本文選題：Shibor　切入點：基準利率　出處：《復旦大學》2014年碩士論文

【摘要】：利率市場化改革是近幾十年中國金融改革的核心,而利率市場化改革的核心任務在于構(gòu)建健全、有效的基準利率體系,使之成為經(jīng)濟主體資產(chǎn)定價、成本確定和風險管理的依據(jù),并為中央銀行的貨幣政策制定提供監(jiān)測、指導與參考作用。中國的基準利率建設經(jīng)歷了三個階段,未來的建設目標是將Shibor建設成為中國版的"Libor"。本文旨在研究歷經(jīng)7年培育的Shibor是否已經(jīng)符合基準利率的運行特性。為了對Shibor的運行特性有個科學的評價,本文共分六個章節(jié)。第一章作為引言,由當前社會各界研究熱點—利率市場化改革引出基準利率建設的重要性及Shibor的政策定位,進而說明本文的研究問題以及與之相關的數(shù)據(jù)、方法和思路等。第二章概括了國外有關基準利率運行特性的研究,也綜合考察了國內(nèi)關于基準利率選擇文獻,從而歸納出基準利率的六大運行特性,即市場性、可測性、穩(wěn)定性、基礎性、可控性和相關性。第三章對中國的利率市場化改革進程及基準利率建設實踐作了系統(tǒng)闡述,旨在得出中國利率體系；隨后基于前人的研究,文章對中國利率體系做了一個梳理,目的有兩個：對Shibor的市場性和可測性做定性分析；尋找能與Shibor競爭的定價基準,為Shibor的基礎性特性研究做支撐。第四章借助于各類計量工具,研究Shibor在穩(wěn)定性、基礎性、可控性和相關性等特性的表現(xiàn),其中穩(wěn)定性主要通過橫向比較與平穩(wěn)性檢驗來考察,基礎性的驗證方式是格蘭杰因果檢驗,可控性和相關性的研究分別基于一個簡化的商業(yè)銀行經(jīng)營決策模型及泰勒規(guī)則進行的。第五章以利率平價理論為基礎,將中國的利率市場化改革和匯率制度改革聯(lián)立起來；為了能夠更好的考察人民幣匯率市場化改革過程中利率與匯率之間的互動,本文根據(jù)匯率波動幅度的不同進行分組,并使用格蘭杰因果檢驗方法進行實證分析。第六章對Shibor的運行特性做全面評價：Shibor呈現(xiàn)出良好的市場性、可測性與可控性；穩(wěn)定性并非Shibor作為基準利率的條件；受到債券回購交易成為短期資金融通的主要形式影響,Shibor基礎性表現(xiàn)一般；與經(jīng)濟增長相比,Shibor受通脹的影響更大；中國的金融改革不同步影響了利率平價理論的表現(xiàn)。文章隨后對Shibor的建設提出了一攬子建議。
[Abstract]:Interest rate marketization reform is the core of China's financial reform in recent decades, and the core task of interest rate marketization reform is to build a sound and effective benchmark interest rate system to make it become the asset pricing of economic main body.Basis for cost determination and risk management, and provide monitoring, guidance and reference for central bank monetary policy making.The construction of China's benchmark interest rate has gone through three stages. The goal of future construction is to build Shibor into a Chinese version of "Libor".The purpose of this paper is to study whether the Shibor, which has been cultivated for 7 years, has been in line with the operating characteristics of the benchmark interest rate.In order to evaluate the operation characteristics of Shibor scientifically, this paper is divided into six chapters.The first chapter, as an introduction, introduces the importance of benchmark interest rate construction and the policy orientation of Shibor from the current research hotspot of interest rate market-oriented reform, and then explains the research problems and related data, methods and ideas of this paper.The second chapter summarizes the research on the operating characteristics of the benchmark interest rate abroad, and also reviews the domestic literature on the choice of the benchmark interest rate, and concludes the six operating characteristics of the benchmark interest rate, that is, marketability, measurability, stability and foundation.Controllability and correlation.The third chapter systematically expounds the process of interest rate marketization reform and the practice of benchmark interest rate construction in order to obtain the interest rate system of China, and then, based on the previous studies, the article makes a combing of the interest rate system in China.The purpose of this paper is to make qualitative analysis on the market and testability of Shibor and to find a price benchmark that can compete with Shibor to support the research on the basic characteristics of Shibor.Chapter four studies the performance of Shibor in stability, foundation, controllability and correlation by means of various metrological tools, in which stability is mainly investigated by horizontal comparison and stability test.The basic verification method is Granger causality test, controllability and correlation, based on a simplified commercial bank management decision model and Taylor rule, respectively.Chapter five, based on the theory of interest rate parity, combines the reform of interest rate marketization with the reform of exchange rate system in order to better investigate the interaction between interest rate and exchange rate in the process of RMB exchange rate marketization reform.This paper classifies the exchange rate fluctuations according to the range and uses the Granger causality test to make an empirical analysis.The sixth chapter gives a comprehensive evaluation of the operating characteristics of Shibor: Shibor shows good marketability, measurability and controllability, stability is not the condition of Shibor as the benchmark interest rate.Shibor's basic performance is generally affected by bond repurchase transactions as the main form of short-term financing; Shibor is more affected by inflation than economic growth; and China's financial reform has affected the performance of interest rate parity theory.The article then puts forward a package of suggestions for the construction of Shibor.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.5

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本文編號：1710091