【摘要】：本文主要研究的內(nèi)容是在貨幣國(guó)際化背景下,上海銀行間同業(yè)拆借利率期限結(jié)構(gòu)的影響因素。在具體研究方向上,本文選擇了美元倫敦銀行間同業(yè)拆借利率影響因素和上海銀行間同業(yè)拆借利率影響因素進(jìn)行對(duì)比分析。選取了反應(yīng)經(jīng)濟(jì)基本面和資金面的具體指標(biāo),運(yùn)用Nelson-Siegel簡(jiǎn)化模型,建立不帶移動(dòng)平均項(xiàng)的自回歸分布模型,研究美元倫敦銀行間同業(yè)拆借市場(chǎng)和上海銀行間同業(yè)拆借市場(chǎng)利率期限結(jié)構(gòu)的影響因素的分析。得出以下結(jié)論：在美國(guó)市場(chǎng)上,聯(lián)邦基金利率、歐元兌美元的匯率、消費(fèi)者價(jià)格指數(shù)、美國(guó)國(guó)債收益率和廣義貨幣的增加是影響美元倫敦銀行間同業(yè)拆借利率的長(zhǎng)期因素；國(guó)債收益率、消費(fèi)者價(jià)格指數(shù)、聯(lián)邦基金利率是影響美元倫敦銀行間同業(yè)拆借利率的短期因素；道瓊斯工業(yè)指數(shù)、歐元兌美元匯率、聯(lián)邦基金利率是影響利率曲線的中期因素。在我國(guó)市場(chǎng)上,上海銀行間同業(yè)拆借利率的長(zhǎng)期影響因素包括回購(gòu)利率和貸款利率,短期影響因素包括回購(gòu)利率和消費(fèi)者價(jià)格指數(shù),中期影響因素只有回購(gòu)利率。最后進(jìn)行了上海銀行間同業(yè)拆借利率和香港人民幣銀行間同業(yè)拆借利率相關(guān)性分析,檢驗(yàn)結(jié)果顯示上海銀行間同業(yè)拆借利率對(duì)香港人民幣同業(yè)拆借利率產(chǎn)生影響。中美實(shí)證對(duì)比分析說(shuō)明上海銀行間同業(yè)拆借利率對(duì)宏觀經(jīng)濟(jì)因素反應(yīng)較遲鈍,盡管上海銀行間拆借利率對(duì)離岸市場(chǎng)的利率產(chǎn)生影響,但是市場(chǎng)化程度有待進(jìn)一步加強(qiáng),最后本文提出了相關(guān)的政策討論,意在通過(guò)加快上海銀行間同業(yè)拆借利率的市場(chǎng)化改革,提高其對(duì)市場(chǎng)的敏感度,使其成為在岸和離岸金融市場(chǎng)的基準(zhǔn)利率
[Abstract]:The main content of this paper is the influencing factors of the term structure of Shanghai interbank offered rate under the background of currency internationalization. In the specific research direction, this paper selects the influencing factors of US dollar London interbank lending rate and Shanghai interbank offered rate for comparative analysis. The specific indexes reflecting economic fundamentals and capital surface are selected, and the autoregression distribution model without moving average term is established by using Nelson-Siegel simplified model, and the influencing factors of interest rate term structure in US dollar London interbank lending market and Shanghai interbank lending market are analyzed. The following conclusions are drawn: in the United States market, the federal funds rate, the exchange rate of the euro against the US dollar, the consumer price index, the yield on US Treasuries and the increase in the broad currency are the long-term factors affecting the US dollar interbank lending rate, while the Treasury bond yield, the consumer price index and the federal funds rate are the short-term factors affecting the US dollar interbank lending rate. The Dow Jones Industrial average, the euro against the dollar, and the federal funds rate are the medium-term factors that affect the interest rate curve. In the Chinese market, the long-term influencing factors of Shanghai interbank lending rate include repurchase rate and loan interest rate, the short-term influencing factors include repurchase rate and consumer price index, and the medium-term influencing factor is only repurchase rate. Finally, the correlation analysis between Shanghai Interbank offered rate and Hong Kong RMB Interbank offered rate is carried out. The test results show that Shanghai Interbank offered rate has an impact on the RMB interbank offered rate in Hong Kong. The empirical comparative analysis between China and the United States shows that the Shanghai interbank lending rate is slow to respond to macroeconomic factors. Although the Shanghai interbank lending rate has an impact on the interest rate in the offshore market, the degree of marketization needs to be further strengthened. Finally, this paper puts forward relevant policy discussions in order to improve its sensitivity to the market by speeding up the marketization reform of the Shanghai interbank lending rate. Make it a benchmark interest rate for onshore and offshore financial markets
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F822.0;F224

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