本文關(guān)鍵詞：上海銀行間同業(yè)拆放利率（Shibor）作為我國(guó)基準(zhǔn)利率的研究　出處：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 基準(zhǔn)利率 利率市場(chǎng)化 Shibor 基準(zhǔn)性

【摘要】：基準(zhǔn)利率在貨幣市場(chǎng)利率體系中起主導(dǎo)作用,是最具有代表性的利率。從長(zhǎng)期來(lái)看,我國(guó)推出Shibor作為基準(zhǔn)利率是我國(guó)利率市場(chǎng)化進(jìn)程中的關(guān)鍵一步,是社會(huì)主義市場(chǎng)經(jīng)濟(jì)的內(nèi)在要求,也是我國(guó)貨幣政策調(diào)控方式由數(shù)量型向價(jià)格型轉(zhuǎn)變的支點(diǎn)。基準(zhǔn)利率是最基本、最市場(chǎng)化的資金價(jià)格,是整個(gè)金融市場(chǎng)的紐帶,也是提高我國(guó)商業(yè)銀行等金融機(jī)構(gòu)競(jìng)爭(zhēng)力的的必要措施。因此,在我國(guó)目前的特殊國(guó)情和市場(chǎng)經(jīng)濟(jì)下,培育和發(fā)展一個(gè)成熟的基準(zhǔn)利率,確實(shí)顯得非常迫切和具有必要性。 在我國(guó)利率市場(chǎng)化改革的過(guò)程中,曾經(jīng)嘗試把國(guó)債回購(gòu)利率、銀行間同業(yè)拆借利率等好幾種作為我國(guó)的基準(zhǔn)利率,但由于種種原因,都未能成功實(shí)踐。為了進(jìn)一步推進(jìn)我國(guó)的市場(chǎng)化進(jìn)程,央行在2007年1月4日正式推出“上海銀行間同業(yè)拆放利率”,簡(jiǎn)稱(chēng)為Shibor,當(dāng)作貨幣市場(chǎng)上的基準(zhǔn)利率進(jìn)行培育和完善,為了避免重蹈覆轍、吸取教訓(xùn),迫切需要檢驗(yàn)Shibor自運(yùn)行以來(lái)的實(shí)際效果,對(duì)Shibor能否作為我國(guó)貨幣市場(chǎng)上真正的基準(zhǔn)利率進(jìn)行系統(tǒng)的研究。 1.本文研究思路與目的 本文的研究思路：首先,在回顧了國(guó)內(nèi)外對(duì)基準(zhǔn)利率的研究基礎(chǔ)上,對(duì)基準(zhǔn)利率理論進(jìn)行綜述,為下文的利率市場(chǎng)化進(jìn)程、基準(zhǔn)利率選擇和基準(zhǔn)性實(shí)證檢驗(yàn)做好理論準(zhǔn)備工作;然后,簡(jiǎn)述了我國(guó)基準(zhǔn)利率的選擇及Shibor現(xiàn)狀,介紹了Shibor的運(yùn)行機(jī)制,運(yùn)用歸納總結(jié)、對(duì)比分析的方法對(duì)Shibor進(jìn)行可行性分析。最后,運(yùn)用多種計(jì)量和統(tǒng)計(jì)方法分別對(duì)市場(chǎng)性、基礎(chǔ)性、相關(guān)性和穩(wěn)定性進(jìn)行了實(shí)證檢驗(yàn),再結(jié)合理論分析和實(shí)證檢驗(yàn)的結(jié)果為Shibor的完善提出建議。 本文的研究目的：根據(jù)本文的內(nèi)容,希望本文能夠解決以下幾個(gè)問(wèn)題：(1)選擇基準(zhǔn)利率應(yīng)該參考哪些標(biāo)準(zhǔn)?基準(zhǔn)利率的內(nèi)涵有哪些?(2)Shibor的基準(zhǔn)性如何,能否擔(dān)當(dāng)我國(guó)基準(zhǔn)利率的重任?其中,這是最主要目的。(3)Shibor的運(yùn)行情況如何?還有哪些不足?如何改進(jìn)? 2.本文研究?jī)?nèi)容 本文以我國(guó)的利率市場(chǎng)化進(jìn)程為歷史背景,在前人對(duì)基準(zhǔn)利率研究的基礎(chǔ)之上,以Shibor的基準(zhǔn)性為主線(xiàn),一共分為七章,主要研究?jī)?nèi)容如下： 第一章：緒論。在分析選題背景與研究意義的基礎(chǔ)上明確研究目的,介紹本文研究思路,概述研究?jī)?nèi)容框架后,點(diǎn)明本文的主要貢獻(xiàn)和不足。 第二章：國(guó)內(nèi)外文獻(xiàn)綜述。首先,回顧了國(guó)外關(guān)于基準(zhǔn)利率的研究；其次,,總結(jié)了國(guó)內(nèi)近些年對(duì)基準(zhǔn)利率的探索與研究；最后,對(duì)國(guó)內(nèi)外的文獻(xiàn)綜述進(jìn)行了述評(píng),指出了值得學(xué)習(xí)借鑒的地方以及一些不足。 第三章：基準(zhǔn)利率理論綜述。在前人的研究基礎(chǔ)上歸納總結(jié)了基準(zhǔn)利率的定義、一般特征和作用,并結(jié)合我國(guó)的實(shí)際情況,表達(dá)了我國(guó)確定基準(zhǔn)利率的必要性。概述了選擇基準(zhǔn)利率時(shí)應(yīng)該遵循的原則,在這些基礎(chǔ)上,總結(jié)了發(fā)達(dá)國(guó)家或地區(qū)幾個(gè)較為成熟的基準(zhǔn)利率及特點(diǎn)。 第四章：我國(guó)基準(zhǔn)利率的選擇及Shibor現(xiàn)狀。