本文選題：韓國(guó)利率市場(chǎng)化 + 市場(chǎng)調(diào)節(jié)功能�。� 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：目前中國(guó)金融改革的一個(gè)熱點(diǎn)話題是利率市場(chǎng)化。雖然去年貸款利率下限放開,但存款利率仍在管制下,陸續(xù)出現(xiàn)余額寶等各種變形存款產(chǎn)品。2014年3月5號(hào)在十二屆全國(guó)人大二次會(huì)記者會(huì)上就金融改革與發(fā)展相關(guān)問題,中國(guó)人民銀行行長(zhǎng)周小川在會(huì)場(chǎng)說(shuō)存款利率放開很可能在最近一兩年就能夠?qū)崿F(xiàn)。韓國(guó)金融當(dāng)局1991年公布《放寬利率管制的中長(zhǎng)期計(jì)劃》,進(jìn)行分為四個(gè)階段的利率市場(chǎng)化改革措施,然后1997年放開核心市場(chǎng)利率限制并實(shí)際上進(jìn)入了全面利率市場(chǎng)化時(shí)代。韓國(guó)的利率市場(chǎng)化改革進(jìn)程與條件跟目前中國(guó)的利率市場(chǎng)化改革非常相同。所以本文將通過(guò)韓國(guó)利率市場(chǎng)化是否提高市場(chǎng)效應(yīng)的實(shí)證研究,評(píng)估韓國(guó)利率市場(chǎng)化的結(jié)果并查找其結(jié)果的主要原因,最終得出對(duì)中國(guó)利率市場(chǎng)化改革的借鑒。本文在韓國(guó)利率市場(chǎng)化前后期分界點(diǎn)的選擇和實(shí)證變量上存在跟現(xiàn)有研究不同點(diǎn)�，F(xiàn)有的有關(guān)韓國(guó)利率市場(chǎng)化研究均以利率市場(chǎng)化剛開始的1991年為分界點(diǎn)進(jìn)行實(shí)證分析,所以并沒有充分反映利率市場(chǎng)化之后的市場(chǎng)變化,即難以判斷利率市場(chǎng)化是否提高金融市場(chǎng)的效率。本文以韓國(guó)利率市場(chǎng)化實(shí)際上完成的1997年為分界點(diǎn),進(jìn)行韓國(guó)利率市場(chǎng)化前期和后期金融市場(chǎng)效率變化的實(shí)證分析。另外,因?yàn)闆]完成利率市場(chǎng)化改革的時(shí)候進(jìn)行研究,現(xiàn)有的論文在選取變量上存在較大的限制。當(dāng)時(shí)主要市場(chǎng)利率要么沒放開,要么放開的時(shí)間不夠長(zhǎng),不合適被選取。本文選取短期金融市場(chǎng)利率作為市場(chǎng)利率,并選取最好反映實(shí)體經(jīng)濟(jì)和金融市場(chǎng)的指標(biāo)作為解釋變量進(jìn)行了實(shí)證研究。最后,隨著韓國(guó)金融市場(chǎng)的開放,國(guó)外因素對(duì)韓國(guó)經(jīng)濟(jì)和金融市場(chǎng)的影響日益增加。于是本文增加一個(gè)可以代表國(guó)外貨幣供需影響的解釋變量進(jìn)行了實(shí)證分析。本文為了分析利率市場(chǎng)化改革對(duì)金融市場(chǎng)效率的影響,使用Bowden(1978a,1978b)的部分調(diào)整模型(Partial Adjustment Process)。該模型里,市場(chǎng)調(diào)整系數(shù)μ(前一期利率系數(shù))為0≤μ1,u越大利率的市場(chǎng)調(diào)整節(jié)功能越不好,u越小利率的市場(chǎng)調(diào)整節(jié)功能越好。本文以Call利率(韓國(guó)銀行同業(yè)拆借利率)作為市場(chǎng)利率變量,以G,DP和CPI作為貨幣需求變量,以Lf(金融機(jī)構(gòu)流動(dòng)性)和LIBOR(倫敦銀行同業(yè)間拆借利率)作為貨幣供給變量,進(jìn)行實(shí)證分析。實(shí)證結(jié)果,表示金融市場(chǎng)效率的市場(chǎng)調(diào)整系數(shù)μ,市場(chǎng)化改革之后μ2=0.256084、改革之前μ1=0.368739,意味著韓國(guó)利率市場(chǎng)化改革措施改善了利率對(duì)市場(chǎng)調(diào)節(jié)功能影響,即提高了整體金融市場(chǎng)效率。韓國(guó)利率市場(chǎng)化改善利率對(duì)市場(chǎng)調(diào)節(jié)功能影響的三大可能原因如下。第一、金融政策變化。在利率市場(chǎng)化的過(guò)程當(dāng)中,韓國(guó)政策當(dāng)局過(guò)度擔(dān)憂利率市場(chǎng)化帶來(lái)的利率快速上升,進(jìn)行半強(qiáng)制性的利率“下方穩(wěn)定化”政策。由此,從1991年到1997年,金融機(jī)構(gòu)不能充分地發(fā)揮自主決定利率的力量,因此市場(chǎng)利率也不能充分地反映市場(chǎng)供求情況。第二、資金供給與需求方面的變化。在資金需求方面,韓國(guó)經(jīng)濟(jì)1997年金融危機(jī)以后,進(jìn)入經(jīng)濟(jì)低增長(zhǎng)的局面。在這過(guò)程當(dāng)中,不僅以前長(zhǎng)期過(guò)剩的企業(yè)資金需求大幅減少,而且他們對(duì)融資成本的敏感度也大大提升了,所以韓國(guó)企業(yè)擺脫高度依賴于銀行的資金融資方式,尋找債券、股票等能降低融資成本的方法。在資金供給方面,隨著金融產(chǎn)品與市場(chǎng)的多元化,資金供給者在資金運(yùn)作上對(duì)利率的彈性大幅增加。資金供給者的選擇范圍擴(kuò)大引起了各種利率之間的相關(guān)性上升的作用。第三、國(guó)外的影響。1990年代以來(lái),韓國(guó)進(jìn)行外國(guó)人投資比重?cái)U(kuò)大、利率市場(chǎng)化、匯率變動(dòng)幅度擴(kuò)大等一系列金融自由化與開放措施。尤其是,1997年韓國(guó)面臨金融危機(jī)時(shí),按照IMF的建議金融市場(chǎng)限制都廢止了。于是國(guó)際利率對(duì)韓國(guó)利率的影響大幅增加了。韓國(guó)金融市場(chǎng)全面開放后,.韓國(guó)利率開始跟蹤國(guó)際利率的最大的原因在于套利交易。比如韓國(guó)利率存在政府的人為控制的話,國(guó)際套利資金進(jìn)入市場(chǎng)進(jìn)行套利交易,所以政府的利率管制實(shí)際上是不可能的。中國(guó)利率市場(chǎng)化完成之前預(yù)測(cè)其對(duì)市場(chǎng)效應(yīng)是不可以的,所以我們通過(guò)別的國(guó)家的利率市場(chǎng)化對(duì)市場(chǎng)效應(yīng)的研究可以猜測(cè)中國(guó)利率市場(chǎng)化對(duì)金融市場(chǎng)的可能影響。1990年代韓國(guó)完成利率市場(chǎng)化改革,雖然在改革的過(guò)程當(dāng)中存在市場(chǎng)效應(yīng)惡化的現(xiàn)象,但是改革完成后其改革改善了利率對(duì)市場(chǎng)調(diào)節(jié)功能的影響,進(jìn)一步完善市場(chǎng)機(jī)制。韓國(guó)利率市場(chǎng)化的路徑和條件跟中國(guó)的利率市場(chǎng)化非常相似,因此我們可以預(yù)測(cè)中國(guó)的利率市場(chǎng)化完成后,中國(guó)的市場(chǎng)利率對(duì)市場(chǎng)調(diào)節(jié)功能影響也會(huì)提高。
