and the effect of the liquidity of inter-bank bond repo market on the financing efficiency from the perspective of commercial banks, reflect the status of market liquidity and its importance from two aspects of positive and negative. According to the analysis after 2007, China's inter-bank bond repo market liquidity measure, can draw the overall development of China's inter-bank bond repo market quickly, the main transaction, transaction varieties continuously enriched, the overall market liquidity improved significantly, but at the same time that the inter-bank bond repo market transactions to pledge Repo, repo market and outright repo market liquidity is different. To improve the level of credit bonds in the exchange rate level is relatively low. During the financial crisis, China's repo market is also affected by exchange rate than before the crisis down, increase the repo rate and trading volume volatility, market liquidity among banks declined. The bond repo market liquidity and bank holding excess reserves cost that is negatively related to market liquidity and financing efficiency are positively related, the better the liquidity of inter-bank bond repo market financing for higher efficiency of market participants. But the extent of the influence from the point of view, the liquidity of inter-bank bond repo market to reduce the flow of market participants management costs, improve financing efficiency play a limited role, the future through improving the market structure, trading products, expanding market participants realize full financing efficiency Play. Factors influencing the liquidity of China's inter-bank bond repo market is mainly divided into two types: internal and external factors of the macroeconomic factors and internal market. The macroeconomic factors include macro liquidity, monetary policy, market factors are internal factors of the construction of the market mechanism to repurchase, product structure, system and norms.
During the financial crisis and the repo market, especially the difference between the three party repurchase market performance, the emergence of the "collateral crisis" in the U.S. repo market, three party repurchase market exposed a lot of defects and loopholes in the crisis, the market scale of financing plunged in the short term, accelerated the collapse of two major investment banks, which contributed to the financial crisis. On the contrary, the three party in the repo market to provide liquidity to financial institutions, to play its due role in maintaining market stability. From the aspects of market participants, collateral structure, European repo market and China is similar, so the European repo market mechanism, the three party repurchase experience for the liquidity of China's repo market to improve the mechanism innovation, is of great significance.
The future of China's inter-bank bond repo market in the implementation of "Chinese Inter-bank Market Bond Repo Master Agreement (2013 Edition) > on the basis, through the improvement of the system of measures to promote related facilities, improve the repo market mechanism, increase innovation, the timely introduction of three party repurchase operations, the inter-bank bond repo market liquidity improved.

【学位授予单位】：陕西师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.2;F832.51

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