我国银行间同业拆借市场流动性实证研究

发布时间：2018-03-14 11:04

本文选题：银行间同业拆借市场　切入点：市场流动性　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：银行间同业拆借市场是我国货币市场的重要组成部分。它在金融市场中扮演着提供短期资金融通市场、提供市场基准利率参考等重要作用。在各类金融市场中,银行间同业拆借市场的交易规模,交易频率都处于领先地位。目前,我国处于金融市场改革,尤其是利率市场化改革的重要阶段。银行间同业拆借市场的稳定关系到整个金融市场乃至国民经济的健康发展。流动性是金融资产和金融市场的一项基本性质,但目前学术界对流动性的概念并未给出明确的定义。流动性概念本身内涵丰富,对于不同的研究对象,其流动性概念不尽相同,就分类而言大致可分为宏观货币流动性、金融市场流动性和金融资产流动性三个层面。不同层面的流动性侧重点不同,目前还没有单独针对银行间同业拆借市场流动性的定义。正因为流动性概念的多元化,流动性的衡量方法也是层出不穷。流动性概念的差异、研究角度的差异都会导致衡量方法的不同。因此,这些概念与方法需要梳理与整合,并且找到评价方法。近段时期以来,我国金融市场多次爆发“钱荒”,其实质就是流动性不足。然而,我国M2货币量常年保持12%以上高速增长,宏观层面流动性充裕,并未出现短缺现象。那么频频爆发的“钱荒”究竟如何显现?其衡量标准是什么?影响因素又有哪些?本文以我国银行间同业拆借市场作为具体的研究对象,尝试给出针对银行间同业拆借市场的流动性定义,并且给出衡量银行问同业拆借市场流动性的方法。在此基础上,探究影响银行间同业拆借市场流动性的因素,最后提出针对性建议。本文主要分为三个部分,分别回答“是什么”、“为什么”、“怎么办”三个问题。主要结构与结论如下：前三章是第一部分。这一部分主要解决“银行间同业拆借市场流动性是什么”的问题。本文在总结前人关于流动性概念界定的基础上,对流动性从概念角度进行了分类,分为宏观流动性、银行间系统流动性以及市场流动性。分类之后,本文总结了银行间同业拆借市场的特点,从而有助于将其流动性科学归类。之后,本文给出对银行间同业拆借市场流动性的概念并根据概念给出银行间同业拆借市场流动性的度量定义式。这一部分本文的主要结论有：1)流动性分为宏观流动性、银行系统流动性以及金融市场流动性三类。三者关系密切,一方面,金融市场的流动性离不开足够多的宏观货币流动性的支撑,另一方面,金融市场的流动性也会对银行系统流动性、货币流动性有反作用。2)银行间同业拆借市场有如下特点：融资以短期融资为主；交易方式简便,效率高、无担保信用交易且交易金额较大；交易参与者主体不限于商业银行；成交利率由交易双方协定。3)银行间同业拆借市场作为货币市场中重要的子市场,其流动性具备微观层面市场流动性的特征,但不同于一般意义上市场流动性的概念。同时,银行间同业拆借市场流动性也无法从宏观角度加以概念界定。银行间同业拆借市场其本质属性是微观层面的金融市场,流动性核心在于交易实现的难易程度。4)银行间同业拆借市场流动性是指在银行间同业拆借市场利率不发生显著波动的前提下,银行间同业拆借市场的交易主体能够在短期内基于信用拆借资金的难易程度。由这一定义的描述可见,银行间同业拆借市场流动性涵盖了交易期限、交易价格以及交易难易程度三方面的特性。5)银行间同业拆借市场流动性测度参照价量结合法中的比率法,并从自身概念定义出发,用成交金额与相对应的同业市场拆借利率之比衡量。第四章至第六章是第二部分,该部分主要回答“为什么”的问题,即影响银行间同业拆借市场流动性的因素。本文先从理论角度出发,在现有研究成果的基础上对影响因素进行分类,筛选出宏观流动性、相关市场价格、市场集中度和货币政策四个方面的影响因素。在第五章,运用协整理论、VAR模型等统计计量方法对分别属于宏观流动性、相关市场价格、市场结构三个维度的M2货币量、人民币汇率、银行间债券隔夜拆借利率、市场集中度四个指标做实证分析,得出结论。在第六章,针对货币政策这一维度,本文选择存款准备金率这一指标,运用事件分析法做实证分析。该部分实证主要结论如下：1)人民币M1货币量、人民币汇率、银行间债券市场隔夜质押式回购利率、市场集中度与银行间同业拆借市场流动性之间具有长期稳定关系,即协整关系；2)人民币M1货币量、人民币汇率、银行间债券市场隔夜质押式回购利率是银行间同业拆借市场流动性的格兰杰原因,而市场集中度无法认定为是银行间同业拆借市场流动性的格兰杰原因。3)人民币M1货币量、人民币汇率对银行间同业拆借市场流动性具有正向影响,而银行间债券市场隔夜质押式回购利率对流动性具有反向影响,回购利率越高,同业拆借市场流动性越弱,说明银行间同业拆借市场与银行间债券市场同质性大于替代性。4)短期内银行间同业拆借市场流动性的波动由长期均衡状态与各变量短期波动决定。当短期波动偏离长期均衡时,市场流动性具有自身修复能力。5)存款准备金率对银行间同业拆借市场流动性的影响不确定,与市场对货币政策工具的预期有关。最后一章是第三部分。这部分回答“怎么办”的问题,即基于上文的研究成果从宏观流动性管理、货币政策使用、市场结构优化三个方面提出政策建议,希望能为管理好银行间同业拆借市场流动性提供帮助。
[Abstract]:Interbank market is an important part of China's money market. It plays to provide short-term financing market in the financial market, provide the important role of the market benchmark interest rate reference. In all kinds of financial market, the inter-bank market transactions, trading frequency are in a leading position. Now, I in China's financial market reform, especially the important stage of the market-oriented reform of interest rate. The interbank market stability related to the healthy development of the financial market and the national economy.