[Abstract]:Is currently a hot topic China financial reform is the interest rate market. Although last year the lower lending rate liberalization, but deposit rates are still under control, gradually appeared in the balance of treasure and other deformation deposit products.2014 year in March 5th in the twelve session of the two National People's Congress on financial reform and development issues related to the press conference, President of the people's Bank of China Zhou Xiaochuan said in the deposit interest rate liberalization is likely to be able to achieve in the last one or two years. South Korean financial authorities announced in 1991: deregulation of interest rates in the long term plan ", is divided into four stages of the market-oriented interest rate reform measures, then the 1997 release of the core market interest rate restriction and actually entered the overall interest rate marketization reform era. The process of marketization of interest rates and the conditions of South Korea with the current interest rate market reform Chinese the very same. So this article will through the Korean market interest rates or not An empirical study on high market effect, the main reason of Korea assessment result of the interest rate market and its search results, finally obtains the Chinese of interest rate marketization reform for reference. There are different with the existing research paper before the late cut-off point selection and empirical variables in the interest rate market in Korea. The Korea related interest rate market research in the interest rate market at the beginning of 1991 as the dividing point of empirical analysis, so did not fully reflect the changes in the market after the interest rate market, it is difficult to judge whether the interest rate market to improve the financial market efficiency. Based on the South Korean market interest rates actually completed in 1997 as the dividing point, the empirical interest rate market early and South Korea the efficiency of financial market changes analysis. In addition, because no complete interest rate marketization reform of the existing in the selection of variables There is a big limitation. When market interest rates or did not release or release time is not long enough, not suitable to be selected. This paper selects the interest rate on short-term financial market as a market interest rate, and the best reflect the real economy and the financial market indicators as explanatory variables in the empirical study. Finally, with South Korea's financial market opening, influence the foreign factors of the Korean economy and the financial market is increasing. So this paper adds a can represent the effect of foreign currency supply and demand variables for empirical analysis. In order to analyze the influence of interest rate marketization reform of financial market efficiency, the use of Bowden (1978a, 1978b) the partial adjustment model (Partial Adjustment Process) of the model. In the market, adjustment coefficient (a rate coefficient) is more than or equal to 0 mu 1, u greater interest rate market adjustment function is not good, the smaller the U interest rate market The adjustment of section function better. This paper takes Call rates (Korea interbank rate) as the market interest rate variables, using G, DP and CPI as money demand variables to Lf (the liquidity of financial institutions) and LIBOR (London Interbank Offered Rate) as the money supply variables for empirical analysis. The empirical results, said the market adjustment coefficient of financial market