本文選題：銀行間同業(yè)拆借市場　切入點：市場流動性　出處：《西南財經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：銀行間同業(yè)拆借市場是我國貨幣市場的重要組成部分。它在金融市場中扮演著提供短期資金融通市場、提供市場基準利率參考等重要作用。在各類金融市場中,銀行間同業(yè)拆借市場的交易規(guī)模,交易頻率都處于領(lǐng)先地位。目前,我國處于金融市場改革,尤其是利率市場化改革的重要階段。銀行間同業(yè)拆借市場的穩(wěn)定關(guān)系到整個金融市場乃至國民經(jīng)濟的健康發(fā)展。 流動性是金融資產(chǎn)和金融市場的一項基本性質(zhì),但目前學(xué)術(shù)界對流動性的概念并未給出明確的定義。流動性概念本身內(nèi)涵豐富,對于不同的研究對象,其流動性概念不盡相同,就分類而言大致可分為宏觀貨幣流動性、金融市場流動性和金融資產(chǎn)流動性三個層面。不同層面的流動性側(cè)重點不同,目前還沒有單獨針對銀行間同業(yè)拆借市場流動性的定義。正因為流動性概念的多元化,流動性的衡量方法也是層出不窮。流動性概念的差異、研究角度的差異都會導(dǎo)致衡量方法的不同。因此,這些概念與方法需要梳理與整合,并且找到評價方法。 近段時期以來,我國金融市場多次爆發(fā)“錢荒”,其實質(zhì)就是流動性不足。然而,我國M2貨幣量常年保持12%以上高速增長,宏觀層面流動性充裕,并未出現(xiàn)短缺現(xiàn)象。那么頻頻爆發(fā)的“錢荒”究竟如何顯現(xiàn)?其衡量標準是什么?影響因素又有哪些?本文以我國銀行間同業(yè)拆借市場作為具體的研究對象,嘗試給出針對銀行間同業(yè)拆借市場的流動性定義,并且給出衡量銀行問同業(yè)拆借市場流動性的方法。在此基礎(chǔ)上,探究影響銀行間同業(yè)拆借市場流動性的因素,最后提出針對性建議。 本文主要分為三個部分,分別回答“是什么”、“為什么”、“怎么辦”三個問題。主要結(jié)構(gòu)與結(jié)論如下： 前三章是第一部分。這一部分主要解決“銀行間同業(yè)拆借市場流動性是什么”的問題。本文在總結(jié)前人關(guān)于流動性概念界定的基礎(chǔ)上,對流動性從概念角度進行了分類,分為宏觀流動性、銀行間系統(tǒng)流動性以及市場流動性。分類之后,本文總結(jié)了銀行間同業(yè)拆借市場的特點,從而有助于將其流動性科學(xué)歸類。之后,本文給出對銀行間同業(yè)拆借市場流動性的概念并根據(jù)概念給出銀行間同業(yè)拆借市場流動性的度量定義式。這一部分本文的主要結(jié)論有：1)流動性分為宏觀流動性、銀行系統(tǒng)流動性以及金融市場流動性三類。三者關(guān)系密切,一方面,金融市場的流動性離不開足夠多的宏觀貨幣流動性的支撐,另一方面,金融市場的流動性也會對銀行系統(tǒng)流動性、貨幣流動性有反作用。2)銀行間同業(yè)拆借市場有如下特點：融資以短期融資為主；交易方式簡便,效率高、無擔保信用交易且交易金額較大；交易參與者主體不限于商業(yè)銀行；成交利率由交易雙方協(xié)定。3)銀行間同業(yè)拆借市場作為貨幣市場中重要的子市場,其流動性具備微觀層面市場流動性的特征,但不同于一般意義上市場流動性的概念。同時,銀行間同業(yè)拆借市場流動性也無法從宏觀角度加以概念界定。銀行間同業(yè)拆借市場其本質(zhì)屬性是微觀層面的金融市場,流動性核心在于交易實現(xiàn)的難易程度。4)銀行間同業(yè)拆借市場流動性是指在銀行間同業(yè)拆借市場利率不發(fā)生顯著波動的前提下,銀行間同業(yè)拆借市場的交易主體能夠在短期內(nèi)基于信用拆借資金的難易程度。由這一定義的描述可見,銀行間同業(yè)拆借市場流動性涵蓋了交易期限、交易價格以及交易難易程度三方面的特性。5)銀行間同業(yè)拆借市場流動性測度參照價量結(jié)合法中的比率法,并從自身概念定義出發(fā),用成交金額與相對應(yīng)的同業(yè)市場拆借利率之比衡量。 第四章至第六章是第二部分,該部分主要回答“為什么”的問題,即影響銀行間同業(yè)拆借市場流動性的因素。本文先從理論角度出發(fā),在現(xiàn)有研究成果的基礎(chǔ)上對影響因素進行分類,篩選出宏觀流動性、相關(guān)市場價格、市場集中度和貨幣政策四個方面的影響因素。在第五章,運用協(xié)整理論、VAR模型等統(tǒng)計計量方法對分別屬于宏觀流動性、相關(guān)市場價格、市場結(jié)構(gòu)三個維度的M2貨幣量、人民幣匯率、銀行間債券隔夜拆借利率、市場集中度四個指標做實證分析,得出結(jié)論。在第六章,針對貨幣政策這一維度,本文選擇存款準備金率這一指標,運用事件分析法做實證分析。該部分實證主要結(jié)論如下：1)人民幣M1貨幣量、人民幣匯率、銀行間債券市場隔夜質(zhì)押式回購利率、市場集中度與銀行間同業(yè)拆借市場流動性之間具有長期穩(wěn)定關(guān)系,即協(xié)整關(guān)系；2)人民幣M1貨幣量、人民幣匯率、銀行間債券市場隔夜質(zhì)押式回購利率是銀行間同業(yè)拆借市場流動性的格蘭杰原因,而市場集中度無法認定為是銀行間同業(yè)拆借市場流動性的格蘭杰原因。3)人民幣M1貨幣量、人民幣匯率對銀行間同業(yè)拆借市場流動性具有正向影響,而銀行間債券市場隔夜質(zhì)押式回購利率對流動性具有反向影響,回購利率越高,同業(yè)拆借市場流動性越弱,說明銀行間同業(yè)拆借市場與銀行間債券市場同質(zhì)性大于替代性。4)短期內(nèi)銀行間同業(yè)拆借市場流動性的波動由長期均衡狀態(tài)與各變量短期波動決定。當短期波動偏離長期均衡時,市場流動性具有自身修復(fù)能力。5)存款準備金率對銀行間同業(yè)拆借市場流動性的影響不確定,與市場對貨幣政策工具的預(yù)期有關(guān)。 最后一章是第三部分。這部分回答“怎么辦”的問題,即基于上文的研究成果從宏觀流動性管理、貨幣政策使用、市場結(jié)構(gòu)優(yōu)化三個方面提出政策建議,希望能為管理好銀行間同業(yè)拆借市場流動性提供幫助。