首先,運(yùn)用比較分析的方法總結(jié)了我國(guó)幾個(gè)重要基準(zhǔn)利率候選利率的優(yōu)缺點(diǎn)；其次,簡(jiǎn)述了我國(guó)利率市場(chǎng)化和基準(zhǔn)利率的探索過(guò)程,運(yùn)用歸納總結(jié)、對(duì)比分析的方法從理論上分析得到Shibor優(yōu)于其它利率成為我國(guó)的基準(zhǔn)利率；再次,簡(jiǎn)要介紹的Shibor的運(yùn)行機(jī)制及Shibor現(xiàn)狀；最后,對(duì)Shibor作為我國(guó)基準(zhǔn)利率的可行性進(jìn)行了分析。 第五章：研究方法介紹。對(duì)相關(guān)性分析、ADF檢驗(yàn)、Granger因果檢驗(yàn)、VAR模型、脈沖響應(yīng)的原理和特性做了簡(jiǎn)要介紹,為下文的實(shí)證檢驗(yàn)做好準(zhǔn)備。 第六章：Shibor作為我國(guó)基準(zhǔn)利率的實(shí)證檢驗(yàn),是本文最為重要的部分。分別對(duì)Shibor按照市場(chǎng)性、基礎(chǔ)性、相關(guān)性、穩(wěn)定性進(jìn)行了實(shí)證檢驗(yàn),其中,相關(guān)性檢驗(yàn)又分為三個(gè)部分即Shibor自身的相關(guān)性、與貨幣政策代表變量的相關(guān)性、與主要宏觀經(jīng)濟(jì)變量的相關(guān)性。運(yùn)用了多種統(tǒng)計(jì)和計(jì)量檢驗(yàn)方法,如相關(guān)性分析、Granger因果檢驗(yàn)、VAR模型、脈沖響應(yīng),環(huán)環(huán)相扣,層層遞進(jìn)。 第七章：結(jié)語(yǔ)。得出的結(jié)論是：Shibor基本上能夠成為我國(guó)貨幣市場(chǎng)的基準(zhǔn)利率,但依然存在著一些不足。然后根據(jù)Shibor的困難和不足,針對(duì)性地提出了發(fā)展和完善的建議,總結(jié)本文研究不足之處及展望。 3.主要研究結(jié)論 本文的研究方法的最大特色就是理論分析與實(shí)證檢驗(yàn)相結(jié)合,在梳理完理論分析的基礎(chǔ)上再運(yùn)用歷史數(shù)據(jù)進(jìn)行實(shí)證檢驗(yàn),使文章有理有據(jù),具有說(shuō)服力。在理論分析中,運(yùn)用的方法有歸納總結(jié)、對(duì)比分析；在實(shí)證檢驗(yàn)中,運(yùn)用了較多的計(jì)量方法,主要是相關(guān)性檢驗(yàn)、Granger檢驗(yàn)、VAR模型以及脈沖響應(yīng)函數(shù)等檢驗(yàn)方法,對(duì)各類(lèi)數(shù)據(jù)圍繞Shibor的基準(zhǔn)性進(jìn)行實(shí)證研究。最后,得到的結(jié)論有以下2個(gè)方面： (1)Shibor基本上能作為我國(guó)貨幣市場(chǎng)上的基準(zhǔn)利率,原因如下：①我國(guó)建立基準(zhǔn)利率的必要性。基準(zhǔn)利率是我國(guó)利率市場(chǎng)化進(jìn)程中的一個(gè)關(guān)鍵步,轉(zhuǎn)變貨幣政策的調(diào)控方式需要這樣的一個(gè)利率。②發(fā)達(dá)國(guó)家經(jīng)驗(yàn)的啟示。很多西方的發(fā)達(dá)國(guó)家或地區(qū)選擇同業(yè)拆借利率作為本國(guó)的基準(zhǔn)利率。③理論分析的比較。在我國(guó)的利率市場(chǎng)化進(jìn)程中,前前后后選擇出了好幾種利率來(lái)作為基準(zhǔn)利率參考指標(biāo),但它們只具備基準(zhǔn)利率的部分屬性,均未獲得成功。Shibor在很大程度上彌補(bǔ)了它們的缺點(diǎn)。④實(shí)證檢驗(yàn)的判斷。在市場(chǎng)性方面,從報(bào)價(jià)行和市場(chǎng)參與主體來(lái)看,總體上還較為優(yōu)秀。在基礎(chǔ)性方面,Shibor能夠?qū)κ袌?chǎng)上其它利率有著基礎(chǔ)性和成因性的影響。在相關(guān)性方面,Shibor自身品種的相關(guān)性非常高,期限結(jié)構(gòu)很合理；與主要宏觀經(jīng)濟(jì)變量之間的相關(guān)方向是符合經(jīng)濟(jì)理論意義的。在穩(wěn)定性檢驗(yàn)中,Shibor受外界干擾較小在收到小幅影響后能夠在較短時(shí)期內(nèi)回復(fù)到平穩(wěn)狀態(tài)。因此,Shibor的四個(gè)基準(zhǔn)屬性均較好。 (2)Shibor依然有較多不足：①報(bào)價(jià)質(zhì)量和真實(shí)性不夠。同發(fā)達(dá)國(guó)家的銀行相比,我國(guó)銀行的專(zhuān)業(yè)水平和道德水平還存在較大的發(fā)展空間。②期限品種少、交易量較小。我國(guó)的同業(yè)拆借交易量主要集中在短期品種上,限制了中場(chǎng)期限品種的發(fā)展。③與貨幣政策之間關(guān)系不強(qiáng)。我國(guó)是市場(chǎng)經(jīng)濟(jì),貨幣政策也需從數(shù)量型轉(zhuǎn)向價(jià)格型,但是通過(guò)檢驗(yàn)的結(jié)果來(lái)看,效果還不是很好。④對(duì)經(jīng)濟(jì)金融的指示作用不夠突出。Shibor與固定資產(chǎn)投資總額和社會(huì)消費(fèi)品零售總額的相關(guān)程度不是很高,Shibor對(duì)消費(fèi)和投資的指示作用還不多。 