efficiency, after market reform before the reform of 2=0.256084, 1=0.368739, means that South Korea market-oriented interest rate reform measures to improve the regulation function of interest rate impact on the market, that is to improve the overall efficiency of the financial market. The Korean market interest rates three reasons may improve the regulation function of interest rate impact on the market. First, the financial policy changes. In the process of marketization of interest rates, South Korea policy authorities worry too much about the interest rate market has brought the rapid rise in interest rates, the interest rate semi mandatory " The stability of the policy. Thus, from 1991 to 1997, financial institutions can not give full play to the determination of the interest force, so the market interest rates can not fully reflect the market supply and demand situation. Second, changes in money supply and demand. The demand for funds, the Korean economy after the 1997 financial crisis, into the low economic growth situation. In this process, not only before the long-term excess corporate demand for funds is greatly reduced, and their sensitivity to the cost of financing is also greatly improved, so the South Korean enterprises to get rid of capital financing, is highly dependent on the bank for bonds, stocks can reduce the cost of financing methods. In the supply of funds, with the diversification of financial the product and the market, the supply of funds in the capital operation of the interest rate elasticity increased significantly. The selection range of the supply of funds by the interest rate of expansion The correlation between the rise. In third,.1990 abroad since South Korea, expanding the proportion of foreign investment, the marketization of interest rate, exchange rate movements and expand the range of a series of financial liberalization and opening up measures. Especially in 1997, South Korea is facing the financial crisis, according to the recommendations of the IMF financial market restrictions are then abolished. The impact of the international interest rate for South Korea a substantial increase in interest rates. Opening the financial market of Korea, South Korea. The biggest reason why interest rates began tracking the international interest rate is arbitrage. South Korea rates are artificially controlled by government, international arbitrage funds into the market arbitrage, so the government's interest rate regulation is virtually impossible. China before the completion of the interest rate liberalization is not possible to predict the market effect, so we through other countries of interest rate marketization on the market effect. The Chinese can guess the market interest rates may impact on financial markets.1990 South Korea's complete market-oriented interest rate reform, although the existence of market effect deteriorated in the process of the reform, but after the completion of the reform of the reform and improve the impact of the interest rate adjustment to the market, to further improve the market mechanism and conditions of South Korea. The path of interest rate marketization Chinese with the interest rate market is very similar, so we can predict the Chinese interest rate market after the completion of China market regulation function of interest rate impact on the market will also be improved.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F833.126

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