本文關(guān)鍵詞：上海銀行間同業(yè)拆借利率有效性研究　出處：《南京農(nóng)業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： Shibor 基準(zhǔn)利率 利率傳導(dǎo)機(jī)制 有效性

【摘要】：近年來,利率市場(chǎng)化一直是我國(guó)金融深化改革的重點(diǎn),而利率市場(chǎng)化改革的重點(diǎn),則是基準(zhǔn)利率選擇的問題。自從1996年央行推出銀行間同業(yè)拆借利率Chibor以來,我國(guó)的利率市場(chǎng)化進(jìn)程不斷向前推進(jìn)。1997年,央行放開銀行間現(xiàn)券交易和債券回購(gòu)利率,1998年國(guó)債發(fā)行利率和銀行間市場(chǎng)的政策性金融債也逐步放開,2013年,我國(guó)貸款利率下限完全放開。如今,除了存款利率的上限仍然受到管制,我國(guó)的利率基本完成了市場(chǎng)化改革。而在我國(guó)利率市場(chǎng)化即將完善之際,基準(zhǔn)利率在利率體系中的引導(dǎo)作用就顯得越來越重要。學(xué)術(shù)界先后對(duì)金融市場(chǎng)基準(zhǔn)利率的建立提出建議,包括一年期存貸款利率、國(guó)債利率、銀行間同業(yè)拆借利率(Chibor)、銀行間質(zhì)押式回購(gòu)利率等作為基準(zhǔn)利率,但是由于自身的缺點(diǎn)均不適合成為真正意義上的基準(zhǔn)利率。為了建立我國(guó)的基準(zhǔn)利率,央行在借鑒倫敦銀行間同業(yè)拆借利率Libor、美國(guó)聯(lián)邦基金利率的基礎(chǔ)上,于2007年推出了上海銀行間同業(yè)拆借利率,即Shibor,并有隔夜、1周、1月、3月、6月、9月以及1年9個(gè)期限品種。自從Shibor推出以來,其逐漸成為金融衍生品、浮息債和利率互換的定價(jià)基準(zhǔn),其貨幣市場(chǎng)的基準(zhǔn)利率地位逐步確立,這對(duì)我國(guó)金融市場(chǎng)的發(fā)展,以及實(shí)現(xiàn)貨幣政策調(diào)控從數(shù)量型向價(jià)格型轉(zhuǎn)變有促進(jìn)作用。本文理論研究部分分析了Shibor的形成以及運(yùn)行機(jī)制,通過比較分析研究了Shibor與Libor的共同點(diǎn)與不同點(diǎn)。而實(shí)證分析是本文的重點(diǎn),第一部分研究了Shibor作為基準(zhǔn)利率的基準(zhǔn)屬性。首先分析了Shibor與貨幣市場(chǎng)上幾種具有代表性的央票到期收益率和銀行間同業(yè)拆借利率的相關(guān)性,結(jié)果顯示相關(guān)系數(shù)高達(dá)0.9以上,并且對(duì)其他利率有引導(dǎo)作用；然后比較了Shibor與回購(gòu)定盤利率,證明了Shibor在貨幣市場(chǎng)具有基礎(chǔ)性；最后通過國(guó)內(nèi)股票市場(chǎng)以及國(guó)外美元對(duì)人民幣匯率的沖擊對(duì)Shibor的穩(wěn)定性進(jìn)行研究,結(jié)果表明Shibor對(duì)于國(guó)內(nèi)以及國(guó)外的沖擊表現(xiàn)穩(wěn)定,已經(jīng)初步具備貨幣市場(chǎng)基準(zhǔn)利率的特征。第二部分是從貨幣政策的利率傳導(dǎo)機(jī)制角度對(duì)Shibor作為基準(zhǔn)利率的效應(yīng)進(jìn)行研究,目前我國(guó)貨幣政策調(diào)控正由數(shù)量型向價(jià)格型轉(zhuǎn)變,即貨幣政策的中間目標(biāo)從貨幣供應(yīng)量變?yōu)槔�。首先研究了Shibor在貨幣市場(chǎng)的傳導(dǎo)效果,以及其對(duì)股票市場(chǎng)以及債券市場(chǎng)的影響,最后研究了Shibor對(duì)于我國(guó)宏觀經(jīng)濟(jì)變量的影響。結(jié)果顯示,Shibor在貨幣市場(chǎng)的傳導(dǎo)效應(yīng)明顯,對(duì)其他利率具有較好的引導(dǎo)作用,而其對(duì)資本市場(chǎng)以及對(duì)宏觀經(jīng)濟(jì)變量的影響則不顯著。由于我國(guó)資本市場(chǎng)分割現(xiàn)象明顯,市場(chǎng)上產(chǎn)品利率期限由短到長(zhǎng)的收益率傳導(dǎo)不暢通,加上Shibor在資本市場(chǎng)的基準(zhǔn)性地位并沒有完全確立,導(dǎo)致Shibor對(duì)資本市場(chǎng)影響較小。而由于我國(guó)沒有實(shí)現(xiàn)完全的利率市場(chǎng)化,存款利率的上限還沒有放開,雖然貸款利率下限已經(jīng)放開,但由于政策時(shí)滯等原因,市場(chǎng)還沒有做出較大的反映,這些因素都導(dǎo)致Shibor對(duì)宏觀經(jīng)濟(jì)變量的傳導(dǎo)效應(yīng)并不明顯。本文的研究主要分成六章,主要的研究?jī)?nèi)容如下：第一章：提出研究的背景和意義,以及可能的創(chuàng)新與不足。第二章：闡述基準(zhǔn)利率相關(guān)概念、國(guó)內(nèi)外學(xué)者對(duì)基準(zhǔn)利率以及貨幣政策傳導(dǎo)機(jī)制等方面的研究。第三章：介紹Shibor的生成和運(yùn)行機(jī)制,分析倫敦銀行間同業(yè)拆放利率Libor的運(yùn)行機(jī)制及特點(diǎn),比較Libor與Shibor的共同點(diǎn)和不同點(diǎn),并通過比較分析評(píng)價(jià)Shibor作為基準(zhǔn)利率運(yùn)行的效果。第四章：Shibor作為我國(guó)貨幣市場(chǎng)基準(zhǔn)利率有效性分析,采用理論分析和實(shí)證分析相結(jié)合的方法從市場(chǎng)性,基礎(chǔ)性,相關(guān)性和穩(wěn)定性對(duì)Shibor進(jìn)行有效性分析。市場(chǎng)性主要通過描述性分析；基礎(chǔ)性的實(shí)證分析首先選擇Shibor對(duì)利率債、信用債和金融衍生品定價(jià)產(chǎn)生的影響,然后再用Shibor和回購(gòu)定盤利率(選擇相對(duì)應(yīng)的期限品種)做協(xié)整、格蘭杰檢驗(yàn)；相關(guān)性實(shí)證分析是選擇央票到期收益率、銀行間同業(yè)拆放利率和銀行間質(zhì)押式回購(gòu)利率與Shibor做相關(guān)性檢驗(yàn)；穩(wěn)定性分析主要研究Shibor與股價(jià)指數(shù)和匯率的關(guān)系,采用ADF檢驗(yàn),協(xié)整檢驗(yàn)和脈沖響應(yīng)函數(shù)。第五章：第二部分實(shí)證研究的是Shibor在利率傳導(dǎo)機(jī)制中的效應(yīng),分別從Shibor對(duì)貨幣市場(chǎng)、資本市場(chǎng)和宏觀經(jīng)濟(jì)的影響來檢驗(yàn)Shibor作為基準(zhǔn)利率對(duì)市場(chǎng)以及經(jīng)濟(jì)的作用。貨幣市場(chǎng)傳導(dǎo)效應(yīng),選擇Shibor與銀行間質(zhì)押式回購(gòu)利率、銀行間同業(yè)拆放利率分別建立Var模型,分析Shibor對(duì)兩種利率的影響,最后對(duì)Var模型進(jìn)行檢驗(yàn)；資本市場(chǎng)傳導(dǎo)效應(yīng),分別研究Shibor對(duì)上證指數(shù)與債券市場(chǎng)(金融債、國(guó)債收益率)的傳導(dǎo)效應(yīng)；宏觀經(jīng)濟(jì)傳導(dǎo)效應(yīng),運(yùn)用貨幣政策效應(yīng)時(shí)滯理論對(duì)宏觀經(jīng)濟(jì)指標(biāo)(GDP、凈出口等)的影響進(jìn)行研究,分別建立Var模型,并用脈沖響應(yīng)函數(shù)進(jìn)行檢驗(yàn)。第六章：根據(jù)實(shí)證結(jié)果進(jìn)行總結(jié)并提出相應(yīng)的政策建議。
