【摘要】：我國(guó)的利率市場(chǎng)化開始于20世紀(jì)90年代,經(jīng)過(guò)20多年的發(fā)展已經(jīng)取得了長(zhǎng)足的進(jìn)步,目前只剩下存款利率沒(méi)有完全放開。而要真正實(shí)現(xiàn)利率市場(chǎng)化,最關(guān)鍵的就是要形成貨幣市場(chǎng)基準(zhǔn)利率。為了推進(jìn)利率市場(chǎng)化進(jìn)程,為了促進(jìn)我國(guó)金融市場(chǎng)的發(fā)展,為了培育我國(guó)貨幣市場(chǎng)基準(zhǔn)利率,在借鑒國(guó)際經(jīng)驗(yàn)的基礎(chǔ)上,2007年我國(guó)推出了上海銀行間同業(yè)拆放利率(Shibor)。Shibor利率作為我國(guó)的基準(zhǔn)利率推出,肩負(fù)著我國(guó)貨幣市場(chǎng)基準(zhǔn)利率體系建設(shè)的重大使命,并且Shibor已經(jīng)推出六年之久,是否能夠或者已經(jīng)充當(dāng)我國(guó)貨幣市場(chǎng)的基準(zhǔn)利率,這是個(gè)值得關(guān)注和檢驗(yàn)的問(wèn)題。 文章在理論分析的基礎(chǔ)上,闡述了Shibor作為基準(zhǔn)利率的有效性而應(yīng)該具備的五個(gè)基本特征：市場(chǎng)性、相關(guān)性、基準(zhǔn)性、貨幣政策傳導(dǎo)性、穩(wěn)定性。然后以利率市場(chǎng)化為背景,分析了我國(guó)利率市場(chǎng)化改革的歷程及取得的成效。同時(shí)說(shuō)明構(gòu)建基準(zhǔn)利率體系的重要性。對(duì)我國(guó)貨幣市場(chǎng)其他利率的優(yōu)缺點(diǎn)及Shibor運(yùn)行以來(lái)的基本情況進(jìn)行了分析與闡述。文章重點(diǎn)通過(guò)對(duì)Shibor與其他利率進(jìn)行比較分析,運(yùn)用VAR模型,具體采用平穩(wěn)性檢驗(yàn)、協(xié)整檢驗(yàn)、格蘭杰因果檢驗(yàn)、脈沖響應(yīng)函數(shù)等方法來(lái)檢驗(yàn)Shibor是否已經(jīng)具備了基準(zhǔn)利率的五個(gè)基本特征,從而驗(yàn)證Shibor作為基準(zhǔn)利率的有效性。實(shí)證結(jié)果表明,Shibor已經(jīng)基本具備了貨幣市場(chǎng)基準(zhǔn)利率的基本特征,但由于內(nèi)外因素的制約,影響了其基準(zhǔn)利率作用的發(fā)揮,并對(duì)這些存在的問(wèn)題和制約因素提出了一些針對(duì)性的建議,由此來(lái)提高Shibor作為基準(zhǔn)利率的有效性。
[Abstract]:The marketization of interest rate in our country began in the 1990s. After more than 20 years of development, we have made great progress, but only the deposit interest rate has not been completely liberalized. In order to realize the real marketization of interest rate, the most important thing is to form the benchmark interest rate in the money market. In order to promote the process of interest rate marketization, to promote the development of our financial market, to cultivate the benchmark interest rate of our country's money market, and on the basis of drawing lessons from international experience, In 2007, China launched the Shanghai Interbank offered rate (Shibor). Shibor) as the benchmark interest rate in China, which shoulders the important mission of the construction of the benchmark interest rate system in China's money market, and Shibor has been launched for six years. Whether we can or have acted as the benchmark interest rate of our country's money market is a question worthy of attention and test. On the basis of theoretical analysis, this paper expounds five basic characteristics that Shibor should possess as the validity of benchmark interest rate: market, relativity, benchmark, monetary policy conduction and stability. Then, based on the background of interest rate marketization, the paper analyzes the course and achievements of interest rate marketization reform in China. At the same time, it explains the importance of constructing the benchmark interest rate system. The advantages and disadvantages of other interest rates in China's money market and the basic situation since the operation of Shibor are analyzed and expounded. This paper focuses on the comparative analysis of Shibor and other interest rates, the use of VAR model, the specific use of stationary test, cointegration test, Granger causality test, The impulse response function is used to test whether the Shibor has five basic characteristics of the benchmark interest rate, so as to verify the validity of Shibor as the benchmark interest rate. The empirical results show that Shibor has basically possessed the basic characteristics of the benchmark interest rate in the money market, but the effect of the benchmark interest rate has been affected by the restriction of internal and external factors. Some suggestions are put forward to improve the effectiveness of Shibor as the benchmark interest rate.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F822.0

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本文編號(hào)：2369453