發(fā)布時(shí)間：2018-03-19 04:27

  本文選題：基準(zhǔn)利率　切入點(diǎn)：利率市場(chǎng)化　出處：《哈爾濱商業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：我國(guó)金融市場(chǎng)的不斷發(fā)展使得貨幣政策的內(nèi)生性不斷加強(qiáng),貨幣供應(yīng)量在反映實(shí)體經(jīng)濟(jì)方面的優(yōu)勢(shì)不斷降低。相比而言,隨著我國(guó)利率市場(chǎng)化進(jìn)程的不斷深入,尤其是從近幾年我國(guó)宏觀調(diào)控以利率手段為主的實(shí)際情況來(lái)看,利率指標(biāo)的重要性日益凸顯。在我國(guó)貨幣供應(yīng)量指標(biāo)有效性不斷弱化而利率指標(biāo)有效性不斷提高的背景下,研究如何確定一只能夠反映金融市場(chǎng)資金供求狀況,同時(shí)也能擔(dān)任其他利率定價(jià)參照的基準(zhǔn)收益率對(duì)于推進(jìn)利率市場(chǎng)化改革、促進(jìn)金融市場(chǎng)發(fā)展以及提高貨幣政策有效性等方面都具有一定的前瞻意義。我國(guó)目前各個(gè)利率品種在期限結(jié)構(gòu)的完整性、市場(chǎng)化程度、風(fēng)險(xiǎn)水平等方面都存在不同程度的缺陷,探索不同期限結(jié)構(gòu)的利率品種在擔(dān)任基準(zhǔn)利率的有效性對(duì)于形成一條相對(duì)完整的基準(zhǔn)收益率曲線,進(jìn)而推動(dòng)我國(guó)利率市場(chǎng)化進(jìn)程具有一定的創(chuàng)新意義。 緒論部分主要對(duì)研究的背景、目的、意義、國(guó)內(nèi)外研究現(xiàn)狀、內(nèi)容和方法等進(jìn)行了闡述,并說(shuō)明了可能存在的創(chuàng)新點(diǎn)；理論基礎(chǔ)部分在對(duì)核心概念進(jìn)行介紹的基礎(chǔ)上,對(duì)利率期限結(jié)構(gòu)理論和貨幣政策傳導(dǎo)機(jī)制理論進(jìn)行論述,作為研究的理論支撐；基準(zhǔn)利率選擇的經(jīng)濟(jì)學(xué)分析主要包含兩部分內(nèi)容,一是通過(guò)基準(zhǔn)利率傳導(dǎo)機(jī)制的分析對(duì)貨幣政策傳導(dǎo)途徑和基準(zhǔn)利率對(duì)實(shí)體經(jīng)濟(jì)的影響進(jìn)行論證,主要為了說(shuō)明確定基準(zhǔn)利率的必要性。二是我國(guó)金融市場(chǎng)基準(zhǔn)利率考察,在確定基準(zhǔn)利率選擇標(biāo)準(zhǔn)的基礎(chǔ)上對(duì)基準(zhǔn)利率進(jìn)行了初步的定性分析；實(shí)證分析部分,構(gòu)建了多元VAR模型并在此基礎(chǔ)上對(duì)變量進(jìn)行平穩(wěn)性檢驗(yàn)、協(xié)整檢驗(yàn)以及Granger因果關(guān)系檢驗(yàn),得出實(shí)證結(jié)論；最后提出了培育我國(guó)基準(zhǔn)收益率的政策建議,包括鞏固SHIBOR短端基準(zhǔn)地位以及不斷強(qiáng)化國(guó)債利率基準(zhǔn)地位等。得出的主要結(jié)論有： 作為基準(zhǔn)利率,必須具備低風(fēng)險(xiǎn)、高流動(dòng)性、規(guī)模充足、數(shù)據(jù)完整可得、期限結(jié)構(gòu)完整等特性,而我國(guó)目前尚不存在這樣一只單一的利率能夠滿足全部要求,各主要利率品種都存在不同的缺陷；在一年以內(nèi)的短期中,SHIBOR具有更強(qiáng)的基準(zhǔn)性,雖然在某一期限(如一個(gè)月)中各個(gè)利率表現(xiàn)出相互獨(dú)立性,但是從相關(guān)性以及領(lǐng)先——滯后關(guān)系上看,基準(zhǔn)收益率曲線的短端由SHIBOR更為合適,而基準(zhǔn)收益率曲線的長(zhǎng)端上,銀行間國(guó)債利率表現(xiàn)了更多的基準(zhǔn)性,我國(guó)完整的基準(zhǔn)收益率曲線短端由SHIBOR擔(dān)任,長(zhǎng)端由銀行間國(guó)債回購(gòu)利率擔(dān)任可能是比較好的選擇：SHIBOR目前仍存在交易機(jī)制不完善、運(yùn)行環(huán)境不穩(wěn)定等問(wèn)題,因此必須鞏固其在短端的基準(zhǔn)地位。從長(zhǎng)遠(yuǎn)來(lái)看,國(guó)債是適合作為基準(zhǔn)利率的唯一選擇,而這一目標(biāo)的實(shí)現(xiàn)有賴于國(guó)債期限結(jié)構(gòu)的完善以及國(guó)債市場(chǎng)的改革。
[Abstract]:The continuous development of China's financial market makes the endogenous monetary policy continues to strengthen, the advantage of the money supply in the real economy reflect decreased continuously. Compared with China's market-oriented interest rate process deeply, especially the actual situation from the macro regulation of our country in recent years with the interest rate means the importance. The interest rate index has become increasingly prominent. In China's money supply index effectiveness weakening and the background of increasing the effectiveness of the interest rate index, how to determine a can reflect the supply and demand of funds in the money market, the benchmark yield can also serve as reference for other interest rate pricing rates to promote market-oriented interest rate reform, are forward-looking significance will promote the development of financial markets and improve the effectiveness of monetary policy and other aspects. At present various varieties in the integrity of the interest rate term structure, marketization The degree of defects, there are different levels of risk level, explore the different term structure of interest rates in the benchmark interest rate as the effectiveness of varieties to form a relatively complete benchmark interest rate curve, thus promoting the process of China's interest rate market has certain innovation significance.
