本文關鍵詞： 銀行間債券回購市場 流動性 融資效率 三方回購　出處：《陜西師范大學》2014年碩士論文　論文類型：學位論文

【摘要】：我國的銀行間債券回購市場是銀行間債券市場的重要組成部分,同時也是連接貨幣市場和債券市場的橋梁。以商業(yè)銀行、保險公司、證券公司等為代表的機構投資者是主要的參與者,該市場在拓寬投資者融資渠道、促進貨幣政策執(zhí)行和傳導、推進利率市場化方面發(fā)揮重要作用。銀行間債券回購市場的交易產(chǎn)品、交易機制、市場參與者行為都直接關系到該市場流動性狀況,而市場流動性狀況影響著資金配置效率、資產(chǎn)負債結(jié)構、交易成本及盈利能力,更進一步影響著我國金融市場的穩(wěn)定與發(fā)展。隨著我國銀行間債券回購市場的不斷發(fā)展,其所處的外部宏觀經(jīng)濟環(huán)境與市場內(nèi)部結(jié)構在不斷發(fā)生著變化。因此有效測度市場流動性,檢驗流動性狀況對市場參與者融資效率的影響,并針對性解決不利于市場流動性的因素成為亟待解決的問題。 本文首先根據(jù)國內(nèi)外學者的研究對市場流動性定義、測度方法和影響因素的進行總結(jié),根據(jù)我國銀行間債券回購市場的市場結(jié)構、產(chǎn)品等特征,界定我國銀行間債券回購市場流動性的定義,建立適用于我國銀行間債券回購市場的流動性指標,并從商業(yè)銀行角度考察銀行間債券回購市場流動性對融資效率的影響,從正反兩方面反映市場流動性狀況及其重要性。通過對2007年以后,我國銀行間債券回購市場的流動性的測度分析,可以得出我國銀行間債券回購市場整體發(fā)展迅速,交易主體、交易品種不斷豐富,市場整體流動性明顯提升,但同時也發(fā)現(xiàn)整個銀行間債券回購市場交易以質(zhì)押式回購為主,質(zhì)押式回購市場與買斷式回購市場流動性改善水平不同。信用類債券的換手率水平較低。在金融危機期間,我國回購市場也受到影響,換手率較危機發(fā)生前下行,回購利率與交易量波動加大,市場流動性下降。銀行間債券回購市場流動性與銀行持有超額準備金的成本負相關,即表明市場流動性與融資效率正相關,銀行間債券回購市場流動性越好對于市場參與者的融資效率越高。但從目前的影響程度上看,銀行間債券回購市場流動性對市場參與者降低流動性管理成本,提高融資效率所起的作用有限,未來通過完善市場結(jié)構、交易產(chǎn)品類型、擴充市場參與者實現(xiàn)融資效率的充分發(fā)揮。影響我國銀行間債券回購市場流動性的因素主要分內(nèi)外兩種：宏觀經(jīng)濟因素和市場內(nèi)部因素。其中宏觀經(jīng)濟因素包括宏觀流動性、貨幣政策,市場內(nèi)部因素有回購市場機制建設因素、產(chǎn)品結(jié)構因素、制度與規(guī)范因素。 金融危機期間美歐回購市場,特別是三方回購市場表現(xiàn)差異,美國回購市場出現(xiàn)了“抵押品危機”,三方回購市場在危機中暴露了很多缺陷和漏洞,市場融資規(guī)模在短期內(nèi)暴跌,加速了兩大投行的倒閉,對金融危機造成推波助瀾的作用。相反,歐洲三方回購市場在為金融機構提供流動性,維持市場穩(wěn)定方面發(fā)揮了應有的作用。從市場參與者、擔保品結(jié)構等方面看,歐洲回購市場與我國較為類似,因此歐洲回購市場機制,三方回購經(jīng)驗對于我國回購市場提高流動性,進行機制創(chuàng)新具有借鑒意義。 未來我國銀行間債券回購市場在落實《中國銀行間市場債券回購交易主協(xié)議(2013年版)》的基礎上,通過完善制度措施,推動相關配套設施建設,健全回購市場機制,加大創(chuàng)新力度,適時推出三方回購業(yè)務,實現(xiàn)銀行間債券回購市場流動性的提高。
[Abstract]:China's inter-bank bond repo market is an important part of the inter-bank bond market, but also the bridge between the money market and bond market. Commercial banks, insurance companies, securities companies as the representative of the institutional investors are the main participants in the market, broadening the financing channels for investors, and promote the implementation of monetary policy conduction and play an important role in promoting the marketization of interest rates. The inter-bank bond repo market trading products, trading mechanism, market participants are directly related to the liquidity situation of the market, and the market liquidity situation affects the efficiency of capital allocation, asset liability structure, transaction cost and profitability, and further affects the stability and development of our China's financial markets. With the continuous development of China's inter-bank bond repo market, in which the external macroeconomic environment and market structure in time Therefore, effective measurement of market liquidity and testing of the impact of liquidity on market participants' financing efficiency and targeted solutions to factors that are not conducive to market liquidity have become urgent problems.
