發(fā)布時間：2017-12-30 21:02

  本文關(guān)鍵詞：上海銀行間同業(yè)拆放利率（Shibor）作為我國基準利率的研究　出處：《西南財經(jīng)大學》2013年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 基準利率 利率市場化 Shibor 基準性

【摘要】：基準利率在貨幣市場利率體系中起主導作用,是最具有代表性的利率。從長期來看,我國推出Shibor作為基準利率是我國利率市場化進程中的關(guān)鍵一步,是社會主義市場經(jīng)濟的內(nèi)在要求,也是我國貨幣政策調(diào)控方式由數(shù)量型向價格型轉(zhuǎn)變的支點�；鶞世�率是最基本、最市場化的資金價格,是整個金融市場的紐帶,也是提高我國商業(yè)銀行等金融機構(gòu)競爭力的的必要措施。因此,在我國目前的特殊國情和市場經(jīng)濟下,培育和發(fā)展一個成熟的基準利率,確實顯得非常迫切和具有必要性。 在我國利率市場化改革的過程中,曾經(jīng)嘗試把國債回購利率、銀行間同業(yè)拆借利率等好幾種作為我國的基準利率,但由于種種原因,都未能成功實踐。為了進一步推進我國的市場化進程,央行在2007年1月4日正式推出“上海銀行間同業(yè)拆放利率”,簡稱為Shibor,當作貨幣市場上的基準利率進行培育和完善,為了避免重蹈覆轍、吸取教訓,迫切需要檢驗Shibor自運行以來的實際效果,對Shibor能否作為我國貨幣市場上真正的基準利率進行系統(tǒng)的研究。 1.本文研究思路與目的 本文的研究思路：首先,在回顧了國內(nèi)外對基準利率的研究基礎(chǔ)上,對基準利率理論進行綜述,為下文的利率市場化進程、基準利率選擇和基準性實證檢驗做好理論準備工作;然后,簡述了我國基準利率的選擇及Shibor現(xiàn)狀,介紹了Shibor的運行機制,運用歸納總結(jié)、對比分析的方法對Shibor進行可行性分析。最后,運用多種計量和統(tǒng)計方法分別對市場性、基礎(chǔ)性、相關(guān)性和穩(wěn)定性進行了實證檢驗,再結(jié)合理論分析和實證檢驗的結(jié)果為Shibor的完善提出建議。 本文的研究目的：根據(jù)本文的內(nèi)容,希望本文能夠解決以下幾個問題：(1)選擇基準利率應(yīng)該參考哪些標準?基準利率的內(nèi)涵有哪些?(2)Shibor的基準性如何,能否擔當我國基準利率的重任?其中,這是最主要目的。(3)Shibor的運行情況如何?還有哪些不足?如何改進? 2.本文研究內(nèi)容 本文以我國的利率市場化進程為歷史背景,在前人對基準利率研究的基礎(chǔ)之上,以Shibor的基準性為主線,一共分為七章,主要研究內(nèi)容如下： 第一章：緒論。在分析選題背景與研究意義的基礎(chǔ)上明確研究目的,介紹本文研究思路,概述研究內(nèi)容框架后,點明本文的主要貢獻和不足。 第二章：國內(nèi)外文獻綜述。首先,回顧了國外關(guān)于基準利率的研究；其次,,總結(jié)了國內(nèi)近些年對基準利率的探索與研究；最后,對國內(nèi)外的文獻綜述進行了述評,指出了值得學習借鑒的地方以及一些不足。 第三章：基準利率理論綜述。在前人的研究基礎(chǔ)上歸納總結(jié)了基準利率的定義、一般特征和作用,并結(jié)合我國的實際情況,表達了我國確定基準利率的必要性。概述了選擇基準利率時應(yīng)該遵循的原則,在這些基礎(chǔ)上,總結(jié)了發(fā)達國家或地區(qū)幾個較為成熟的基準利率及特點。 第四章：我國基準利率的選擇及Shibor現(xiàn)狀。首先,運用比較分析的方法總結(jié)了我國幾個重要基準利率候選利率的優(yōu)缺點；其次,簡述了我國利率市場化和基準利率的探索過程,運用歸納總結(jié)、對比分析的方法從理論上分析得到Shibor優(yōu)于其它利率成為我國的基準利率；再次,簡要介紹的Shibor的運行機制及Shibor現(xiàn)狀；最后,對Shibor作為我國基準利率的可行性進行了分析。 第五章：研究方法介紹。對相關(guān)性分析、ADF檢驗、Granger因果檢驗、VAR模型、脈沖響應(yīng)的原理和特性做了簡要介紹,為下文的實證檢驗做好準備。 第六章：Shibor作為我國基準利率的實證檢驗,是本文最為重要的部分。分別對Shibor按照市場性、基礎(chǔ)性、相關(guān)性、穩(wěn)定性進行了實證檢驗,其中,相關(guān)性檢驗又分為三個部分即Shibor自身的相關(guān)性、與貨幣政策代表變量的相關(guān)性、與主要宏觀經(jīng)濟變量的相關(guān)性。運用了多種統(tǒng)計和計量檢驗方法,如相關(guān)性分析、Granger因果檢驗、VAR模型、脈沖響應(yīng),環(huán)環(huán)相扣,層層遞進。 第七章：結(jié)語。得出的結(jié)論是：Shibor基本上能夠成為我國貨幣市場的基準利率,但依然存在著一些不足。然后根據(jù)Shibor的困難和不足,針對性地提出了發(fā)展和完善的建議,總結(jié)本文研究不足之處及展望。 3.主要研究結(jié)論 本文的研究方法的最大特色就是理論分析與實證檢驗相結(jié)合,在梳理完理論分析的基礎(chǔ)上再運用歷史數(shù)據(jù)進行實證檢驗,使文章有理有據(jù),具有說服力。在理論分析中,運用的方法有歸納總結(jié)、對比分析；在實證檢驗中,運用了較多的計量方法,主要是相關(guān)性檢驗、Granger檢驗、VAR模型以及脈沖響應(yīng)函數(shù)等檢驗方法,對各類數(shù)據(jù)圍繞Shibor的基準性進行實證研究。最后,得到的結(jié)論有以下2個方面： (1)Shibor基本上能作為我國貨幣市場上的基準利率,原因如下：①我國建立基準利率的必要性�；鶞世�率是我國利率市場化進程中的一個關(guān)鍵步,轉(zhuǎn)變貨幣政策的調(diào)控方式需要這樣的一個利率。②發(fā)達國家經(jīng)驗的啟示。很多西方的發(fā)達國家或地區(qū)選擇同業(yè)拆借利率作為本國的基準利率。