【摘要】：2013年7月20日，，央行宣布放開(kāi)貸款利率管制，標(biāo)志著我國(guó)已進(jìn)行20多年的利率市場(chǎng)化又向前邁出重要一步。至此新形勢(shì)新階段下，利率市場(chǎng)化中貨幣市場(chǎng)基準(zhǔn)利率體系的建設(shè)進(jìn)程如何，值得我們關(guān)注。因此，本文基于我國(guó)利率市場(chǎng)化進(jìn)程中貸款利率放開(kāi)的現(xiàn)狀，研究了以市場(chǎng)基準(zhǔn)利率為發(fā)展方向的上海銀行間同業(yè)拆放利率（Shibor）在利率市場(chǎng)化深入階段的運(yùn)行效果，既契合了目前形勢(shì)又具有重大的現(xiàn)實(shí)意義。 全文共有六個(gè)部分。第1章緒論總體介紹了本文的研究背景、目的意義，總結(jié)了國(guó)內(nèi)外利率市場(chǎng)化和基準(zhǔn)利率選擇問(wèn)題的研究綜述，指出成熟的貨幣市場(chǎng)基準(zhǔn)利率是推進(jìn)利率市場(chǎng)化的關(guān)鍵，；第2章主要探討基準(zhǔn)利率界定及基準(zhǔn)利率應(yīng)具有的一般屬性及其確立后的作用意義、國(guó)外基準(zhǔn)利率選擇等，為本文研究奠定了理論基礎(chǔ)；同時(shí)介紹了貸款利率市場(chǎng)化的歷程、意義及貸款利率與市場(chǎng)基準(zhǔn)利率的關(guān)系，切合了本文的研究主題；第3章對(duì)Shibor進(jìn)行定性分析，介紹了Shibor的運(yùn)行機(jī)制及理論和現(xiàn)實(shí)中的合理性和可行性，并進(jìn)一步通過(guò)與其他主要市場(chǎng)利率對(duì)比分析，得出Shibor是我國(guó)的最佳基準(zhǔn)利率選擇；第4章對(duì)Shibor進(jìn)行定量分析，分別采用描述性分析、相關(guān)性檢驗(yàn)、ADF單位根檢驗(yàn)、格蘭杰因果檢驗(yàn)、向量自回歸模型（VAR）及脈沖響應(yīng)函數(shù)等分析方法，從基準(zhǔn)利率的基本屬性出發(fā)，研究了Shibor自身各期限利率之間的關(guān)系、Shibor與貨幣市場(chǎng)其他利率之間的關(guān)系、Shibor與宏觀經(jīng)濟(jì)變量的關(guān)系以及Shibor與股票市場(chǎng)的關(guān)系，驗(yàn)證了Shibor在央行及各金融機(jī)構(gòu)七年多的培育下，市場(chǎng)性、基礎(chǔ)性、相關(guān)性及穩(wěn)定性等基本屬性都得到了完善，尤其是短期Shibor表現(xiàn)出極強(qiáng)的基準(zhǔn)利率特性，而中長(zhǎng)期Shibor則需增大市場(chǎng)交易量，以提高其市場(chǎng)敏感性；第5章研究了Shibor和貸款利率的相互關(guān)系，表明Shibor對(duì)信貸市場(chǎng)的影響有待加強(qiáng)；第6章對(duì)全文進(jìn)行總結(jié)，并提出完善Shibor的建議，以期促進(jìn)市場(chǎng)基準(zhǔn)利率的盡快建立。 本文最終的研究成果證明了現(xiàn)今貸款利率放開(kāi)環(huán)境下Shibor作為市場(chǎng)基準(zhǔn)利率的科學(xué)性和合理性，距離成為完善的基準(zhǔn)利率指日可待。同時(shí)市場(chǎng)基準(zhǔn)利率的建立是推進(jìn)利率市場(chǎng)化順利進(jìn)行的前提和核心條件，因此Shibor基準(zhǔn)利率的日漸成熟是我國(guó)利率市場(chǎng)化攻堅(jiān)階段的重要任務(wù)。
[Abstract]:On July 20, 2013, the central bank announced that the control of interest rate on loans should be liberalized, marking another important step forward in China's interest rate marketization which has been carried out for more than 20 years. So far, under the new situation and new stage, how to construct the benchmark interest rate system in the money market in the interest rate marketization is worthy of our attention. Therefore, based on the current situation of lending rate liberalization in the process of interest rate liberalization in China, this paper studies the operation effect of Shanghai Interbank offered rate (Shibor), which is based on the market benchmark interest rate, in the further stage of interest rate marketization. It is both in line with the current situation and has great practical significance. There are six parts in this paper. The first chapter introduces the background and significance of the research, summarizes the domestic and foreign interest rate marketization and benchmark interest rate selection, points out that the mature money market benchmark interest rate is the key to promote the interest rate marketization. Chapter 2 mainly discusses the definition of benchmark interest rate, the general attribute of benchmark interest rate and its function after establishment, and the choice of foreign benchmark interest rate, which lays a theoretical foundation for this study, and introduces the course of marketization of loan interest rate. The significance and the relationship between the loan interest rate and the market benchmark interest rate accord with the research topic of this paper. Chapter 3 carries on the qualitative analysis to the Shibor, introduces the operation mechanism of Shibor and the rationality and feasibility in theory and reality. By comparing with other major market interest rates, Shibor is the best choice of benchmark interest rate in China. Chapter 4 makes quantitative analysis of Shibor, using descriptive analysis, correlation test and ADF unit root test, respectively. Granger causality test, vector autoregressive model (VAR) and impulse response function are used to analyze the basic properties of benchmark interest rate. This paper studies the relationship between the term interest rate of Shibor itself, the relationship between Shibor and other interest rates in money market, the relationship between Shibor and macroeconomic variables, and the relationship between Shibor and stock market. It is proved that Shibor has been cultivated by the central bank and financial institutions for more than seven years. The basic attributes of market, foundation, correlation and stability have been improved, especially the short-term Shibor shows strong benchmark interest rate characteristics, while the medium and long term Shibor needs to increase the market trading volume in order to improve its market sensitivity; Chapter 5 studies the relationship between Shibor and loan interest rate, which indicates that the influence of Shibor on credit market needs to be strengthened. Chapter 6 summarizes the full text and puts forward some suggestions to perfect Shibor in order to promote the establishment of market benchmark interest rate as soon as possible. The final research results of this paper prove that Shibor is scientific and reasonable as the benchmark interest rate of market under the open environment of loan interest rate, and it is close to becoming a perfect benchmark interest rate. At the same time, the establishment of market benchmark interest rate is the premise and core condition to promote the marketization of interest rate. Therefore, the maturation of Shibor benchmark interest rate is an important task in the stage of interest rate marketization in our country.
【學(xué)位授予單位】：江南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.1;F832.4

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