本文關(guān)鍵詞： Shibor 基準(zhǔn)利率 利率期限結(jié)構(gòu) 異方差　出處：《深圳大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：基準(zhǔn)利率是金融市場(chǎng)上具有普遍參照意義的利率,市場(chǎng)上的其它利率或者金融產(chǎn)品都能夠以其作為定價(jià)基準(zhǔn)。因此,確立合理的基準(zhǔn)利率對(duì)我國(guó)金融行業(yè)的健康發(fā)展極為重要。我國(guó)當(dāng)前已經(jīng)基本上實(shí)現(xiàn)了利率市場(chǎng)化,而基準(zhǔn)利率屬于利率市場(chǎng)化的前提,意味著要實(shí)現(xiàn)真正意義上的利率市場(chǎng)化,市場(chǎng)上就得有一個(gè)具有普遍參照意義,并且廣為接受的基準(zhǔn)利率�；仡櫸覈�(guó)20多年來的利率市場(chǎng)化改革進(jìn)程,大致有以下幾個(gè)標(biāo)志性階段:我國(guó)在1993年確立了利率市場(chǎng)化改革的基本設(shè)想,并于1996年完全放開了對(duì)銀行間同業(yè)拆借利率的管制,緊接著又在1997年完全放開了銀行間回購(gòu)利率。十余年之后,我國(guó)又重啟了利率市場(chǎng)化改革進(jìn)程,并先后在2013年放開貸款利率下限,2015年放開存款利率上限。存款利率上限的放開標(biāo)志著我國(guó)利率市場(chǎng)化改革完成了最后一躍,銀行間貨幣市場(chǎng)的利率體系已經(jīng)基本脫離了行政管制,實(shí)現(xiàn)了完全的市場(chǎng)化。本文從基準(zhǔn)利率運(yùn)行的有效性出發(fā),先論述了國(guó)外基準(zhǔn)利率的選擇經(jīng)驗(yàn),然后結(jié)合學(xué)者們的研究,對(duì)我國(guó)歷史上極具基準(zhǔn)利率潛質(zhì)的利率進(jìn)行了比較,進(jìn)而歸納出基準(zhǔn)利率能有效運(yùn)行的幾點(diǎn)特征。然后圍繞這些特征逐一展開分析,根據(jù)研究問題的需要和特征之間的特點(diǎn)將實(shí)證部分分為基準(zhǔn)利率屬性研究和動(dòng)態(tài)研究?jī)刹糠�。基�?zhǔn)利率屬性方面采用了統(tǒng)計(jì)分析方法從市場(chǎng)性、基礎(chǔ)性、相關(guān)性和穩(wěn)定性幾方面深入分析比較了以上幾種利率。本文在后半部分的實(shí)證從期限結(jié)構(gòu)理論入手,研究Shibor的短期利率波動(dòng),采用了 Vasicek模型刻畫Shibor的短期變化過程。旨在分析Shibor的動(dòng)態(tài)變化是否符合基準(zhǔn)利率有效運(yùn)行的均值回復(fù)性與波動(dòng)穩(wěn)定性。為了論證的完整性,對(duì)Vasicek模型的擴(kuò)散項(xiàng)部分引入GARCH模型構(gòu)建雙因素Vasicek模型,考慮了波動(dòng)項(xiàng)的時(shí)變問題。進(jìn)一步地,為了說明利率的非對(duì)稱波動(dòng)特性,本文在最后還擬合了 Vasicek-GARCH(1,1)模型,使模型更貼近我國(guó)經(jīng)濟(jì)發(fā)展環(huán)境。本文在最后總結(jié)了 Shibor作為基準(zhǔn)利率運(yùn)行的有效性如何,以及存在的不足,并對(duì)今后Shibor的發(fā)展方向給出了幾點(diǎn)啟發(fā)性的建議。
[Abstract]:The benchmark interest rate is the universal reference rates of the financial market, the market interest rate or other financial products can be as the pricing benchmark. Therefore, the establishment of a reasonable benchmark interest rate for the healthy development of China's financial industry is very important. At present in our country has basically realized the interest rate market, while the benchmark interest rate is the premise of the interest rate market means to achieve a real sense of the interest rate market, there is a universal reference significance to the market, and is widely accepted. The review process of the benchmark interest rate of interest rate reform in China in the past 20 years, we have the following several landmark stages: China has established the basic assume the interest rate marketization reform in 1993, and in 1996 fully liberalized to interbank interest rate control, and then in 1997 fully liberalized inter-bank repo rate more than ten years. After China resumed the market-oriented interest rate reform process, and then release the lower lending rates in 2013 2015, release the deposit rate ceiling. The ceiling on deposit interest rate liberalization marks China's market-oriented interest rate reform to complete the final leap, the inter-bank money market interest rate system has been basically out of the administrative regulation, to achieve a market-oriented completely. This paper from the effective operation of the benchmark interest rate, this article first discusses the choice of foreign experience in the benchmark interest rate, and then combined with the study of the scholars, on China's history of great potential interest rate benchmark interest rates were compared, and then summed up some characteristics of the benchmark interest rate can run efficiently. Then around these features one by one analysis, according to the characteristics between the needs and characteristics of research problems of the empirical part is divided into two parts: properties and dynamic study of the benchmark interest rate benchmark interest rate. Aspects of mining property Using the method of statistical analysis from the market, the basic aspects of correlation and stability, in-depth analysis and comparison of the above rates. This paper starts from the theory of the term structure in the latter part of the empirical research, the short-term interest rate volatility Shibor, short-term changes in process using the Vasicek model. In order to characterize Shibor dynamic change analysis of Shibor whether compliance the stability and fluctuation of mean reversion for the effective operation of the benchmark interest rate. In order to complete the proof, construct the two factor Vasicek model GARCH model Vasicek model of diffusion part is introduced, considering the fluctuation of time-varying problems. Further, in order to illustrate the characteristics of asymmetric volatility of interest rates, at last this paper also fitted Vasicek-GARCH (1,1) the model, which makes the model more close to the environment of economic development in our country. Finally this paper summarizes the effectiveness of Shibor as the benchmark interest rate operation, and the existence of Some suggestions are given for the development of Shibor in the future.

【學(xué)位授予單位】：深圳大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F822.0;F832.5

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本文編號(hào)：1551784