According to the research of domestic and foreign scholars on the definition of market liquidity, measurement methods and influence factors were summarized, according to the market structure of China's inter-bank bond repo market, product features, the definition of the liquidity of China's inter-bank bond repo market, liquidity index established in the inter-bank bond repo in the market, and the effect of the liquidity of inter-bank bond repo market on the financing efficiency from the perspective of commercial banks, reflect the status of market liquidity and its importance from two aspects of positive and negative. According to the analysis after 2007, China's inter-bank bond repo market liquidity measure, can draw the overall development of China's inter-bank bond repo market quickly, the main transaction, transaction varieties continuously enriched, the overall market liquidity improved significantly, but at the same time that the inter-bank bond repo market transactions to pledge Repo, repo market and outright repo market liquidity is different. To improve the level of credit bonds in the exchange rate level is relatively low. During the financial crisis, China's repo market is also affected by exchange rate than before the crisis down, increase the repo rate and trading volume volatility, market liquidity among banks declined. The bond repo market liquidity and bank holding excess reserves cost that is negatively related to market liquidity and financing efficiency are positively related, the better the liquidity of inter-bank bond repo market financing for higher efficiency of market participants. But the extent of the influence from the point of view, the liquidity of inter-bank bond repo market to reduce the flow of market participants management costs, improve financing efficiency play a limited role, the future through improving the market structure, trading products, expanding market participants realize full financing efficiency Play. Factors influencing the liquidity of China's inter-bank bond repo market is mainly divided into two types: internal and external factors of the macroeconomic factors and internal market. The macroeconomic factors include macro liquidity, monetary policy, market factors are internal factors of the construction of the market mechanism to repurchase, product structure, system and norms.
During the financial crisis and the repo market, especially the difference between the three party repurchase market performance, the emergence of the "collateral crisis" in the U.S. repo market, three party repurchase market exposed a lot of defects and loopholes in the crisis, the market scale of financing plunged in the short term, accelerated the collapse of two major investment banks, which contributed to the financial crisis. On the contrary, the three party in the repo market to provide liquidity to financial institutions, to play its due role in maintaining market stability. From the aspects of market participants, collateral structure, European repo market and China is similar, so the European repo market mechanism, the three party repurchase experience for the liquidity of China's repo market to improve the mechanism innovation, is of great significance.
The future of China's inter-bank bond repo market in the implementation of "Chinese Inter-bank Market Bond Repo Master Agreement (2013 Edition) > on the basis, through the improvement of the system of measures to promote related facilities, improve the repo market mechanism, increase innovation, the timely introduction of three party repurchase operations, the inter-bank bond repo market liquidity improved.

【學位授予單位】：陜西師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.2;F832.51

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