本文選題：同業(yè)拆借市場(chǎng) + 風(fēng)險(xiǎn)溢價(jià)　； 參考：《遼寧大學(xué)》2017年碩士論文

【摘要】：金融市場(chǎng)最重要的一個(gè)功能是實(shí)現(xiàn)資源的有效配置,調(diào)節(jié)資金在盈余部門和短缺部門之間的流轉(zhuǎn)。根據(jù)融資期限的長(zhǎng)短,又可將金融市場(chǎng)分為貨幣市場(chǎng)和資本市場(chǎng),貨幣市場(chǎng)的融資期限較短而資本市場(chǎng)的融資期限較長(zhǎng)。貨幣市場(chǎng)中短期或者超短期的融資活動(dòng)有很多通過同業(yè)拆借市場(chǎng)達(dá)成交易。同業(yè)拆借市場(chǎng)的產(chǎn)生源于法定準(zhǔn)備金制度的實(shí)施。作為銀行類金融機(jī)構(gòu)進(jìn)行短期資金拆借的交易市場(chǎng),同業(yè)拆借市場(chǎng)上的拆借利率受資金供求關(guān)系的影響,主要是由拆借雙方商定的,并在此基礎(chǔ)上得到加權(quán)平均利率,由于該利率能夠較好地反映資金供求狀況,所以也是中央銀行進(jìn)行貨幣政策調(diào)控的重要參考內(nèi)容。近年來,我國(guó)經(jīng)濟(jì)經(jīng)歷了一段持續(xù)的高速增長(zhǎng)期,非銀行金融機(jī)構(gòu)等經(jīng)過擴(kuò)容后被允許通過同業(yè)拆借市場(chǎng)進(jìn)行資金融通,增加的交易主體范圍相應(yīng)的也帶來更多的風(fēng)險(xiǎn)隱患。特別是從2012年開始,我國(guó)經(jīng)濟(jì)發(fā)展增速開始下降,經(jīng)濟(jì)進(jìn)入衰退期的聲音此起彼伏,在經(jīng)濟(jì)繁榮期被被掩蓋的各種潛在風(fēng)險(xiǎn)漸漸實(shí)質(zhì)化。我國(guó)的金融市場(chǎng)以間接金融為主體,銀行在其中扮演著很重要的角色,整個(gè)銀行體系不良貸款率的上升,杠桿率居高不下也讓其受到了越來越多的質(zhì)疑,在這樣的背景下,研究同業(yè)拆借市場(chǎng)的風(fēng)險(xiǎn)狀況就具有了非常強(qiáng)的理論意義和現(xiàn)實(shí)意義。文章對(duì)我國(guó)同業(yè)拆借市場(chǎng)風(fēng)險(xiǎn)狀況的研究將理論與實(shí)證結(jié)合在一起。具體而言,綜合比較現(xiàn)有的國(guó)內(nèi)外學(xué)術(shù)成果,對(duì)我國(guó)同業(yè)拆借市場(chǎng)風(fēng)險(xiǎn)情況的研究基于我國(guó)同業(yè)拆借市場(chǎng)的風(fēng)險(xiǎn)溢價(jià),后者采用同業(yè)拆借市場(chǎng)上的收益率超過無風(fēng)險(xiǎn)利率的部分來度量,并以此為理論依據(jù),選取我國(guó)最近幾年經(jīng)濟(jì)增速放緩這一時(shí)間跨度作為樣本周期,同時(shí)結(jié)合我國(guó)金融市場(chǎng)的發(fā)展,對(duì)樣本的選擇進(jìn)行更深入的分析,選擇更普遍適用的的樣本數(shù)據(jù),結(jié)合實(shí)證模型對(duì)我國(guó)同業(yè)拆借市場(chǎng)風(fēng)險(xiǎn)進(jìn)行更深層次的分析。本文研究發(fā)現(xiàn)同業(yè)拆借市場(chǎng)的信用風(fēng)險(xiǎn)和短期流動(dòng)性風(fēng)險(xiǎn)是對(duì)我國(guó)同業(yè)拆借市場(chǎng)風(fēng)險(xiǎn)溢價(jià)的有顯著影響的因素,通過對(duì)信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)深入分析,聯(lián)系我國(guó)當(dāng)前金融市場(chǎng)發(fā)展,給出合理建議,降低信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn),穩(wěn)定同業(yè)拆借市場(chǎng),防范系統(tǒng)性風(fēng)險(xiǎn)。
[Abstract]:One of the most important functions of financial markets is to realize the efficient allocation of resources and to regulate the flow of funds between surplus and shortage sectors. According to the length of the financing period, the financial market can be divided into the money market and the capital market. The financing period of the money market is shorter and the financing period of the capital market is longer. Money market short-term or ultra-short-term financing activities many through the interbank market transactions. The production of the interbank borrowing market originates from the implementation of the legal reserve fund system. As a trading market for short-term capital borrowing by banks and financial institutions, the lending rate in the interbank lending market is affected by the relationship between the supply and demand of funds, which is mainly agreed upon by both parties, and on this basis the weighted average interest rate is obtained. As the interest rate can reflect the supply and demand of funds, it is also an important reference for the central bank to regulate monetary policy. In recent years, China's economy has experienced a period of sustained rapid growth, non-bank financial institutions have been allowed to finance through the interbank lending market after the expansion, the increased scope of trading bodies has also brought more risks. Especially since 2012, China's economic growth rate began to decline, the economy into a recession voice one after another, in the economic boom period was masked by the various potential risks gradually materialized. China's financial market is dominated by indirect finance, in which banks play a very important role. The rise of the non-performing loan ratio in the whole banking system and the high leverage ratio also make it more and more questionable. Under such a background, Studying the risk of interbank lending market has very strong theoretical and practical significance. This paper combines theory and practice to study the risk of interbank lending market in China. Specifically, compared with the existing academic achievements at home and abroad, the research on the risk of interbank lending market in China is based on the risk premium of the interbank lending market in China. The latter is measured by the portion of the interbank lending market where the yield exceeds the risk-free interest rate, and on this basis, we select the time span of economic growth slowdown in recent years as the sample cycle. At the same time, combined with the development of our financial market, the selection of samples is more in-depth analysis, the selection of more widely applicable sample data, combined with the empirical model to carry out a deeper analysis of the risk of interbank lending market in China. This paper finds that the credit risk and short-term liquidity risk of interbank lending market are the significant factors that influence the risk premium of interbank lending market in China. Through the in-depth analysis of credit risk and liquidity risk, According to the current development of financial market in China, reasonable suggestions are given to reduce credit risk and liquidity risk, stabilize interbank lending market and guard against systemic risk.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.5;F832.4

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