本文選題：基準(zhǔn)利率 + 同業(yè)拆借利率��； 參考：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：我國(guó)自1996年正式開始利率市場(chǎng)化改革,發(fā)展至今取得了一定成效,金融體制改革也取得了較大進(jìn)步,金融市場(chǎng)不斷發(fā)展完善,金融產(chǎn)品不斷創(chuàng)新?lián)Q代,各類金融交易規(guī)模不斷擴(kuò)大,金融發(fā)展呈現(xiàn)一片欣欣向榮之勢(shì)。伴隨著我國(guó)市場(chǎng)經(jīng)濟(jì)的發(fā)展不斷取得進(jìn)步,貨幣當(dāng)局也逐步放開了對(duì)利率的管制,促進(jìn)利率市場(chǎng)化發(fā)展不斷深化。但若要實(shí)現(xiàn)真正的利率市場(chǎng)化,確定一個(gè)完全市場(chǎng)化且有效的基準(zhǔn)利率便成為了亟需解決的關(guān)鍵性問(wèn)題。作為市場(chǎng)化利率核心的基準(zhǔn)利率,其對(duì)于我國(guó)的金融體制改革及利率市場(chǎng)化有著重大而深遠(yuǎn)的意義,具體體現(xiàn)在以下幾個(gè)方面：第一,基準(zhǔn)利率為實(shí)現(xiàn)存貸款利率市場(chǎng)化創(chuàng)造條件,是我國(guó)全面實(shí)現(xiàn)利率市場(chǎng)化的前提和核心環(huán)節(jié)；第二,基準(zhǔn)利率為利率成為貨幣政策傳導(dǎo)機(jī)制提供了操作對(duì)象,推動(dòng)我國(guó)宏觀調(diào)控手段由數(shù)量型向價(jià)格型轉(zhuǎn)變。第三,基準(zhǔn)利率為其他利率市場(chǎng)化的順利進(jìn)行提供指導(dǎo),真實(shí)地反映市場(chǎng)資金供需,指導(dǎo)各種金融產(chǎn)品正確合理的定價(jià),豐富市場(chǎng)交易品種,促進(jìn)金融市場(chǎng)全面發(fā)展。所以,我國(guó)若要順利的進(jìn)行金融深化改革,就需要按部就班,建立一個(gè)適合我國(guó)金融市場(chǎng)發(fā)展要求的基準(zhǔn)利率,形成一個(gè)有效的基準(zhǔn)利率體系,這對(duì)于促進(jìn)我國(guó)經(jīng)濟(jì)轉(zhuǎn)型中的金融改革也具有非常重要的意義。然而由于我國(guó)市場(chǎng)化總體水平還不高,基準(zhǔn)利率的生成和作用機(jī)制尚不完善,這便極大阻礙了基準(zhǔn)利率在我國(guó)整體經(jīng)濟(jì)中發(fā)揮基準(zhǔn)作用。同時(shí),雖然我國(guó)當(dāng)前金融市場(chǎng)上也存在有諸如債券回購(gòu)利率、存貸款利率等市場(chǎng)常用的參考利率,但它們作為市場(chǎng)基準(zhǔn)利率在一定程度上都存在著較為顯著的缺陷,因此不能夠有力的肩負(fù)我國(guó)貨幣市場(chǎng)基準(zhǔn)利率的重任。 為了能夠促進(jìn)我國(guó)利率市場(chǎng)化改革的進(jìn)一步深化,央行于2007年1月4日正式推出了其大力打造的貨幣市場(chǎng)基準(zhǔn)利率——上海銀行間同業(yè)拆借利率(Shibor)。Shibor是一種在16家擁有較高信用評(píng)級(jí)的商業(yè)銀行相互間拆借利率基礎(chǔ)上形成的,以單利、無(wú)擔(dān)保、批發(fā)性為特征的報(bào)價(jià)式基準(zhǔn)利率。其一經(jīng)全國(guó)銀行間同業(yè)拆借中心發(fā)布,便受到了廣泛的關(guān)注和使用。隨著Shibor的正式運(yùn)行,我國(guó)經(jīng)濟(jì)的市場(chǎng)化發(fā)展也向前邁進(jìn)一大步。但針對(duì)Shibor作為我國(guó)基準(zhǔn)利率以來(lái),究竟為我國(guó)金融市場(chǎng)能否帶來(lái)較大程度的影響,又帶來(lái)了多大程度的影響；其是否已真正具備了成為我國(guó)基準(zhǔn)利率的條件,又在我國(guó)經(jīng)濟(jì)中發(fā)揮了多大的基準(zhǔn)作用等方面的問(wèn)題,都是值得進(jìn)行深入研究的。因此研究Shibor運(yùn)行6年以來(lái)的實(shí)際效果,考察其能否擔(dān)負(fù)起我國(guó)市場(chǎng)上基準(zhǔn)利率的重任,是具有重要意義的。 本文正是基于利率市場(chǎng)化的背景,借鑒國(guó)內(nèi)外已有的理論與實(shí)證研究成果,著重探討Shibor自推出并作為我國(guó)市場(chǎng)基準(zhǔn)利率6年以來(lái)的有效性問(wèn)題。本文從對(duì)國(guó)際上發(fā)達(dá)金融市場(chǎng)的基準(zhǔn)利率考察入手,分析其市場(chǎng)狀況和自身特性,歸納一國(guó)市場(chǎng)基準(zhǔn)利率具有的一般特點(diǎn),提出考察基準(zhǔn)利率有效性的基本屬性。之后回歸我國(guó)貨幣市場(chǎng),以基準(zhǔn)利率對(duì)于我國(guó)貨幣市場(chǎng)的重要性為出發(fā)點(diǎn),詳細(xì)闡述Shibor推出的必然性與其近年來(lái)飛速發(fā)展的情況,并于后文在基于前文所概括標(biāo)準(zhǔn)下,對(duì)Shibor從定量與定性兩個(gè)不同的方面進(jìn)行具體的分析,總結(jié)出Shibor在目前我國(guó)經(jīng)濟(jì)形勢(shì)及市場(chǎng)化進(jìn)程下的作用、地位以及存在的問(wèn)題,并對(duì)其進(jìn)一步培育和完善提出相關(guān)的對(duì)策建議。 本文總體上分為五個(gè)部分： 第一部分導(dǎo)論,先是說(shuō)明了在我國(guó)利率市場(chǎng)化不斷深化的進(jìn)程之中,對(duì)于市場(chǎng)基準(zhǔn)利率的研究具有重要的意義。