[Abstract]:Interbank market is an important part of China's money market. It plays to provide short-term financing market in the financial market, provide the important role of the market benchmark interest rate reference. In all kinds of financial market, the inter-bank market transactions, trading frequency are in a leading position. Now, I in China's financial market reform, especially the important stage of the market-oriented reform of interest rate. The interbank market stability related to the healthy development of the financial market and the national economy.
Liquidity is one of the basic properties of financial assets and financial market, but the current academic definition of the liquidity concept did not give a clear liquidity. The concept of rich connotation, for different subjects, the concept of liquidity is not the same, then classification can be divided into macro monetary liquidity, three the level of financial market liquidity and asset liquidity. Liquidity is different in the different levels, there is no separate in the inter-bank market liquidity definition. Because of diversification of the concept of liquidity, liquidity is also a measure of liquidity. The differences emerge in an endless stream of concepts, different research angles will cause measure different methods. Therefore, these concepts and methods of combing and integration, and find the evaluation method.
In the period since the outbreak of the financial market of our country, "shortage of money", its essence is the lack of liquidity. However, China's M2 money supply perennial maintain more than 12% growth, the macro level liquidity shortage, did not appear. So the frequent outbreak of the "shortage of money" how to show what is the measure? Standard? What factors have effect? Based on China's interbank market as the concrete research object, tries to give the definition of liquidity in the interbank market, and gives a measure of bank liquidity in the interbank market ask method. On this basis, to explore the influence factors of liquidity in interbank market finally, put forward suggestions.