③理論分析的比較。在我國的利率市場化進程中,前前后后選擇出了好幾種利率來作為基準利率參考指標,但它們只具備基準利率的部分屬性,均未獲得成功。Shibor在很大程度上彌補了它們的缺點。④實證檢驗的判斷。在市場性方面,從報價行和市場參與主體來看,總體上還較為優(yōu)秀。在基礎(chǔ)性方面,Shibor能夠?qū)κ袌錾掀渌�利率有著基礎(chǔ)性和成因性的影響。在相關(guān)性方面,Shibor自身品種的相關(guān)性非常高,期限結(jié)構(gòu)很合理；與主要宏觀經(jīng)濟變量之間的相關(guān)方向是符合經(jīng)濟理論意義的。在穩(wěn)定性檢驗中,Shibor受外界干擾較小在收到小幅影響后能夠在較短時期內(nèi)回復到平穩(wěn)狀態(tài)。因此,Shibor的四個基準屬性均較好。 (2)Shibor依然有較多不足：①報價質(zhì)量和真實性不夠。同發(fā)達國家的銀行相比,我國銀行的專業(yè)水平和道德水平還存在較大的發(fā)展空間。②期限品種少、交易量較小。我國的同業(yè)拆借交易量主要集中在短期品種上,限制了中場期限品種的發(fā)展。③與貨幣政策之間關(guān)系不強。我國是市場經(jīng)濟,貨幣政策也需從數(shù)量型轉(zhuǎn)向價格型,但是通過檢驗的結(jié)果來看,效果還不是很好。④對經(jīng)濟金融的指示作用不夠突出。Shibor與固定資產(chǎn)投資總額和社會消費品零售總額的相關(guān)程度不是很高,Shibor對消費和投資的指示作用還不多。 4.本文主要貢獻 縱觀全文,本文具有以下幾方面的貢獻：①綜合運用歸納總結(jié)、對比分析、理論分析與實證檢驗相結(jié)合的方法,使文章層層遞理有據(jù),論證的可信度較高。②本文將對Shibor進行系統(tǒng)的實證檢驗,并從三個方面去檢驗Shibor的相關(guān)性。③在一些學者的定量分析中,論證方法較為簡單和粗糙,對一些宏觀經(jīng)濟數(shù)據(jù)沒有進行預處理,對一些計量方法的使用也存在不足,本文將針對這些不足進行彌補。④運用更多更新的Shibor的數(shù)據(jù),使其實證結(jié)果更為準確和具有說服力,讓人們能夠更加準確的了解Shibor的運行效果。
[Abstract]:The benchmark interest rate plays a dominant role in the money market interest rate system, is the most representative of the interest rate. In the long term, China's launch of Shibor as the benchmark interest rate is a key step in the process of China's market-oriented interest rate, is the inherent requirement of socialist market economy, but also change the fulcrum of China's monetary policy regulation from quantity to the price type. The benchmark interest rate is the most basic, the market price of the funds, is the link of the whole financial market, but also the necessary measures to improve the competitiveness of China's commercial banks and other financial institutions. Therefore, in the present situation and the market economy, the cultivation and development of a mature benchmark interest rate. It is very urgent and necessary.
In the process of China's market-oriented interest rate reform, tried to bond repurchase rate, interbank interest rate etc. several as China's benchmark interest rate, but due to various reasons, did not succeed in practice. In order to further promote the marketization process in China, the central bank in January 4, 2007 officially launched the Shanghai interbank offered put the interest rate ", referred to as Shibor, to cultivate and perfect as the benchmark interest rate on the currency market, in order to avoid making the same mistakes, lessons learned, the urgent need to check the actual effect of Shibor since the operation of Shibor, can be used as China's currency market real benchmark interest rate system research.
1. the thinking and purpose of this paper