Liquidity is one of the basic properties of financial assets and financial market, but the current academic definition of the liquidity concept did not give a clear liquidity. The concept of rich connotation, for different subjects, the concept of liquidity is not the same, then classification can be divided into macro monetary liquidity, three the level of financial market liquidity and asset liquidity. Liquidity is different in the different levels, there is no separate in the inter-bank market liquidity definition. Because of diversification of the concept of liquidity, liquidity is also a measure of liquidity. The differences emerge in an endless stream of concepts, different research angles will cause measure different methods. Therefore, these concepts and methods of combing and integration, and find the evaluation method.
In the period since the outbreak of the financial market of our country, "shortage of money", its essence is the lack of liquidity. However, China's M2 money supply perennial maintain more than 12% growth, the macro level liquidity shortage, did not appear. So the frequent outbreak of the "shortage of money" how to show what is the measure? Standard? What factors have effect? Based on China's interbank market as the concrete research object, tries to give the definition of liquidity in the interbank market, and gives a measure of bank liquidity in the interbank market ask method. On this basis, to explore the influence factors of liquidity in interbank market finally, put forward suggestions.
This article is divided into three parts, which answer three questions: "what is", "why" and "how to do". The main structure and conclusion are as follows:
The three chapter is the first part. This part is mainly to solve the "interbank liquidity of interbank market is what" problem. The paper based on the definition of liquidity, the liquidity from the perspective of the concept of classification, divided into macro liquidity, interbank liquidity and market liquidity system. After classification, this paper summarizes the characteristics of the inter-bank market, which will help the flow of scientific classification. After that, this article gives to the inter-bank market liquidity concepts and concepts are given according to the interbank offered by measure the liquidity of the market. The main conclusions of this part of the paper are: 1) liquidity into macro liquidity, liquidity in the banking system liquidity and financial markets three. Three closely related, on the one hand, financial market liquidity cannot do without enough macro currency flow Dynamic support, on the other hand, financial market liquidity will be on the banking system liquidity, monetary liquidity has a negative effect.2) interbank market has the following characteristics: financing for short-term financing; simple transactions, high efficiency, unsecured credit transaction and the transaction amount is larger; trading participants not limited to commercial banks; the turnover rate by the parties to the transaction agreement.3) interbank market as an important money market in the market, the liquidity of the market liquidity has the characteristics of micro level, but the concept is different from the general sense of market liquidity. At the same time, the inter-bank market liquidity is not from a macro the angle to the definition. The inter-bank market and its essence is the micro level of the financial market, liquidity trading is the core of the difficult degree of interbank.4) Market liquidity refers to the interbank market interest rate is not the premise of significant volatility, trading the main interbank market to ease credit lending funds based in the short term. By this definition description is visible, the inter-bank liquidity of interbank market covers trading period, the transaction price and the transaction difficulty in three aspects of the characteristics of.5) interbank market liquidity measure reference price and volume ratio method combined with the law, and starting from its definition, with turnover and the corresponding interbank market lending rate ratio.
The fourth chapter to the sixth chapter is the second part, this part mainly answers the question of "why", namely the influence of the inter-bank market liquidity factors. The thesis classifies the influencing factors on the basis of existing research results, selected macro liquidity, market price, influence factor four a degree of monetary policy and market concentration. In the fifth chapter, using cointegration theory, VAR model and other statistical methods of measurement belong to macro liquidity, the relevant market price, the amount of money M2 the three dimensions of the structure of the market, the RMB exchange rate, the inter-bank bond market overnight rate, concentration of four indicators the empirical analysis, draw the conclusion. In the sixth chapter, according to the dimensions of monetary policy, the deposit reserve rate, the event analysis method to do empirical analysis. The empirical part, the main conclusions are as follows: 1) the amount of money of RMB M1, the RMB exchange rate, the inter-bank bond market overnight collateral repo rate, the market concentration between liquidity and interbank lending market has a long-term stable relationship, the cointegration relationship; 2) the amount of money of RMB M1, the RMB exchange rate, the inter-bank bond market overnight collateral repo rate is between banks the interbank market liquidity Grainger reason, market concentration is not identified as the interbank market liquidity of RMB M1.3 Grainger) the amount of money, the RMB exchange rate on the interbank lending market liquidity has a positive impact, while the inter-bank bond market overnight collateral repo rate has negative effect on the flow the higher the interest rate, repo, interbank market liquidity is weak, indicating that the bank homogeneity between the interbank market and the inter-bank bond market is larger than for.4 short) Decide in the interbank market liquidity volatility from the long-term equilibrium and short-term fluctuations in the variables. When short-term fluctuations deviate from the long-term equilibrium, market liquidity has its own ability to repair.5) the deposit reserve rate on the interbank market liquidity of the interbank market uncertainty, and the tools of monetary policy expectations.
The last chapter is the third part. This part answers the question of what to do, which is based on the above research results from macro liquidity management, monetary policy, market structure optimization in three aspects and put forward some policy suggestions, I hope to provide help for the management of the inter-bank market liquidity.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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