發(fā)布時間：2018-01-31 22:22

  本文關(guān)鍵詞： SHIBOR 基準(zhǔn)利率 格蘭杰因果檢驗 脈沖響應(yīng)函數(shù)　出處：《西南財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：目前,我國正處于利率市場化進(jìn)程中。這場自二十世紀(jì)九十年代開始的改革在經(jīng)歷近二十年的發(fā)展后,使我國的利率市場化取得了較大進(jìn)步,金融改革也取得重大的成就,金融市場的創(chuàng)新產(chǎn)品不斷涌現(xiàn),交易也越來越活躍,央行也逐步放松了對利率的管制。然而,要真正實現(xiàn)利率市場化必須在由眾多利率組成的利率體系中確定一個基準(zhǔn)利率,以此基準(zhǔn)利率為金融市場金融產(chǎn)品定價基準(zhǔn)。 因此,基準(zhǔn)利率作為一個市場利率體系中最核心的利率,其確定對金融市場的發(fā)展有著極為重要的意義。當(dāng)基準(zhǔn)利率有變化時,市場中的其他利率也會相應(yīng)的發(fā)生變化。故中央銀行可以運用宏觀經(jīng)濟調(diào)控方法,通過基準(zhǔn)利率的變化,引導(dǎo)其他市場利率變動,讓市場參與者的行為發(fā)生相應(yīng)的改變,最終達(dá)到央行采取貨幣調(diào)控政策的目的。這種連鎖效應(yīng),使基準(zhǔn)利率在貨幣政策實施過程中發(fā)揮起了中介目標(biāo)的作用。在全球市場上,主要的發(fā)達(dá)國家都建立了自己的基準(zhǔn)利率,如英國設(shè)立了倫敦銀行間同業(yè)拆放利率(LIBOR),新加坡則確定了新加坡銀行間同業(yè)拆放利率(SIBOR)。 我國在2007年推出了上海銀行間同業(yè)拆放利率(簡稱SHIBOR)。其推出的目的是為了“進(jìn)一步推動利率市場化,培育中國貨幣市場基準(zhǔn)利率,提高金融機構(gòu)自主定價的能力,更好的完善貨幣傳導(dǎo)機制。"SHIBOR如果成為市場基準(zhǔn)利率,將是中國利率市場化的關(guān)鍵一步。因此,自SHIBOR推出以來,針對SHIBOR運行的研究就一直不曾間斷。而對于SHIBOR運行以來的實際效果,是否能夠擔(dān)負(fù)起中國市場基準(zhǔn)利率的重任,是一個迫切需要檢驗的問題。 本文以利率市場化為歷史背景,結(jié)合眾多學(xué)者的研究成果,首先對基準(zhǔn)利率的定義和特征、SHIBOR的基本情況進(jìn)行了理論研究。其次在實證分析部分,以SHIBOR的運行情況為主線,首先檢驗了不同期限結(jié)構(gòu)SHIBOR的利率期限結(jié)構(gòu),隨后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)利率的有效性和穩(wěn)定性。通過定性和實證分析,最后得出目前SHBOR作為基準(zhǔn)利率存在的限制因素和不足,并提出對策和建議。
[Abstract]:At present, our country is in the process of interest rate marketization. This reform, which began in 1990s, has made great progress in interest rate marketization after nearly two decades of development. Financial reform has also made significant achievements, financial markets are emerging innovative products, transactions are becoming more and more active, the central bank has gradually relaxed the control of interest rates. In order to realize the real marketization of interest rate, a benchmark interest rate must be determined in the interest rate system composed of many interest rates, which is used as the benchmark for the pricing of financial products in financial markets. Therefore, as the core interest rate in a market interest rate system, the determination of benchmark interest rate is of great significance to the development of financial market. Other interest rates in the market will also change accordingly, so the central bank can use macroeconomic regulation and control methods, through the change of the benchmark interest rate, to guide other market interest rate changes. Let the behavior of market participants change accordingly, and finally achieve the purpose of the central bank to adopt monetary control policy. This kind of chain effect. The benchmark interest rate plays an intermediary role in the implementation of monetary policy. In the global market, major developed countries have established their own benchmark interest rates. For example, the London Interbank offered rate (LIBORR) has been established in the United Kingdom and Singapore has set the Singapore Interbank offered rate (IBORR). In 2007, China launched the Shanghai Interbank offered rate (SHIBORA). Its purpose is to "further promote the marketization of interest rates and cultivate the benchmark interest rate in China's money market." Improve the ability of independent pricing of financial institutions, and better improve the monetary transmission mechanism. "if SHIBOR becomes the benchmark interest rate in the market, it will be a key step in the marketization of interest rate in China." Since the introduction of SHIBOR, the research on SHIBOR operation has been uninterrupted. But for the actual effect of SHIBOR operation. Whether the benchmark interest rate in the Chinese market can be shouldered is an urgent question to be tested. Based on the historical background of interest rate marketization and the research results of many scholars, this paper firstly studies the definition and characteristics of benchmark interest rate and the basic situation of SHIBOR. Secondly, in the empirical analysis part. Taking the operation of SHIBOR as the main line, this paper first tests the term structure of interest rate of SHIBOR with different term structure. Then Granger causality test and impulse response function method are used to test the validity and stability of SHIBOR as the benchmark interest rate of China's money market. Finally, the limitations and shortcomings of SHBOR as the benchmark interest rate are obtained, and the countermeasures and suggestions are put forward.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.5;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 霍天翔;馮宗憲;;基于VAR模型的Shibor渠道貨幣政策傳導(dǎo)機制研究[J];東南大學(xué)學(xué)報(哲學(xué)社會科學(xué)版);2009年04期

2 溫彬;我國利率市場化后基準(zhǔn)利率選擇的實證研究[J];國際金融研究;2004年11期

3 張林;何廣文;;我國貨幣市場基準(zhǔn)利率SHIBOR實證分析及運行評價[J];金融理論與實踐;2009年04期

4 易綱;;中國改革開放三十年的利率市場化進(jìn)程[J];金融研究;2009年01期

5 梁琪;張孝巖;過新偉;;中國金融市場基準(zhǔn)利率的培育——基于構(gòu)建完整基準(zhǔn)收益率曲線的實證分析[J];金融研究;2010年09期

6 武建新;張智勤;;基于基準(zhǔn)利率視角的Shibor和我國國債收益率比較研究[J];金融縱橫;2008年08期

7 單云亮;;SHIBOR作為我國貨幣市場基準(zhǔn)利率的實證分析[J];科技信息;2009年01期

8 胡小芳;;對Shibor運行效應(yīng)的實證分析及未來展望[J];中國市場;2008年09期

9 戴國強;梁福濤;;中國金融市場基準(zhǔn)利率選擇的經(jīng)驗分析[J];世界經(jīng)濟;2006年04期

10 陸維新;;上海銀行間拆放利率的基準(zhǔn)效應(yīng)研究[J];統(tǒng)計與決策;2010年05期

，

本文編號：1480138