4.本文主要貢獻(xiàn) 縱觀全文,本文具有以下幾方面的貢獻(xiàn)：①綜合運(yùn)用歸納總結(jié)、對(duì)比分析、理論分析與實(shí)證檢驗(yàn)相結(jié)合的方法,使文章層層遞理有據(jù),論證的可信度較高。②本文將對(duì)Shibor進(jìn)行系統(tǒng)的實(shí)證檢驗(yàn),并從三個(gè)方面去檢驗(yàn)Shibor的相關(guān)性。③在一些學(xué)者的定量分析中,論證方法較為簡(jiǎn)單和粗糙,對(duì)一些宏觀經(jīng)濟(jì)數(shù)據(jù)沒(méi)有進(jìn)行預(yù)處理,對(duì)一些計(jì)量方法的使用也存在不足,本文將針對(duì)這些不足進(jìn)行彌補(bǔ)。④運(yùn)用更多更新的Shibor的數(shù)據(jù),使其實(shí)證結(jié)果更為準(zhǔn)確和具有說(shuō)服力,讓人們能夠更加準(zhǔn)確的了解Shibor的運(yùn)行效果。
[Abstract]:The benchmark interest rate plays a dominant role in the money market interest rate system, is the most representative of the interest rate. In the long term, China's launch of Shibor as the benchmark interest rate is a key step in the process of China's market-oriented interest rate, is the inherent requirement of socialist market economy, but also change the fulcrum of China's monetary policy regulation from quantity to the price type. The benchmark interest rate is the most basic, the market price of the funds, is the link of the whole financial market, but also the necessary measures to improve the competitiveness of China's commercial banks and other financial institutions. Therefore, in the present situation and the market economy, the cultivation and development of a mature benchmark interest rate. It is very urgent and necessary.
In the process of China's market-oriented interest rate reform, tried to bond repurchase rate, interbank interest rate etc. several as China's benchmark interest rate, but due to various reasons, did not succeed in practice. In order to further promote the marketization process in China, the central bank in January 4, 2007 officially launched the Shanghai interbank offered put the interest rate ", referred to as Shibor, to cultivate and perfect as the benchmark interest rate on the currency market, in order to avoid making the same mistakes, lessons learned, the urgent need to check the actual effect of Shibor since the operation of Shibor, can be used as China's currency market real benchmark interest rate system research.
1. the thinking and purpose of this paper