之后對(duì)國(guó)內(nèi)外相關(guān)的研究文獻(xiàn)進(jìn)行了整理并發(fā)現(xiàn),國(guó)外的研究文獻(xiàn)著重于對(duì)基準(zhǔn)利率期限結(jié)構(gòu)方面的研究,而國(guó)內(nèi)的研究文獻(xiàn)對(duì)于我國(guó)基準(zhǔn)利率的選擇還沒(méi)有得出一個(gè)較為統(tǒng)一的結(jié)論。最后基于這樣的背景,提出了本文研究的思路及方法。 第二部分,首先對(duì)基準(zhǔn)利率的概念進(jìn)行了介紹,并參照學(xué)者們對(duì)于基準(zhǔn)利率的解釋,對(duì)本文所研究的基準(zhǔn)利率這一概念進(jìn)行了相關(guān)界定。接下來(lái)詳細(xì)介紹了國(guó)際主要的基準(zhǔn)利率,通過(guò)對(duì)其經(jīng)驗(yàn)借鑒,總結(jié)了作為一國(guó)基準(zhǔn)利率的所具有的一般特點(diǎn)及應(yīng)具備的基本屬性,這也為后文的實(shí)證分析提供了研究的基礎(chǔ)與依據(jù)。 第三部分,以建立貨幣市場(chǎng)基準(zhǔn)利率體系的必要性為出發(fā)點(diǎn),列舉了我國(guó)利率市場(chǎng)化的探索過(guò)程以及近年來(lái)Shibor不斷發(fā)展完善的情況,然后通過(guò)對(duì)我國(guó)當(dāng)前存在的幾個(gè)較為有代表性的市場(chǎng)利率的評(píng)價(jià),綜合評(píng)述了我國(guó)當(dāng)前的基準(zhǔn)利率體系,并指出相較于其他利率,Shibor能夠很好作為我國(guó)貨幣市場(chǎng)的基準(zhǔn)利率,有效的發(fā)揮基準(zhǔn)作用。 第四部分,本文的核心部分,從實(shí)證的角度分析了Shibor作為我國(guó)基準(zhǔn)利率的基準(zhǔn)性作用。選取Shibor自推出以來(lái)6年的月度數(shù)據(jù),運(yùn)用了相關(guān)性分析、平穩(wěn)性分析、協(xié)整分析、Granger因果關(guān)系檢驗(yàn)、脈沖響應(yīng)函數(shù)等實(shí)證檢驗(yàn)方法,采取定量與定性相結(jié)合的方式,從前文所總結(jié)的基準(zhǔn)利率應(yīng)具備的5項(xiàng)基本屬性分別來(lái)進(jìn)行實(shí)證檢驗(yàn),試圖對(duì)Shibor作為我國(guó)基準(zhǔn)利率以來(lái)的有效性進(jìn)行考察。 第五部分,先對(duì)第四部分的實(shí)證分析進(jìn)行總結(jié),得出結(jié)論：Shibor運(yùn)行發(fā)展至今,在市場(chǎng)性、可控性和穩(wěn)定性三個(gè)方面已表現(xiàn)的較為良好,能夠符合作為市場(chǎng)基準(zhǔn)利率的標(biāo)準(zhǔn)。但在基礎(chǔ)性和相關(guān)性方面,還需要進(jìn)一步的加強(qiáng)。并結(jié)合所得出的結(jié)論以及Shibor自身和宏觀層面存在的限制性因素,對(duì)于發(fā)展完善Shibor作為我國(guó)基準(zhǔn)利率這一任務(wù)提出了相應(yīng)的對(duì)策建議。 本文的可能貢獻(xiàn)在于較為系統(tǒng)的羅列了為國(guó)際上所普遍認(rèn)可的四種貨幣市場(chǎng)基準(zhǔn)利率,通過(guò)對(duì)其介紹并在借鑒國(guó)內(nèi)學(xué)者研究的基礎(chǔ)上,對(duì)貨幣市場(chǎng)基準(zhǔn)利率具備的一般特點(diǎn)和基本屬性進(jìn)行了分析總結(jié),并圍繞此標(biāo)準(zhǔn)開展了實(shí)證檢驗(yàn)：充分運(yùn)用定性與定量分析相結(jié)合的方式,對(duì)Shibor的有效性系統(tǒng)的從歸納總結(jié)出的五個(gè)方面進(jìn)行了實(shí)證分析,全面考察了Shibor作為我國(guó)基準(zhǔn)利率,經(jīng)過(guò)這些年發(fā)展后的基準(zhǔn)性狀況。同時(shí),在實(shí)證研究中,本文認(rèn)為由于利率本身具有的特殊性,對(duì)于利率方面的研究最為科學(xué)的方法就是將其與市場(chǎng)高度聯(lián)系起來(lái),不斷更新每日變化的市場(chǎng)數(shù)據(jù)才能夠得出更為可靠的結(jié)論,因此本文將研究數(shù)據(jù)區(qū)間拓展至2012年末,這樣就會(huì)使得實(shí)證分析的結(jié)論較先前的相關(guān)研究而言,更具有時(shí)效性和說(shuō)服力。最后,本文針對(duì)實(shí)證分析所得出的結(jié)論,為進(jìn)一步加強(qiáng)Shibor的有效性,提升Shibor的基準(zhǔn)地位,推進(jìn)Shibor作為我國(guó)基準(zhǔn)利率提出了改進(jìn)的方向。 同時(shí),本文也尚存許多不足之處。在論文寫作過(guò)程之中,筆者在對(duì)國(guó)際基準(zhǔn)利率的選取,一般特征的概括以及基本屬性的分析總結(jié)中,難免會(huì)由于主觀局限性導(dǎo)致在對(duì)國(guó)際成熟基準(zhǔn)利率的借鑒過(guò)程中,對(duì)其分析欠缺深度,不能夠最終獲得最為科學(xué)且最具代表性的結(jié)論,從而不能夠?yàn)楸疚牡膶?shí)證分析提供強(qiáng)有力的理論支持。再次,因我國(guó)利率還未完全實(shí)現(xiàn)市場(chǎng)化,個(gè)別貨幣市場(chǎng)利率的市場(chǎng)性以及自身特點(diǎn)屬性方面造成的問(wèn)題,或多或少都為本文的實(shí)證分析帶來(lái)一些難度,可能會(huì)使得部分實(shí)證分析結(jié)果相對(duì)缺乏說(shuō)服力。此外,由于筆者自身的理論知識(shí)及實(shí)證研究水平有限,在有關(guān)實(shí)證方法和實(shí)證操作上存在加強(qiáng)與改進(jìn)的空間,而且本文受制于篇幅等原因,對(duì)于Shibor期限結(jié)構(gòu)方面未能夠進(jìn)行相應(yīng)的研究,希望在以后的研究中,能夠就此部分進(jìn)行深化加強(qiáng)。 由于以上種種主觀及客觀方面的原因,導(dǎo)致本文在研究上出現(xiàn)一些疏漏與不足是不可避免的,在此也誠(chéng)懇的希望各位老師能夠給予相應(yīng)的批評(píng)和指導(dǎo)意見(jiàn),以便筆者加以改進(jìn),幫助筆者在未來(lái)的學(xué)習(xí)研究中能夠做得更好。