The introduction part mainly on the background, research purpose, significance, research status at home and abroad, the contents and methods are introduced and explained the possible innovations; theoretical basis based on the core concept of the introduction, discusses the theory of the term structure of interest rate theory and the transmission mechanism of monetary policy, as a theoretical support study on the economic analysis; the choice of benchmark interest rate mainly includes two parts, one is the impact on the transmission channels of monetary policy and the benchmark interest rate on the real economy are discussed through the analysis of the benchmark interest rate conduction mechanism, mainly in order to illustrate the necessity of determining the benchmark interest rate is two. The benchmark interest rate of China's financial market investigation, based on determining the selection criteria of the benchmark interest rate benchmark interest rates are preliminary qualitative analysis; empirical analysis, establish multivariate VAR model and on the basis of Variable stationary test, cointegration test and Granger causality test, the empirical conclusions; finally put forward Fostering China's benchmark rate of return policy recommendations, including the consolidation of SHIBOR short end of the reference position and continue to strengthen debt interest rate benchmark status. The main conclusions are as follows:
As the benchmark interest rate, must have low risk, high liquidity, scale sufficient, complete data available, complete the term structure and other characteristics, and the current is not the existence of such a single rate can meet all the requirements, the main interest rate varieties have different defects; within one year in the short term, the benchmark SHIBOR has stronger, although in a certain period of time (such as a month) in various interest rates show mutual independence, but from the relationship and leading lag relations, the short end of the benchmark yield curve by SHIBOR is more appropriate, and the long end of the benchmark yield curve on the interbank interest rate the benchmark more, our benchmark yield rate of complete short end of the curve by SHIBOR as the long end of the inter-bank bond repurchase rate as may be the better choice: SHIBOR is still imperfect tradingmechanism operation Environmental instability and other issues must consolidate its benchmark position in the short end. In the long run, treasury bonds are the only option suitable for benchmark interest rates, and the realization of this goal depends on the maturity structure of treasury bonds and the reform of the Treasury market.

【學(xué)位授予單位】：哈爾濱商業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.5

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1 龍安國(guó);論國(guó)債期限結(jié)構(gòu)的優(yōu)化[J];科技情報(bào)開發(fā)與經(jīng)濟(jì);2003年05期

2 梁世棟,郭N，

本文編號(hào)：1632844