The idea of this study: first, reviews the domestic and foreign research foundation of the benchmark interest rate, the benchmark interest rate to summarize the theory for the marketization of interest rates below the benchmark interest rate, benchmark selection and empirical test of the theoretical preparation work; then, the choice and the status quo of Shibor benchmark interest rate in China, introduced. The operating mechanism of Shibor, the use of the summary, comparative analysis method to analyze the feasibility of the Shibor. Finally, using a variety of measurement and statistical methods were used to the market, basic, correlation and stability of empirical test, combined with theoretical analysis and empirical test results to put forward suggestions for the perfection of Shibor.
The purpose of this paper is: according to the contents of this article, I hope this paper can solve the following problems: (1) choose the benchmark interest rate should refer to what standards? What is the connotation of the benchmark interest rate? (2) how to reference Shibor, can assume responsibility of benchmark interest rate in China? Among them, this is the main purpose. (3 how to run Shibor)? Is there any problem? How to improve?
2. the content of this paper
Based on the historical background of China's interest rate marketization process, based on previous studies of benchmark interest rates, Shibor's benchmark is divided into seven chapters.
The first chapter is the introduction. Based on the analysis of the background and significance of the research, we clarify the purpose of the research, introduce the research ideas of this paper, and summarize the main contributions and shortcomings of this article after summarizing the content framework.
The second chapter: literature review. Firstly, reviews the research on the benchmark interest rate in foreign countries; secondly, and summarizes the exploration and Research on the benchmark interest rate of recent years; finally, the literature review at home and abroad are reviewed, pointed out that it is worth to learn from the place and some shortcomings.
The third chapter is literature review of the benchmark interest rate theory. On the basis of previous studies, summarized the definition of the benchmark interest rate, and the role of the general characteristics, combined with the actual situation of our country, expressed China's necessity to determine the benchmark interest rate. The choice of the benchmark interest rate should follow the principles, on the basis of summarizing. The developed countries or regions of several relatively mature and characteristics of the benchmark interest rate.