The idea of this study: first, reviews the domestic and foreign research foundation of the benchmark interest rate, the benchmark interest rate to summarize the theory for the marketization of interest rates below the benchmark interest rate, benchmark selection and empirical test of the theoretical preparation work; then, the choice and the status quo of Shibor benchmark interest rate in China, introduced. The operating mechanism of Shibor, the use of the summary, comparative analysis method to analyze the feasibility of the Shibor. Finally, using a variety of measurement and statistical methods were used to the market, basic, correlation and stability of empirical test, combined with theoretical analysis and empirical test results to put forward suggestions for the perfection of Shibor.
The purpose of this paper is: according to the contents of this article, I hope this paper can solve the following problems: (1) choose the benchmark interest rate should refer to what standards? What is the connotation of the benchmark interest rate? (2) how to reference Shibor, can assume responsibility of benchmark interest rate in China? Among them, this is the main purpose. (3 how to run Shibor)? Is there any problem? How to improve?
2. the content of this paper
Based on the historical background of China's interest rate marketization process, based on previous studies of benchmark interest rates, Shibor's benchmark is divided into seven chapters.
The first chapter is the introduction. Based on the analysis of the background and significance of the research, we clarify the purpose of the research, introduce the research ideas of this paper, and summarize the main contributions and shortcomings of this article after summarizing the content framework.
The second chapter: literature review. Firstly, reviews the research on the benchmark interest rate in foreign countries; secondly, and summarizes the exploration and Research on the benchmark interest rate of recent years; finally, the literature review at home and abroad are reviewed, pointed out that it is worth to learn from the place and some shortcomings.
The third chapter is literature review of the benchmark interest rate theory. On the basis of previous studies, summarized the definition of the benchmark interest rate, and the role of the general characteristics, combined with the actual situation of our country, expressed China's necessity to determine the benchmark interest rate. The choice of the benchmark interest rate should follow the principles, on the basis of summarizing. The developed countries or regions of several relatively mature and characteristics of the benchmark interest rate.
