Shibor作为我国货币市场基准利率的有效性分析

发布时间：2018-08-27 06:29

【摘要】：我国的利率市场化进程起始于1996年,现如今,债券市场利率、贷款利率等都已实现市场化,存款利率上限的放开将是我国利率市场化改革的最后一步,而建立有效的基准利率是货币当局放开存款利率管制的前提和条件。2007年1月4日,中央人民银行正式推出上海银行间同业拆借利率Shibor,以期将其培育成为我国货币市场的基准利率,从而促进利率市场化改革,并实现我国货币政策从数量型调控向价格型调控的转变。有效的基准利率作为金融市场利率体系的核心,不仅迅速反映货币市场资金的供给与需求,还为其他利率与金融产品提供定价基准,因此,基准利率的建立对于我国金融市场的改革有着重大意义。目前Shibor已正式运行将近8年,其运行情况如何?是否已具备基准利率的属性?存在哪些不足?该如何改进?本文将通过定性分析与定量分析依次回答这些问题。首先,文章基于利率决定理论、对国际基准利率的经验分析以及国内的研究,总结出有效的基准利率所需具备的属性：市场性、基础性、经济传导性、波动合理性。其次,介绍我国货币市场上具有部分基准属性的利率：一年期存款利率、央行票据发行利率、银行间债券质押式回购利率以及全国银行间同业拆借利率,分析这四种利率的缺陷,讨论其无法作为基准利率的原因,进而引导出Shibor,具体介绍其运行机制,从理论上的合理性和实际上的可操作性分析Shibor作为我国基准利率的可行性。接着,通过实证分析,从Shibor的市场性、基础性、经济传导性以及波动合理性四个方面分析其作为我国货币市场基准利率的有效性。实证结果表明Shibor已经在我国货币市场中确立了基准利率的地位,其具备良好的市场性和基础性,但是仍然存在很多不足：以Shibor作为基准利率的金融产品逐渐增多,但是所占比例还有很大的上升空间；同业拆借市场的交易规模与债券市场相比差距仍然较大,从而影响Shibor的有效性；Shibor的经济传导性表明Shibor由货币政策到宏观经济的路径并不畅通,需要改进；Shibor的波动比较灵敏,能够及时反映出金融市场资金的供求状况,但是面对新股发行时,市场表现出较强的非理性。最后,文章从Shibor自身的运行机制与运行市场的环境两个角度分析Shibor的制约因素,并且提出增强Shibor有效性的措施,即：健全Shibor的报价机制、提高报价行的定价能力、增加同业拆借市场参与主体、深化利率市场化改革以及完善利率传导机制。
[Abstract]:The process of interest rate marketization in our country began in 1996. Now, the interest rate of bond market and loan interest rate have all been marketized. The liberalization of the upper limit of deposit interest rate will be the last step of the marketization reform of interest rate in our country. The establishment of an effective benchmark interest rate is the prerequisite and condition for the monetary authorities to liberalize the interest rate on deposits. On January 4, 2007, The people's Bank of China officially launched the Shanghai Interbank offered rate (Shibor,) in order to cultivate it as the benchmark interest rate in China's money market, thus promoting the reform of interest rate marketization. And realize the change of monetary policy from quantitative control to price control. As the core of the interest rate system of financial market, effective benchmark interest rate not only reflects the supply and demand of money market funds, but also provides pricing benchmark for other interest rates and financial products. The establishment of benchmark interest rate is of great significance to the reform of our financial market. At present, Shibor has been officially running for nearly 8 years. How is its operation? Do you have the properties of the benchmark interest rate? What are the shortcomings? How to improve? This paper will answer these questions by qualitative analysis and quantitative analysis. Firstly, based on the theory of interest rate determination, the empirical analysis of international benchmark interest rate and the domestic research, the paper summarizes the attributes of effective benchmark interest rate: market, basic, economic conductivity and fluctuation rationality. Secondly, the paper introduces some benchmark interest rates in China's money market: one-year deposit rate, central bank bill issuance rate, interbank bond pledge repurchase rate and national interbank lending rate. This paper analyzes the defects of these four interest rates, discusses the reasons why they can not be used as benchmark interest rates, and then leads Shibor, to introduce its operating mechanism in detail, and analyzes the feasibility of Shibor as a benchmark interest rate in China from the theoretical rationality and practical maneuverability. Then, through the empirical analysis, this paper analyzes the validity of Shibor as the benchmark interest rate of our country's money market from four aspects: marketability, foundation, economic conductivity and fluctuation rationality. The empirical results show that Shibor has established the status of benchmark interest rate in China's money market, which has good marketability and foundation, but there are still many shortcomings: the number of financial products with Shibor as the benchmark interest rate is increasing gradually. However, there is still a lot of room to rise in the proportion of the interbank lending market. The trading scale of the interbank lending market is still quite different from that of the bond market, which affects the effectiveness of Shibor. The economic conductivity of Shibor indicates that the path from monetary policy to macro-economy is not smooth, and the fluctuation of Shibor needs to be improved, which can reflect the supply and demand of funds in the financial market in time, but in the face of new issue, The market shows strong irrationality. Finally, this paper analyzes the restrictive factors of Shibor from the aspects of its own operating mechanism and operating market environment, and puts forward some measures to enhance the effectiveness of Shibor, that is, to perfect the pricing mechanism of Shibor, and to improve the pricing ability of quoting banks. Increase interbank lending market participants, deepen interest rate marketization reform and improve the interest rate transmission mechanism.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5

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