The fourth chapter: the selection and Shibor status of China's benchmark interest rate. First of all, by the method of comparative analysis, summarizes the advantages and disadvantages of China's benchmark interest rates several important candidate; secondly, to explore the process of China's market-oriented interest rate and the benchmark interest rate with the use of the summary of the method of comparative analysis from theory analysis Shibor is better than that of other interest rates become the benchmark interest rate in China; thirdly, the operation mechanism and the status quo of Shibor Shibor are introduced; finally, the feasibility of Shibor as the benchmark interest rate in China is analyzed.
The fifth chapter is the introduction of research methods. The correlation analysis, ADF test, Granger causality test, VAR model, impulse response principle and characteristics are briefly introduced, so as to prepare for the following empirical tests.
The sixth chapter: Shibor as an empirical test of China's benchmark interest rate, is the most important part of this paper. The Shibor according to the market, basic, correlation, stability of the empirical test, the correlation test is divided into three parts: correlation of Shibor itself, and the correlation between monetary policy variables on behalf of the association with the main macroeconomic variables. Using the method of testing a variety of statistics and measurement, such as correlation analysis, Granger causality test, VAR model, impulse response, interlocking, step by step.
The seventh chapter is the conclusion. The conclusion is: Shibor basically can become China's money market benchmark interest rate, but there are still some shortcomings. Then according to the Shibor's difficulties and shortcomings, puts forward the development and improvement suggestions, summing up and prospect the shortcomings of this study.
3. main research conclusions
The biggest characteristic of this research method is the combination of theoretical analysis and empirical tests, the historical data of the empirical test using based on combing theory analysis, makes this article convincing. In the theoretical analysis, the use of the method are summarized, comparative analysis; in the empirical test, using econometric method more, mainly is the correlation test, Granger test, VAR model and impulse response function test method, the empirical research on the benchmark data on Shibor. Finally, the conclusions are the following 2 aspects:
(1) Shibor basically can be used as the benchmark interest rate, China's currency market for the following reasons: the necessity of establishing China's benchmark interest rate. The benchmark interest rate is a key step in the process of marketization of interest rates in the regulation of monetary policy changes to a rate that the experience of developed countries. Enlightenment. Many western developed countries or regions to choose the interbank interest rate as the benchmark interest rate in our country. The comparison of the theoretical analysis. In the process of marketization of interest rate in China, and selected several interest rates as a reference index to the benchmark interest rate, but they only have some attributes of the benchmark interest rate, were not successful.Shibor to make up for their shortcomings to a great extent. The empirical judgment. In the market aspect, from the quotation and market participants, on the whole is relatively good. On the basis of sex, Shibor There are enough influence and cause based on other interest rates on the market. In the correlation, correlation between Shibor own varieties is very high, the term structure is reasonable; the relevant direction between the main macroeconomic variables is consistent with the economic theory. In the stability test, Shibor less interference in receiving slightly influence can return to the steady state in a short period of time. Therefore, four benchmark properties of Shibor are better.
(2) Shibor still has many deficiencies: the quality and authenticity of the quotation is not enough. Compared with the developed countries of the bank, Bank of China's professional level and moral level there is a large space for development. The term of less varieties, small volume of transaction. The interbank trading volume in our country mainly in the short-term varieties. Limit the development of maturity. The relationship between the midfield and the monetary policy is not strong. China is a market economy, monetary policy will need to shift from quantity price, but through the test results, the effect is not very good. The degree of correlation indicates the effect of the financial is not enough to highlight the.Shibor and total investment in fixed assets and the total retail sales of consumer goods is not very high, indicating the effect of Shibor on consumption and investment is not enough.
4. the main contribution of this article
Throughout the paper, this paper has the following contributions: comprehensive use of the summary, comparative analysis, theoretical analysis and empirical test, this paper makes a presentation layer according to the high reliability, the argument. This paper will makes an empirical test on the Shibor system, and from three aspects to examine the correlation between Shibor 3. In the quantitative analysis of some scholars, demonstration method is relatively simple and rough, some of the macroeconomic data without pretreatment, the use of some measurement methods are also problems, this paper will make up for these deficiencies. Using more updated Shibor data, make the results more accurate and persuasive force, so that people can more accurately understand the operation of the Shibor effect.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.33;F832.5;F224

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