The fourth chapter: the selection and Shibor status of China's benchmark interest rate. First of all, by the method of comparative analysis, summarizes the advantages and disadvantages of China's benchmark interest rates several important candidate; secondly, to explore the process of China's market-oriented interest rate and the benchmark interest rate with the use of the summary of the method of comparative analysis from theory analysis Shibor is better than that of other interest rates become the benchmark interest rate in China; thirdly, the operation mechanism and the status quo of Shibor Shibor are introduced; finally, the feasibility of Shibor as the benchmark interest rate in China is analyzed.
The fifth chapter is the introduction of research methods. The correlation analysis, ADF test, Granger causality test, VAR model, impulse response principle and characteristics are briefly introduced, so as to prepare for the following empirical tests.
The sixth chapter: Shibor as an empirical test of China's benchmark interest rate, is the most important part of this paper. The Shibor according to the market, basic, correlation, stability of the empirical test, the correlation test is divided into three parts: correlation of Shibor itself, and the correlation between monetary policy variables on behalf of the association with the main macroeconomic variables. Using the method of testing a variety of statistics and measurement, such as correlation analysis, Granger causality test, VAR model, impulse response, interlocking, step by step.
The seventh chapter is the conclusion. The conclusion is: Shibor basically can become China's money market benchmark interest rate, but there are still some shortcomings. Then according to the Shibor's difficulties and shortcomings, puts forward the development and improvement suggestions, summing up and prospect the shortcomings of this study.
3. main research conclusions
The biggest characteristic of this research method is the combination of theoretical analysis and empirical tests, the historical data of the empirical test using based on combing theory analysis, makes this article convincing. In the theoretical analysis, the use of the method are summarized, comparative analysis; in the empirical test, using econometric method more, mainly is the correlation test, Granger test, VAR model and impulse response function test method, the empirical research on the benchmark data on Shibor. Finally, the conclusions are the following 2 aspects:
(1) Shibor basically can be used as the benchmark interest rate, China's currency market for the following reasons: the necessity of establishing China's benchmark interest rate. The benchmark interest rate is a key step in the process of marketization of interest rates in the regulation of monetary policy changes to a rate that the experience of developed countries. Enlightenment. Many western developed countries or regions to choose the interbank interest rate as the benchmark interest rate in our country. The comparison of the theoretical analysis. In the process of marketization of interest rate in China, and selected several interest rates as a reference index to the benchmark interest rate, but they only have some attributes of the benchmark interest rate, were not successful.Shibor to make up for their shortcomings to a great extent. The empirical judgment. In the market aspect, from the quotation and market participants, on the whole is relatively good. On the basis of sex, Shibor There are enough influence and cause based on other interest rates on the market. In the correlation, correlation between Shibor own varieties is very high, the term structure is reasonable; the relevant direction between the main macroeconomic variables is consistent with the economic theory. In the stability test, Shibor less interference in receiving slightly influence can return to the steady state in a short period of time. Therefore, four benchmark properties of Shibor are better.
(2) Shibor still has many deficiencies: the quality and authenticity of the quotation is not enough. Compared with the developed countries of the bank, Bank of China's professional level and moral level there is a large space for development. The term of less varieties, small volume of transaction. The interbank trading volume in our country mainly in the short-term varieties. Limit the development of maturity. The relationship between the midfield and the monetary policy is not strong. China is a market economy, monetary policy will need to shift from quantity price, but through the test results, the effect is not very good. The degree of correlation indicates the effect of the financial is not enough to highlight the.Shibor and total investment in fixed assets and the total retail sales of consumer goods is not very high, indicating the effect of Shibor on consumption and investment is not enough.
4. the main contribution of this article
Throughout the paper, this paper has the following contributions: comprehensive use of the summary, comparative analysis, theoretical analysis and empirical test, this paper makes a presentation layer according to the high reliability, the argument. This paper will makes an empirical test on the Shibor system, and from three aspects to examine the correlation between Shibor 3. In the quantitative analysis of some scholars, demonstration method is relatively simple and rough, some of the macroeconomic data without pretreatment, the use of some measurement methods are also problems, this paper will make up for these deficiencies. Using more updated Shibor data, make the results more accurate and persuasive force, so that people can more accurately understand the operation of the Shibor effect.

【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.33;F832.5;F224

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