[Abstract]:Since 1996, the reform of the interest rate marketization has been formally started in China. The reform of the financial system has made great progress, the financial market is constantly developing, the financial products are constantly innovating, the scale of various financial transactions is expanding, and the financial development is showing a flourishing trend. The monetary authorities have gradually made progress, and the monetary authorities have gradually released the control of interest rates to promote the deepening of the development of the interest rate market. But if the real interest rate marketization is to be realized, the key problem which is urgently needed to be solved is to determine a fully marketable and effective benchmark interest rate. The financial system reform and the interest rate marketization of our country have great and far-reaching significance, which are embodied in the following aspects: first, the benchmark interest rate creates conditions for the realization of the marketization of the deposit and loan interest rate, which is the prerequisite and core link to realize the overall interest rate marketization in China; second, the benchmark interest rate is the interest rate as the monetary policy transmitter. The system provides the operating object to promote the transformation of China's macro-control measures from the quantitative to the price type. Third, the benchmark interest rate provides guidance for the smooth progress of other interest rates, truly reflecting the supply and demand of the market funds, guiding the correct and reasonable pricing of various financial products, enriching the variety of market transactions, and promoting the overall development of the financial market. If our country wants to carry out the financial deepening reform smoothly, it is necessary to set up a benchmark interest rate which is suitable for the development of our financial market, and form an effective benchmark interest rate system, which is also very important to promote the financial reform in China's economic transformation. However, the overall level of our market is also due to the overall level of our country's marketization. Not high, the formation and mechanism of the benchmark interest rate are still imperfect, which greatly hinders the benchmark interest rate in the whole economy of our country. At the same time, although there is also the common interest rate in the market, such as the bond repo rate, the deposit and loan interest rate, and so on in the current financial market, they are the benchmark interest rates of the market. There are more obvious defects in the degree, so it can not effectively shoulder the heavy responsibility of the benchmark interest rate of our money market.
