本文關(guān)鍵詞：我國貨幣市場息差研究　出處：《南京大學》2014年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 貨幣市場息差 流動性溢價 信用風險溢價 利率風險結(jié)構(gòu)

【摘要】：在發(fā)達國家,貨幣市場息差是金融體系健全性的指標器和實體經(jīng)濟變化的預(yù)報器,在實踐和學術(shù)領(lǐng)域受到普遍關(guān)注,而此次的金融危機更是使得TED spread與L ibor-OIS spread這兩個息差成為眾多學者的研究對象,集中探討其在金融危機時發(fā)生巨幅波動的原因究竟是市場流動性的變化還是信用風險的增減。在我國,由于貨幣市場發(fā)展較晚,利率市場化還沒有實現(xiàn),貨幣市場金融工具相對較少、資料不足,市場主體對貨幣市場息差的性質(zhì)和預(yù)報器作用缺乏認識,而經(jīng)濟學家們對貨幣市場息差的研究更是少之又少。鑒于此,本文嘗試研究我國貨幣市場息差的決定因素,發(fā)現(xiàn)其變動規(guī)律,確定其構(gòu)成因子,從而為充分認識我國貨幣市場息差的性質(zhì)和所含信息奠定基礎(chǔ),也為中央銀行貨幣政策的實施提供參考。本文從利率的風險結(jié)構(gòu)理論出發(fā)分別論述了流動性溢價理論與信用風險溢價理論,然后在此基礎(chǔ)上構(gòu)建了基本模型。本文首先將我國貨幣市場息差的影響因素按照市場流動性和信用風險分為兩類,通過面板數(shù)據(jù)回歸模型實證分析,證明市場流動性與信用風險確實影響著息差的大小。具體地,外匯占款、資本市場回報率、國內(nèi)以及國外經(jīng)濟周期對我國貨幣市場息差具有顯著影響,這四個因素均對貨幣市場流動性產(chǎn)生一定的影響,而代表信用風險因素的指標僅有國內(nèi)經(jīng)濟周期,因此,本文初步得出流動性溢價明顯大于信用風險溢價的結(jié)論。然后本文分別構(gòu)造流動性溢價和信用風險溢價指標,再次通過實證檢驗研究息差中這兩個溢價所占比例,從而確定我國貨幣市場息差的構(gòu)成。研究結(jié)果表明除同業(yè)拆借息差外,我國貨幣市場息差中普遍存在流動性溢價與信用風險溢價,但兩者占比很小,息差的大小絕大程度上取決于其歷史水平,由此可見我國貨幣市場利率的定價機制有待改進。根據(jù)實證研究結(jié)果,本文建議市場參與主體和中央銀行關(guān)注貨幣市場息差的變動,特別是央行票據(jù)息差的變動,以了解貨幣市場流動性的變化,從而制定更為有效的決策。另外,考慮到外匯占款對國內(nèi)流動性的顯著影響,中央銀行應(yīng)完善外匯沖銷機制,逐步推進外匯的市場交易制度,保持外匯占款增速的平穩(wěn)性,從而維護國內(nèi)市場流動性的穩(wěn)定。最后,我國貨幣市場上信用風險溢價的不顯著意味著必須增加以商業(yè)信用為基礎(chǔ)的貨幣市場工具,提高投資者對信用風險的防范意識和能力,同時要進一步推進利率市場化改革的進程,進而完善我國貨幣市場利率的定價機制。
[Abstract]:In developed countries, money market spreads are indicators of the soundness of financial systems and predictors of real economic changes, which have received widespread attention in practice and academic fields. But this financial crisis makes the TED spread and L ibor-OIS spread the two spreads become the research object of many scholars. This paper focuses on discussing whether the reason of the huge fluctuation in the financial crisis is the change of market liquidity or the increase or decrease of credit risk. In our country, the interest rate marketization has not been realized because of the late development of the money market. The money market financial instruments are relatively few, the data is insufficient, the market main body lacks the understanding to the nature of the money market interest rate difference and the function of the predictor, and the economists study the money market interest rate difference is even less. In view of this. This paper attempts to study the determinants of the interest rate difference in the money market of our country, find out the law of its change, and determine its constituent factors, thus laying a foundation for fully understanding the nature of the interest rate difference and the information contained in the money market of our country. This paper discusses the liquidity premium theory and the credit risk premium theory respectively from the risk structure theory of interest rate. On this basis, the basic model is constructed. Firstly, the paper divides the influencing factors of the interest rate of our country's money market into two categories according to the market liquidity and credit risk, and makes an empirical analysis by panel data regression model. It is proved that market liquidity and credit risk do affect the size of the spreads. In particular, foreign exchange holdings, capital market returns, domestic and foreign economic cycles have a significant impact on China's money market spreads. These four factors all have a certain impact on the liquidity of the money market, and the indicators representing the credit risk factors are only the domestic economic cycle, so. This paper draws the conclusion that liquidity premium is obviously larger than credit risk premium. Then this paper constructs liquidity premium and credit risk premium index respectively. Again through the empirical test to study the proportion of these two premiums in the spread to determine the composition of the spread of the money market in China. The results show that in addition to the inter-bank spread of interest rates. There are liquidity premium and credit risk premium in the spread of money market in our country, but the proportion of them is very small, and the magnitude of the spread depends on its historical level. It can be seen that the pricing mechanism of interest rate in China's money market needs to be improved. According to the results of empirical research, this paper suggests that market participants and the central bank should pay attention to the change of interest rate difference in money market. In particular, the change in the interest rate of central bank notes in order to understand changes in liquidity in the money market in order to make more effective decisions. In addition, taking into account the significant impact of foreign exchange holdings on domestic liquidity. The central bank should perfect the mechanism of sterilizing foreign exchange, push forward the foreign exchange market trading system step by step, maintain the stability of the increase of foreign exchange funds, and maintain the stability of domestic market liquidity. Finally. The lack of credit risk premium in China's money market means that the money market tools based on commercial credit must be increased to enhance investors' awareness and ability to guard against credit risk. At the same time, we should further promote the process of interest rate marketization reform, and then perfect the pricing mechanism of interest rate in China's money market.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F822.0

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