發(fā)布時間：2018-12-09 13:44

【摘要】：我國的利率市場化開始于20世紀(jì)90年代,經(jīng)過20多年的發(fā)展已經(jīng)取得了長足的進(jìn)步,目前只剩下存款利率沒有完全放開。而要真正實現(xiàn)利率市場化,最關(guān)鍵的就是要形成貨幣市場基準(zhǔn)利率。為了推進(jìn)利率市場化進(jìn)程,為了促進(jìn)我國金融市場的發(fā)展,為了培育我國貨幣市場基準(zhǔn)利率,在借鑒國際經(jīng)驗的基礎(chǔ)上,2007年我國推出了上海銀行間同業(yè)拆放利率(Shibor)。Shibor利率作為我國的基準(zhǔn)利率推出,肩負(fù)著我國貨幣市場基準(zhǔn)利率體系建設(shè)的重大使命,并且Shibor已經(jīng)推出六年之久,是否能夠或者已經(jīng)充當(dāng)我國貨幣市場的基準(zhǔn)利率,這是個值得關(guān)注和檢驗的問題。 文章在理論分析的基礎(chǔ)上,闡述了Shibor作為基準(zhǔn)利率的有效性而應(yīng)該具備的五個基本特征：市場性、相關(guān)性、基準(zhǔn)性、貨幣政策傳導(dǎo)性、穩(wěn)定性。然后以利率市場化為背景,分析了我國利率市場化改革的歷程及取得的成效。同時說明構(gòu)建基準(zhǔn)利率體系的重要性。對我國貨幣市場其他利率的優(yōu)缺點及Shibor運(yùn)行以來的基本情況進(jìn)行了分析與闡述。文章重點通過對Shibor與其他利率進(jìn)行比較分析,運(yùn)用VAR模型,具體采用平穩(wěn)性檢驗、協(xié)整檢驗、格蘭杰因果檢驗、脈沖響應(yīng)函數(shù)等方法來檢驗Shibor是否已經(jīng)具備了基準(zhǔn)利率的五個基本特征,從而驗證Shibor作為基準(zhǔn)利率的有效性。實證結(jié)果表明,Shibor已經(jīng)基本具備了貨幣市場基準(zhǔn)利率的基本特征,但由于內(nèi)外因素的制約,影響了其基準(zhǔn)利率作用的發(fā)揮,并對這些存在的問題和制約因素提出了一些針對性的建議,由此來提高Shibor作為基準(zhǔn)利率的有效性。
[Abstract]:The marketization of interest rate in our country began in the 1990s. After more than 20 years of development, we have made great progress, but only the deposit interest rate has not been completely liberalized. In order to realize the real marketization of interest rate, the most important thing is to form the benchmark interest rate in the money market. In order to promote the process of interest rate marketization, to promote the development of our financial market, to cultivate the benchmark interest rate of our country's money market, and on the basis of drawing lessons from international experience, In 2007, China launched the Shanghai Interbank offered rate (Shibor). Shibor) as the benchmark interest rate in China, which shoulders the important mission of the construction of the benchmark interest rate system in China's money market, and Shibor has been launched for six years. Whether we can or have acted as the benchmark interest rate of our country's money market is a question worthy of attention and test. On the basis of theoretical analysis, this paper expounds five basic characteristics that Shibor should possess as the validity of benchmark interest rate: market, relativity, benchmark, monetary policy conduction and stability. Then, based on the background of interest rate marketization, the paper analyzes the course and achievements of interest rate marketization reform in China. At the same time, it explains the importance of constructing the benchmark interest rate system. The advantages and disadvantages of other interest rates in China's money market and the basic situation since the operation of Shibor are analyzed and expounded. This paper focuses on the comparative analysis of Shibor and other interest rates, the use of VAR model, the specific use of stationary test, cointegration test, Granger causality test, The impulse response function is used to test whether the Shibor has five basic characteristics of the benchmark interest rate, so as to verify the validity of Shibor as the benchmark interest rate. The empirical results show that Shibor has basically possessed the basic characteristics of the benchmark interest rate in the money market, but the effect of the benchmark interest rate has been affected by the restriction of internal and external factors. Some suggestions are put forward to improve the effectiveness of Shibor as the benchmark interest rate.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F822.0

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