中国利率市场化进程中Shibor的运行特征研究

发布时间：2018-04-04 13:10

本文选题：Shibor　切入点：基准利率　出处：《复旦大学》2014年硕士论文

【摘要】：利率市场化改革是近几十年中国金融改革的核心,而利率市场化改革的核心任务在于构建健全、有效的基准利率体系,使之成为经济主体资产定价、成本确定和风险管理的依据,并为中央银行的货币政策制定提供监测、指导与参考作用。中国的基准利率建设经历了三个阶段,未来的建设目标是将Shibor建设成为中国版的"Libor"。本文旨在研究历经7年培育的Shibor是否已经符合基准利率的运行特性。为了对Shibor的运行特性有个科学的评价,本文共分六个章节。第一章作为引言,由当前社会各界研究热点—利率市场化改革引出基准利率建设的重要性及Shibor的政策定位,进而说明本文的研究问题以及与之相关的数据、方法和思路等。第二章概括了国外有关基准利率运行特性的研究,也综合考察了国内关于基准利率选择文献,从而归纳出基准利率的六大运行特性,即市场性、可测性、稳定性、基础性、可控性和相关性。第三章对中国的利率市场化改革进程及基准利率建设实践作了系统阐述,旨在得出中国利率体系；随后基于前人的研究,文章对中国利率体系做了一个梳理,目的有两个：对Shibor的市场性和可测性做定性分析；寻找能与Shibor竞争的定价基准,为Shibor的基础性特性研究做支撑。第四章借助于各类计量工具,研究Shibor在稳定性、基础性、可控性和相关性等特性的表现,其中稳定性主要通过横向比较与平稳性检验来考察,基础性的验证方式是格兰杰因果检验,可控性和相关性的研究分别基于一个简化的商业银行经营决策模型及泰勒规则进行的。第五章以利率平价理论为基础,将中国的利率市场化改革和汇率制度改革联立起来；为了能够更好的考察人民币汇率市场化改革过程中利率与汇率之间的互动,本文根据汇率波动幅度的不同进行分组,并使用格兰杰因果检验方法进行实证分析。第六章对Shibor的运行特性做全面评价：Shibor呈现出良好的市场性、可测性与可控性；稳定性并非Shibor作为基准利率的条件；受到债券回购交易成为短期资金融通的主要形式影响,Shibor基础性表现一般；与经济增长相比,Shibor受通胀的影响更大；中国的金融改革不同步影响了利率平价理论的表现。文章随后对Shibor的建设提出了一揽子建议。
[Abstract]:Interest rate marketization reform is the core of China's financial reform in recent decades, and the core task of interest rate marketization reform is to build a sound and effective benchmark interest rate system to make it become the asset pricing of economic main body.Basis for cost determination and risk management, and provide monitoring, guidance and reference for central bank monetary policy making.The construction of China's benchmark interest rate has gone through three stages. The goal of future construction is to build Shibor into a Chinese version of "Libor".The purpose of this paper is to study whether the Shibor, which has been cultivated for 7 years, has been in line with the operating characteristics of the benchmark interest rate.In order to evaluate the operation characteristics of Shibor scientifically, this paper is divided into six chapters.The first chapter, as an introduction, introduces the importance of benchmark interest rate construction and the policy orientation of Shibor from the current research hotspot of interest rate market-oriented reform, and then explains the research problems and related data, methods and ideas of this paper.The second chapter summarizes the research on the operating characteristics of the benchmark interest rate abroad, and also reviews the domestic literature on the choice of the benchmark interest rate, and concludes the six operating characteristics of the benchmark interest rate, that is, marketability, measurability, stability and foundation.Controllability and correlation.The third chapter systematically expounds the process of interest rate marketization reform and the practice of benchmark interest rate construction in order to obtain the interest rate system of China, and then, based on the previous studies, the article makes a combing of the interest rate system in China.The purpose of this paper is to make qualitative analysis on the market and testability of Shibor and to find a price benchmark that can compete with Shibor to support the research on the basic characteristics of Shibor.Chapter four studies the performance of Shibor in stability, foundation, controllability and correlation by means of various metrological tools, in which stability is mainly investigated by horizontal comparison and stability test.The basic verification method is Granger causality test, controllability and correlation, based on a simplified commercial bank management decision model and Taylor rule, respectively.Chapter five, based on the theory of interest rate parity, combines the reform of interest rate marketization with the reform of exchange rate system in order to better investigate the interaction between interest rate and exchange rate in the process of RMB exchange rate marketization reform.This paper classifies the exchange rate fluctuations according to the range and uses the Granger causality test to make an empirical analysis.The sixth chapter gives a comprehensive evaluation of the operating characteristics of Shibor: Shibor shows good marketability, measurability and controllability, stability is not the condition of Shibor as the benchmark interest rate.Shibor's basic performance is generally affected by bond repurchase transactions as the main form of short-term financing; Shibor is more affected by inflation than economic growth; and China's financial reform has affected the performance of interest rate parity theory.The article then puts forward a package of suggestions for the construction of Shibor.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5

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