我国利率市场化中的基准利率选择研究

发布时间：2018-03-19 04:27

本文选题：基准利率　切入点：利率市场化　出处：《哈尔滨商业大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国金融市场的不断发展使得货币政策的内生性不断加强,货币供应量在反映实体经济方面的优势不断降低。相比而言,随着我国利率市场化进程的不断深入,尤其是从近几年我国宏观调控以利率手段为主的实际情况来看,利率指标的重要性日益凸显。在我国货币供应量指标有效性不断弱化而利率指标有效性不断提高的背景下,研究如何确定一只能够反映金融市场资金供求状况,同时也能担任其他利率定价参照的基准收益率对于推进利率市场化改革、促进金融市场发展以及提高货币政策有效性等方面都具有一定的前瞻意义。我国目前各个利率品种在期限结构的完整性、市场化程度、风险水平等方面都存在不同程度的缺陷,探索不同期限结构的利率品种在担任基准利率的有效性对于形成一条相对完整的基准收益率曲线,进而推动我国利率市场化进程具有一定的创新意义。绪论部分主要对研究的背景、目的、意义、国内外研究现状、内容和方法等进行了阐述,并说明了可能存在的创新点；理论基础部分在对核心概念进行介绍的基础上,对利率期限结构理论和货币政策传导机制理论进行论述,作为研究的理论支撑；基准利率选择的经济学分析主要包含两部分内容,一是通过基准利率传导机制的分析对货币政策传导途径和基准利率对实体经济的影响进行论证,主要为了说明确定基准利率的必要性。二是我国金融市场基准利率考察,在确定基准利率选择标准的基础上对基准利率进行了初步的定性分析；实证分析部分,构建了多元VAR模型并在此基础上对变量进行平稳性检验、协整检验以及Granger因果关系检验,得出实证结论；最后提出了培育我国基准收益率的政策建议,包括巩固SHIBOR短端基准地位以及不断强化国债利率基准地位等。得出的主要结论有：作为基准利率,必须具备低风险、高流动性、规模充足、数据完整可得、期限结构完整等特性,而我国目前尚不存在这样一只单一的利率能够满足全部要求,各主要利率品种都存在不同的缺陷；在一年以内的短期中,SHIBOR具有更强的基准性,虽然在某一期限(如一个月)中各个利率表现出相互独立性,但是从相关性以及领先——滞后关系上看,基准收益率曲线的短端由SHIBOR更为合适,而基准收益率曲线的长端上,银行间国债利率表现了更多的基准性,我国完整的基准收益率曲线短端由SHIBOR担任,长端由银行间国债回购利率担任可能是比较好的选择：SHIBOR目前仍存在交易机制不完善、运行环境不稳定等问题,因此必须巩固其在短端的基准地位。从长远来看,国债是适合作为基准利率的唯一选择,而这一目标的实现有赖于国债期限结构的完善以及国债市场的改革。
[Abstract]:The continuous development of China's financial market makes the endogenous monetary policy continues to strengthen, the advantage of the money supply in the real economy reflect decreased continuously. Compared with China's market-oriented interest rate process deeply, especially the actual situation from the macro regulation of our country in recent years with the interest rate means the importance. The interest rate index has become increasingly prominent. In China's money supply index effectiveness weakening and the background of increasing the effectiveness of the interest rate index, how to determine a can reflect the supply and demand of funds in the money market, the benchmark yield can also serve as reference for other interest rate pricing rates to promote market-oriented interest rate reform, are forward-looking significance will promote the development of financial markets and improve the effectiveness of monetary policy and other aspects. At present various varieties in the integrity of the interest rate term structure, marketization The degree of defects, there are different levels of risk level, explore the different term structure of interest rates in the benchmark interest rate as the effectiveness of varieties to form a relatively complete benchmark interest rate curve, thus promoting the process of China's interest rate market has certain innovation significance.
The introduction part mainly on the background, research purpose, significance, research status at home and abroad, the contents and methods are introduced and explained the possible innovations; theoretical basis based on the core concept of the introduction, discusses the theory of the term structure of interest rate theory and the transmission mechanism of monetary policy, as a theoretical support study on the economic analysis; the choice of benchmark interest rate mainly includes two parts, one is the impact on the transmission channels of monetary policy and the benchmark interest rate on the real economy are discussed through the analysis of the benchmark interest rate conduction mechanism, mainly in order to illustrate the necessity of determining the benchmark interest rate is two. The benchmark interest rate of China's financial market investigation, based on determining the selection criteria of the benchmark interest rate benchmark interest rates are preliminary qualitative analysis; empirical analysis, establish multivariate VAR model and on the basis of Variable stationary test, cointegration test and Granger causality test, the empirical conclusions; finally put forward Fostering China's benchmark rate of return policy recommendations, including the consolidation of SHIBOR short end of the reference position and continue to strengthen debt interest rate benchmark status. The main conclusions are as follows:
As the benchmark interest rate, must have low risk, high liquidity, scale sufficient, complete data available, complete the term structure and other characteristics, and the current is not the existence of such a single rate can meet all the requirements, the main interest rate varieties have different defects; within one year in the short term, the benchmark SHIBOR has stronger, although in a certain period of time (such as a month) in various interest rates show mutual independence, but from the relationship and leading lag relations, the short end of the benchmark yield curve by SHIBOR is more appropriate, and the long end of the benchmark yield curve on the interbank interest rate the benchmark more, our benchmark yield rate of complete short end of the curve by SHIBOR as the long end of the inter-bank bond repurchase rate as may be the better choice: SHIBOR is still imperfect tradingmechanism operation Environmental instability and other issues must consolidate its benchmark position in the short end. In the long run, treasury bonds are the only option suitable for benchmark interest rates, and the realization of this goal depends on the maturity structure of treasury bonds and the reform of the Treasury market.

【学位授予单位】：哈尔滨商业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.5

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