[Abstract]:In recent years, the interest rate market has become China's financial deepening reform focus, and focus on the interest rate marketization reform, is the choice of benchmark problems. Since 1996, the central bank introduced interbank interest rate Chibor, interest rate marketization in China continues to move forward in.1997, the central bank released the interbank bond market and the repo rate, the issuance of treasury bonds in 1998 policy financial bonds and interest rates in the interbank market is gradually opened, in 2013, China fully liberalized lending rates lower. Today, in addition to the deposit rate ceiling is still under control, China's interest rate market has basically completed the reform. In the interest rate market in our country is perfect as the guiding role of the benchmark interest rate in the interest rate system is becoming more and more important. The academic circles has on the benchmark interest rate of financial market to establish recommendations, including the one-year deposit interest rate, Treasury rates, interbank offered rate (Chibor), the inter-bank collateral repo rate as the benchmark interest rate, but because of their own shortcomings are not suitable to become the benchmark interest rate on real significance. In order to establish the benchmark interest rate in our country, from the central bank in the London Interbank Offered Rate Libor, U.S. federal funds rate in 2007, launched the Shanghai interbank offered rate, or Shibor, and overnight, 1 week, January, March, June, September and 1 years of the 9 term varieties. Since the introduction of Shibor, which has gradually become the financial derivatives, floating rate bonds and interest rate swap pricing benchmark, the money market benchmark interest rate has been gradually established, the development of financial market in our country, and the implementation of monetary policy from quantity change to the price type promotion. This part of the theoretical analysis of the Shibor formation and operation mechanism System, through the comparative analysis of common Shibor and Libor with different points. The empirical analysis is the focus of this paper, the first part of the study of Shibor as the benchmark interest rate benchmark attribute is analyzed. Shibor and money market on several representative bills due return and correlation of interbank lending rates, the according to the correlation coefficient more than 0.9, and has a guiding role for other interest rates; and then compares Shibor and repo rate, and prove that Shibor is the basic research in the money market; finally the stability of the domestic stock market and the foreign exchange rate of USD to RMB is the impact of Shibor, the results show that the Shibor for domestic and foreign the impact of performance and stability, has begun with the characteristics of the benchmark interest rate in the money market. The second part is from the perspective of interest rate transmission mechanism of monetary policy on Sh Study on the IBOR effect as the benchmark interest rate, China's monetary policy is from quantity to price change, which is the intermediate target of monetary policy from the money supply quantity rate. Firstly, Shibor conduction effect in the money market, and its impact on the stock market and bond market, at the end of the Shibor the impact of China's macroeconomic