This article is divided into three parts, which answer three questions: "what is", "why" and "how to do". The main structure and conclusion are as follows:
The three chapter is the first part. This part is mainly to solve the "interbank liquidity of interbank market is what" problem. The paper based on the definition of liquidity, the liquidity from the perspective of the concept of classification, divided into macro liquidity, interbank liquidity and market liquidity system. After classification, this paper summarizes the characteristics of the inter-bank market, which will help the flow of scientific classification. After that, this article gives to the inter-bank market liquidity concepts and concepts are given according to the interbank offered by measure the liquidity of the market. The main conclusions of this part of the paper are: 1) liquidity into macro liquidity, liquidity in the banking system liquidity and financial markets three. Three closely related, on the one hand, financial market liquidity cannot do without enough macro currency flow Dynamic support, on the other hand, financial market liquidity will be on the banking system liquidity, monetary liquidity has a negative effect.2) interbank market has the following characteristics: financing for short-term financing; simple transactions, high efficiency, unsecured credit transaction and the transaction amount is larger; trading participants not limited to commercial banks; the turnover rate by the parties to the transaction agreement.3) interbank market as an important money market in the market, the liquidity of the market liquidity has the characteristics of micro level, but the concept is different from the general sense of market liquidity. At the same time, the inter-bank market liquidity is not from a macro the angle to the definition. The inter-bank market and its essence is the micro level of the financial market, liquidity trading is the core of the difficult degree of interbank.4) Market liquidity refers to the interbank market interest rate is not the premise of significant volatility, trading the main interbank market to ease credit lending funds based in the short term. By this definition description is visible, the inter-bank liquidity of interbank market covers trading period, the transaction price and the transaction difficulty in three aspects of the characteristics of.5) interbank market liquidity measure reference price and volume ratio method combined with the law, and starting from its definition, with turnover and the corresponding interbank market lending rate ratio.
The fourth chapter to the sixth chapter is the second part, this part mainly answers the question of "why", namely the influence of the inter-bank market liquidity factors. The thesis classifies the influencing factors on the basis of existing research results, selected macro liquidity, market price, influence factor four a degree of monetary policy and market concentration. In the fifth chapter, using cointegration theory, VAR model and other statistical methods of measurement belong to macro liquidity, the relevant market price, the amount of money M2 the three dimensions of the structure of the market, the RMB exchange rate, the inter-bank bond market overnight rate, concentration of four indicators the empirical analysis, draw the conclusion. In the sixth chapter, according to the dimensions of monetary policy, the deposit reserve rate, the event analysis method to do empirical analysis. The empirical part, the main conclusions are as follows: 1) the amount of money of RMB M1, the RMB exchange rate, the inter-bank bond market overnight collateral repo rate, the market concentration between liquidity and interbank lending market has a long-term stable relationship, the cointegration relationship; 2) the amount of money of RMB M1, the RMB exchange rate, the inter-bank bond market overnight collateral repo rate is between banks the interbank market liquidity Grainger reason, market concentration is not identified as the interbank market liquidity of RMB M1.3 Grainger) the amount of money, the RMB exchange rate on the interbank lending market liquidity has a positive impact, while the inter-bank bond market overnight collateral repo rate has negative effect on the flow the higher the interest rate, repo, interbank market liquidity is weak, indicating that the bank homogeneity between the interbank market and the inter-bank bond market is larger than for.4 short) Decide in the interbank market liquidity volatility from the long-term equilibrium and short-term fluctuations in the variables. When short-term fluctuations deviate from the long-term equilibrium, market liquidity has its own ability to repair.5) the deposit reserve rate on the interbank market liquidity of the interbank market uncertainty, and the tools of monetary policy expectations.
The last chapter is the third part. This part answers the question of what to do, which is based on the above research results from macro liquidity management, monetary policy, market structure optimization in three aspects and put forward some policy suggestions, I hope to provide help for the management of the inter-bank market liquidity.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51

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