本文選題：利率市場化　切入點：基準利率　出處：《南開大學》2012年博士論文　論文類型：學位論文

【摘要】：要推進利率市場化改革進程和金融創(chuàng)新，在指導金融衍生品定價、指示和傳導央行貨幣政策、商業(yè)銀行內部轉移定價、確立人民幣境內的定價權方面，培育一個真正能夠反映資金供求信息的基準利率必不可少，而通過影響基準利率和基準收益率曲線來間接進行經濟調控，是貨幣政策的必然選擇。 基準收益率曲線反映了無風險長、短期利率之間的關系，所以基準收益率曲線就成為了貨幣政策態(tài)勢的重要體現。中央銀行通過基準收益率曲線及其變動來分析貨幣政策的傳導，通過貨幣政策的調整來改變預期，最后反過來又引導和影響利率的期限結構。而如何培育適用于中國金融市場的完整基準收益率曲線，探討收益率曲線對中國經濟的宏觀調控，尤其是貨幣政策制定有何應用價值，正式本文關注的核心問題。本文所做的主要工作如下： 第一、為了探討我國利率市場化的效果，在向量自回歸模型的框架下探索我國利率市場化水平與相關宏觀經濟變量的相關性，并建立結構向量自回歸模型（SVAR）并進行脈沖響應分析，從而了解相關變量的動態(tài)關系；利用多元自回歸移動平均模型全面測定利率市場化的宏觀經濟效應的大小，包括分析利率市場化對金融機構貸款和投資以及對農村儲蓄和消費的影響，分析利率市場化的增長效應，探討利率變動與農民收入等宏觀經濟變量的關系等。研究發(fā)現：改革開放30年來我國利率市場化改革是有效的，利率市場化水平的提高直接影響了貸款、投資和儲蓄的增長，由此帶動了生產、消費乃至居民收入的增長，因此改革需要堅定不移的推行下去。下一步的改革關鍵是存款利率的逐步放開以及市場化的基準利率的逐步培育以及真正發(fā)揮作用，由此使得利率能夠反映實際資金供給與需求，從而改善有限的金融資源的配置，改革依然任重道遠。 第二、收集了金融市場上具有不同利率期限機構的各類利率體系的數據，進行了同一期限利率品種數據的均值-方差分析、相關性分析，而后檢驗了數據的平穩(wěn)性，在協整檢驗的基礎上，，構建了多元VAR模型，在多元VAR模型框架下建立了VECM模型，并在此基礎上進行Granger因果關系檢驗和脈沖響應分析。研究發(fā)現：在基準收益率曲線的短端，Shibor在貨幣市場上的基準地位還有待加強；央行票據利率目前發(fā)揮著極為重要的作用；央行存貸款基準利率仍然包含金融市場大量信息；在收益率曲線的長端，交易所國債回購利率發(fā)揮著重要影響，但其基準地位卻也需加強，構建完整的中國收益率曲線仍然面臨大量挑戰(zhàn)。 第三、選取恰當的經濟增長和期限利差數據，首先計算各期限利差與經濟增長指標間的時差相關系數，而后采用普通最小二乘法對基準模型做回歸，同時標準誤差項通過Newey-West方法進行計算，并比較相關期限利差的預測能力指標，從而探索期限利差對中國經濟增長的預測能力；而后采用Svensson模型，對銀行間國債回購利率進行擬合，從而得到收益率曲線的各因子，采用時差相關系數和對預測方程回歸的方法，探索收益率曲線的長短期因子對中國通貨膨脹的預測能力；在此基礎上，結合國際經驗，探索收益率曲線對中國宏觀經濟進行實時預測的可行性。 第四、從2011年全年我國貨幣政策的實踐出發(fā)，實證研究央行存貸款基準利率和存款準備金率的調整對收益率曲線的沖擊效應，并建立向量自回歸模型來探討收益率曲線與貨幣政策變量直接的關聯性，從而探討收益率曲線成為我國貨幣政策工具的可行性。在此基礎上，初步提出一些可供貨幣當局選擇的、基于基準收益率曲線的貨幣政策操作方法。 第五、總結基準收益率曲線應當具備的六大要素，并對目前金融市場上存在的收益率曲線進行逐一分析，探討金融市場上不同類型的收益率曲線是否具備這些特征，在此基礎上提出培育中國基準收益率曲線的思路。從基準收益率曲線的基本特征來看，銀行間市場的國債、政策性金融債、企業(yè)債券、商業(yè)銀行債券等均占有重要地位，其利率體系是目前培育基準收益率曲線的可選標的。構建完整中國基準收益率曲線的可行思路包括：重點培育國債收益率曲線、分段設計和整體重構。
[Abstract]:To promote the reform process of interest rate marketization and financial innovation, under the guidance of financial derivatives pricing, indication and conduction of the central bank's monetary policy, the internal transfer pricing of commercial banks, the establishment of the RMB pricing power in China, foster a truly reflect the supply and demand of funds information essential to the benchmark interest rate, and through the influence of the benchmark interest rate and the benchmark yield curve indirectly economic regulation is the inevitable choice of monetary policy.
The benchmark yield curve reflects no risk, the relationship between short-term interest rates, the benchmark yield curve has become an important manifestation of the situation of monetary policy. The central bank through the benchmark yield curve and to analyze the changes in monetary policy, through the adjustment of monetary policy is expected to change, and finally turn to guide and influence the term structure interest rate. And how to foster a complete benchmark yield curve for China financial market, explore the yield curve of macro-control of the Chinese economy, especially what is the application value of monetary policy, the core problem of formal attention in this paper. The main works are as follows:
First, in order to investigate the effect of interest rate marketization in our country, the vector auto regression model under the framework to explore the relationship between the level of China's interest rate market and related macroeconomic variables, and establish a structural vector autoregression (SVAR) model and impulse response analysis, so as to understand the dynamic relationship between variables using multivariate autoregressive moving; the average model of overall determination macroeconomic effects of the interest rate market size, including the analysis of financial institutions and investment as well as the impact on rural consumer savings and interest rate market analysis, growth effect of the interest rate market, to explore the relationship between the interest rate and the income of farmers and other macroeconomic variables. The study found that: 30 years of reform and opening up to our country interest rate market reform is effective, the interest rate market to raise the level of direct impact on the loans, savings and investment growth, which has led to the production and consumption And the income growth, so the reform should unswervingly carry out the next step of reform. The key is the gradual liberalization of deposit interest rate and the benchmark interest rate marketization gradually cultivate and really play a role, so that the interest rate can reflect the actual supply and demand of the funds, so as to improve the Limited financial resources, the reform is still a long way to go.
Second, collected with different interest rate term structure of interest rate system of financial market data, the average interest rate - the same varieties of data analysis of variance, correlation analysis, and then test the stability of data, based on the cointegration test, establish multivariate VAR model, the multivariate VAR model framework the VECM model is established, and based on Granger causality test and impulse response analysis. The study found: in the short end of the benchmark yield curve, the reference position of Shibor in the money market to be strengthened; the central bank interest rate according to the ticket currently plays a very important role; the central bank loans to keep the benchmark interest rate still contains financial a large number of market information; in the long end of the yield curve, the exchange bond repurchase rate play an important role, but its basic position but also need to strengthen the construction of the complete China yield curve The line is still facing a lot of challenges.
絎笁,閫夊彇鎭板綋鐨勭粡嫻庡闀垮拰鏈熼檺鍒╁樊鏁版嵁,棣栧厛璁＄畻鍚勬湡闄愬埄宸笌緇忔祹澧為暱鎸囨爣闂寸殑鏃跺樊鐩稿叧緋繪暟,鑰屽悗閲囩敤鏅

本文編號：1585963