variables. The results show that the transmission effect of Shibor in the money market, has a better guide to other interest rates, and the capital market and the impact on macroeconomic variables is not significant. Because of China's capital market segmentation phenomenon is obvious, the term product market from short to long the return rate of transmission is not smooth, with the benchmark role of Shibor in the capital market is not fully established, resulting in Shibor has little effect on the capital market. But because our country did not achieve Complete the interest rate market, the deposit rate ceiling are not open, although lower lending rates have been liberalized, but because of policy lag and other reasons, the market has not made great reflect, these factors have led to the conduction effect of Shibor on macro economic variables is not obvious. This paper is divided into six chapters, the main contents are as follows: the first chapter puts forward the background and significance of the study, and possible innovations. The second chapter elaborates the related concepts of benchmark interest rates, domestic and foreign research on the benchmark interest rate and monetary policy transmission mechanism and other aspects. The third chapter introduces the Shibor formation and operation mechanism, operation mechanism and characteristic analysis of interbank interest rate Libor the London Interbank, common comparison between Libor and Shibor and different points, and through the comparison analysis and evaluation of the Shibor benchmark interest rate for the effect of the operation. The fourth chapter: Shib Analysis of or as the benchmark interest rate of China's money market validity, from the market, the basic method of combining theoretical analysis and empirical analysis, correlation and stability of Shibor. The market validity analysis mainly through descriptive analysis; empirical analysis based on the first choice of Shibor interest rate debt, credit debt and financial impact the pricing of derivatives, and then Shibor and fixing repo rate (select corresponding maturities) do cointegration, Grainger correlation test; empirical analysis is the choice of counting the yield to maturity, interbank offered rate and the inter-bank collateral repo rate and Shibor correlation test; stability analysis of Shibor and the relationship between stock price index and exchange rate, using ADF test, cointegration test and impulse response function. The fifth chapter is the empirical research part second: Shibor in the interest rate conduction machine In effect, from the Shibor to the money market, capital market and macro economy to test Shibor as the benchmark interest rate of the market and the economy. The effect of monetary market conduction, Shibor and the choice of the inter-bank collateral repo rate, interbank interest rates were set up Var model, analyze the influence of Shibor on the two the interest rate, finally to test the Var model; the transmission effect of the capital market, respectively Shibor on the Shanghai stock index and bond market (financial bonds, bond yields) conduction effect; macro economy effect, the effect of monetary policy lag theory on macroeconomic indicators (GDP, net exports) were used to study the effects, respectively. The establishment of Var model and impulse response function test. The sixth chapter: Based on the empirical results are summarized and put forward corresponding policy recommendations.

