本文關(guān)鍵詞： SHIBOR 基準(zhǔn)利率 貨幣市場 有效性　出處：《蘭州商學(xué)院》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：實現(xiàn)利率市場化是我國深化金融體制改革的重要目標(biāo)，利率市場化的重點是如何確定與選擇市場化基準(zhǔn)利率的問題。目前，我國是由法定利率和市場利率組成的雙軌制基準(zhǔn)利率結(jié)構(gòu)，雖然已經(jīng)實行了利率市場化，但以基準(zhǔn)利率為核心的市場化利率體系還有待于進(jìn)一步完善。SHIBOR推出至現(xiàn)在已有四年多的時間，但是，學(xué)者們對于SHIBOR能否作為我國貨幣市場基準(zhǔn)利率仍在進(jìn)行大量的研究。而眾多研究成果表明，SHIBOR較貨幣市場其他利率更具優(yōu)越性，已初步具備了作為貨幣市場基準(zhǔn)利率的條件。因此，，研究SHIBOR推出幾年來運行效果探討SHIBOR作為我國貨幣市場基準(zhǔn)利率的有效性仍然具有重要的意義。 文章在既有研究成果的基礎(chǔ)上，總結(jié)SHIBOR的有效性衡量標(biāo)準(zhǔn)。以有效性衡量標(biāo)準(zhǔn)為主線，采用格蘭杰因果檢驗和脈沖響應(yīng)函數(shù)法來檢驗SHIBOR作為我國貨幣市場基準(zhǔn)利率的有效性，并進(jìn)一步檢驗不同期限結(jié)構(gòu)SHIBOR的有效性，最后針對SHIBOR有效性檢驗結(jié)果提出對策和建議。 通過對SHIBOR有效性分析得出， SHIBOR已初步滿足作為貨幣市場基準(zhǔn)利率的市場性、基礎(chǔ)性、合理的期限結(jié)構(gòu)、相關(guān)性、可控性、穩(wěn)定性的條件。同時，通過對不同期限結(jié)構(gòu)SHIBOR的有效性進(jìn)行檢驗得出，短端SHIBOR較長端SHIBOR更具優(yōu)越性，長端SHIBOR基準(zhǔn)性還有待于加強(qiáng)。但是，由于SHIBOR自身存在因素以及外部因素的制約，其作為我國貨幣市場基準(zhǔn)利率還有待于進(jìn)一步發(fā)展和完善。
[Abstract]:Realizing the marketization of interest rate is the important target of deepening the reform of financial system in our country. The key point of interest rate marketization is how to determine and select the benchmark interest rate of marketization. China is a two-track benchmark interest rate structure composed of legal interest rates and market interest rates, although interest rates have been marketized. However, the market-oriented interest rate system with the benchmark interest rate as the core has yet to be further improved. SHIBOR has been introduced for more than four years, but, Scholars are still doing a lot of research on whether SHIBOR can be used as the benchmark interest rate of money market in our country, and many research results show that SHIBOR is superior to other interest rates in money market. Therefore, it is still of great significance to study the effectiveness of SHIBOR as the benchmark interest rate in China's money market in the past few years. On the basis of the existing research results, this paper summarizes the effectiveness measurement standard of SHIBOR. Taking the effectiveness measurement standard as the main line, the Granger causality test and impulse response function method are used to test the effectiveness of SHIBOR as the benchmark interest rate in China's money market. Furthermore, the validity of SHIBOR with different term structure is tested. Finally, the countermeasures and suggestions are put forward for the test results of SHIBOR validity. By analyzing the validity of SHIBOR, it is concluded that SHIBOR has satisfied the conditions of marketability, basic and reasonable term structure, relevance, controllability and stability as the benchmark interest rate of money market. By testing the validity of SHIBOR with different term structure, it is found that short end SHIBOR is superior to long end SHIBOR, and the benchmark of long end SHIBOR still needs to be strengthened. However, because of the existence of SHIBOR itself and the restriction of external factors, the short end SHIBOR is superior to the long end SHIBOR. As the benchmark interest rate of China's money market, it still needs to be further developed and improved.
【學(xué)位授予單位】：蘭州商學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F822.0;F224

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