我国同业拆借市场风险溢价研究

发布时间：2018-05-06 04:33

本文选题：同业拆借市场 + 风险溢价　；参考：《辽宁大学》2017年硕士论文

【摘要】：金融市场最重要的一个功能是实现资源的有效配置,调节资金在盈余部门和短缺部门之间的流转。根据融资期限的长短,又可将金融市场分为货币市场和资本市场,货币市场的融资期限较短而资本市场的融资期限较长。货币市场中短期或者超短期的融资活动有很多通过同业拆借市场达成交易。同业拆借市场的产生源于法定准备金制度的实施。作为银行类金融机构进行短期资金拆借的交易市场,同业拆借市场上的拆借利率受资金供求关系的影响,主要是由拆借双方商定的,并在此基础上得到加权平均利率,由于该利率能够较好地反映资金供求状况,所以也是中央银行进行货币政策调控的重要参考内容。近年来,我国经济经历了一段持续的高速增长期,非银行金融机构等经过扩容后被允许通过同业拆借市场进行资金融通,增加的交易主体范围相应的也带来更多的风险隐患。特别是从2012年开始,我国经济发展增速开始下降,经济进入衰退期的声音此起彼伏,在经济繁荣期被被掩盖的各种潜在风险渐渐实质化。我国的金融市场以间接金融为主体,银行在其中扮演着很重要的角色,整个银行体系不良贷款率的上升,杠杆率居高不下也让其受到了越来越多的质疑,在这样的背景下,研究同业拆借市场的风险状况就具有了非常强的理论意义和现实意义。文章对我国同业拆借市场风险状况的研究将理论与实证结合在一起。具体而言,综合比较现有的国内外学术成果,对我国同业拆借市场风险情况的研究基于我国同业拆借市场的风险溢价,后者采用同业拆借市场上的收益率超过无风险利率的部分来度量,并以此为理论依据,选取我国最近几年经济增速放缓这一时间跨度作为样本周期,同时结合我国金融市场的发展,对样本的选择进行更深入的分析,选择更普遍适用的的样本数据,结合实证模型对我国同业拆借市场风险进行更深层次的分析。本文研究发现同业拆借市场的信用风险和短期流动性风险是对我国同业拆借市场风险溢价的有显著影响的因素,通过对信用风险和流动性风险深入分析,联系我国当前金融市场发展,给出合理建议,降低信用风险和流动性风险,稳定同业拆借市场,防范系统性风险。
[Abstract]:One of the most important functions of financial markets is to realize the efficient allocation of resources and to regulate the flow of funds between surplus and shortage sectors. According to the length of the financing period, the financial market can be divided into the money market and the capital market. The financing period of the money market is shorter and the financing period of the capital market is longer. Money market short-term or ultra-short-term financing activities many through the interbank market transactions. The production of the interbank borrowing market originates from the implementation of the legal reserve fund system. As a trading market for short-term capital borrowing by banks and financial institutions, the lending rate in the interbank lending market is affected by the relationship between the supply and demand of funds, which is mainly agreed upon by both parties, and on this basis the weighted average interest rate is obtained. As the interest rate can reflect the supply and demand of funds, it is also an important reference for the central bank to regulate monetary policy. In recent years, China's economy has experienced a period of sustained rapid growth, non-bank financial institutions have been allowed to finance through the interbank lending market after the expansion, the increased scope of trading bodies has also brought more risks. Especially since 2012, China's economic growth rate began to decline, the economy into a recession voice one after another, in the economic boom period was masked by the various potential risks gradually materialized. China's financial market is dominated by indirect finance, in which banks play a very important role. The rise of the non-performing loan ratio in the whole banking system and the high leverage ratio also make it more and more questionable. Under such a background, Studying the risk of interbank lending market has very strong theoretical and practical significance. This paper combines theory and practice to study the risk of interbank lending market in China. Specifically, compared with the existing academic achievements at home and abroad, the research on the risk of interbank lending market in China is based on the risk premium of the interbank lending market in China. The latter is measured by the portion of the interbank lending market where the yield exceeds the risk-free interest rate, and on this basis, we select the time span of economic growth slowdown in recent years as the sample cycle. At the same time, combined with the development of our financial market, the selection of samples is more in-depth analysis, the selection of more widely applicable sample data, combined with the empirical model to carry out a deeper analysis of the risk of interbank lending market in China. This paper finds that the credit risk and short-term liquidity risk of interbank lending market are the significant factors that influence the risk premium of interbank lending market in China. Through the in-depth analysis of credit risk and liquidity risk, According to the current development of financial market in China, reasonable suggestions are given to reduce credit risk and liquidity risk, stabilize interbank lending market and guard against systemic risk.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.5;F832.4

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