【學(xué)位授予單位】：南京農(nóng)業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.5

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 李麗,劉晨,劉莉;疏通利率傳導(dǎo)機(jī)制[J];財(cái)貿(mào)研究;2003年05期

2 程霞珍;淺議我國(guó)利率傳導(dǎo)存在的問題及對(duì)策[J];科技情報(bào)開發(fā)與經(jīng)濟(jì);2005年20期

3 王德忠;秦麗;;我國(guó)利率傳導(dǎo)機(jī)制區(qū)域異化的內(nèi)生邏輯[J];財(cái)經(jīng)科學(xué);2008年09期

4 周綱;陳金賢;;利率傳導(dǎo)機(jī)制分析[J];經(jīng)濟(jì)經(jīng)緯;2009年03期

5 尹海英;柳明花;;提高利率傳導(dǎo)機(jī)制效率的途徑[J];長(zhǎng)春金融高等�？茖W(xué)校學(xué)報(bào);2009年03期

6 何起東;呂永華;丁鳴;;當(dāng)前我國(guó)利率傳導(dǎo)機(jī)制有效性的實(shí)證研究[J];上海金融;2012年09期

7 史群英;;淺談我國(guó)利率傳導(dǎo)機(jī)制[J];中國(guó)管理信息化;2012年19期

8 馮國(guó)榮;談?dòng)?jì)劃管理和利率傳導(dǎo)機(jī)制的統(tǒng)一——赴香港考察歸來的一點(diǎn)體會(huì)[J];中國(guó)城市金融;1988年01期

9 卓尚進(jìn);略論利率傳導(dǎo)機(jī)制[J];銀行與企業(yè);1989年02期

10 于波;;我國(guó)利率傳導(dǎo)機(jī)制的影響因素及作用機(jī)制[J];經(jīng)濟(jì)縱橫;2013年12期

相關(guān)重要報(bào)紙文章 前8條

1 本報(bào)記者 顧鑫;深化改革理順利率傳導(dǎo)機(jī)制[N];中國(guó)證券報(bào);2014年

2 趙洋　馬梅若;完善利率傳導(dǎo)機(jī)制有助于降成本[N];金融時(shí)報(bào);2014年

3 記者 牛娟娟;完善市場(chǎng)化利率體系和利率傳導(dǎo)機(jī)制[N];金融時(shí)報(bào);2013年

4 周兆平;利率傳導(dǎo)機(jī)制因何失效[N];中國(guó)財(cái)經(jīng)報(bào);2007年

5 人民銀行營(yíng)業(yè)管理部副主任 姜再勇;疏通利率傳導(dǎo)機(jī)制有助于緩解小微企業(yè)“融資貴”[N];金融時(shí)報(bào);2014年

6 記者 萬荃;用新視角和方法來研究宏觀經(jīng)濟(jì)[N];金融時(shí)報(bào);2014年

7 記者 李丹丹;利率市場(chǎng)化“三步走”[N];上海證券報(bào);2013年

8 上海證券研究所 胡月曉;未來流動(dòng)性偏緊格局將持續(xù)[N];證券時(shí)報(bào);2013年

相關(guān)博士學(xué)位論文 前3條

1 古e，

本文編號(hào)：1379792