In order to promote the further deepening of China's interest rate marketization reform, the central bank formally launched its major monetary market benchmark interest rate in January 4, 2007 - the interbank lending rate (Shibor).Shibor of Shanghai, which is based on the mutual interest rate of 16 commercial banks with higher credit rating. The benchmark interest rate, characterized by single profit, unsecured and wholesale, has been widely concerned and used by the national interbank lending center of China. With the formal operation of Shibor, the market development of China's economy has also taken a big step forward. However, since Shibor is the benchmark interest rate in China, it is the financial market of our country. Whether the field has a greater impact and how much influence has been brought, whether it has really had the conditions to become the benchmark interest rate of our country, and how many benchmarks have been played in our country's economy, is worthy of in-depth study. Therefore, the research on the actual effect of the operation of Shibor for 6 years has been studied. It is of great significance whether we can shoulder the heavy responsibility of the benchmark interest rate in our market.
This paper, based on the background of interest rate marketization, focuses on the validity of Shibor since its introduction and as the benchmark interest rate of China's market for 6 years. This paper analyzes the market situation and its own characteristics from the benchmark interest rate of the developed financial markets in the world. The basic characteristic of the benchmark interest rate of the national market is to examine the basic attribute of the validity of the benchmark interest rate. After the return to the monetary market in China, the importance of the benchmark interest rate to our currency market is set out, and the inevitability of the introduction of Shibor and its rapid development in recent years are expounded in detail. According to the specific analysis of the two different aspects of the quantitative and qualitative aspects of Shibor, this paper summarizes the role, status and existing problems of Shibor in the current economic situation and marketization of China, and puts forward relevant countermeasures and suggestions for its further cultivation and improvement.
This article is divided into five parts as a whole:
The first part is an introduction, which first illustrates the importance of the research on the market benchmark interest rate in the process of the deepening of the interest rate marketization in China. After that, the research literature at home and abroad has been arranged and found that the research literature abroad focuses on the research on the term structure of the benchmark interest rate and the domestic research literature. The choice of China's benchmark interest rate has not yet come to a more unified conclusion. Finally, based on this background, we put forward the ideas and methods of this study.
In the second part, the concept of the benchmark interest rate is introduced and the concept of the benchmark interest rate studied in this paper is defined in the light of the scholars' interpretation of the benchmark interest rate. Then the main international benchmark interest rate is introduced in detail. General characteristics and basic attributes should be provided, which provides the basis and basis for the empirical analysis.
The third part, starting from the necessity of establishing the benchmark interest rate system in the currency market, enumerates the exploration process of the interest rate marketization in China and the continuous development and perfection of Shibor in recent years, and then reviews the current benchmark interest rate in China through the evaluation of several representative market interest rates that exist in China. System, and points out that compared with other interest rates, Shibor can serve as the benchmark interest rate of China's money market effectively.
The fourth part, the core part of this paper, from the perspective of empirical analysis of the benchmark role of Shibor as the benchmark interest rate in China, select the monthly data of 6 years since the launch of Shibor, use the correlation analysis, stability analysis, cointegration analysis, Granger causality test, pulse response function and other empirical testing methods, take quantitative and qualitative analysis. In this way, the 5 basic attributes of the benchmark interest rate, which was summed up in the previous article, are tested separately, trying to investigate the effectiveness of Shibor as the benchmark interest rate in China.
The fifth part, first of all, the fourth part of the empirical analysis of the summary, draw the conclusion: Shibor operation and development, in the market, controllability and stability in three aspects of better performance, can meet the standard as the market benchmark interest rate, but in the basic and relevant aspects, the need to further strengthen. The conclusion, as well as the restrictive factors in the Shibor and the macro level, put forward the corresponding countermeasures and suggestions for the development and improvement of Shibor as the benchmark interest rate of China.
The possible contribution of this paper is to systematically review the benchmark interest rates of four currency market, which is universally recognized internationally. On the basis of its introduction and reference to domestic scholars, the general characteristics and basic attributes of the benchmark interest rate in the currency market are analyzed and summarized, and an empirical test is carried out around this standard. In full use of the combination of qualitative and quantitative analysis, this paper makes an empirical analysis of the five aspects of the Shibor effectiveness system from the induction and summary, and comprehensively investigates the benchmark status of Shibor as the benchmark interest rate of our country after these years. Meanwhile, in the empirical study, the paper considers that the interest rate itself has the special characteristics. The most scientific way to study the interest rate is to link it with the market and constantly update the daily changing market data to come to a more reliable conclusion. Therefore, this paper will study the data range to the end of 2012, which will make the conclusion of the evidence analysis more than the previous related research. In the end, in view of the conclusions obtained from the empirical analysis, this paper puts forward the direction for improving the effectiveness of Shibor, improving the benchmark status of Shibor, and promoting the improvement of Shibor as the benchmark interest rate in China.
At the same time, there are still many shortcomings in this paper. In the process of writing, the author's selection of the international benchmark interest rate, the general characteristics of the summary and the analysis and summary of the basic attributes will inevitably lead to the lack of depth in the analysis of the international mature benchmark interest rate due to the subjective limitation, which can not be finally obtained. The most scientific and most representative conclusions can not provide strong theoretical support for the empirical analysis of this article. Again, because the interest rate of our country has not been fully marketed, the market nature of the interest rate of individual money market and the characteristics of its own characteristics, or more or less, bring some difficulty to the empirical analysis of this article. In addition, due to the limited level of theoretical knowledge and empirical research, there is a space to strengthen and improve the empirical methods and empirical operations, and this article is subject to the length of the space, and it is not able to study the term structure of Shibor. It is hoped that this part can be further deepened in the future research.
Because of the above subjective and objective reasons, some omissions and deficiencies are inevitable in this study. We sincerely hope that the teachers can give the corresponding criticism and guidance so that the author can improve it and help the author to do better in the future study.
【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
【分類號(hào)】：F822.0;F832.5

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