本文關(guān)鍵詞： SHIBOR 基準(zhǔn)利率 格蘭杰因果檢驗(yàn) 脈沖響應(yīng)函數(shù)　出處：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：目前,我國(guó)正處于利率市場(chǎng)化進(jìn)程中。這場(chǎng)自二十世紀(jì)九十年代開(kāi)始的改革在經(jīng)歷近二十年的發(fā)展后,使我國(guó)的利率市場(chǎng)化取得了較大進(jìn)步,金融改革也取得重大的成就,金融市場(chǎng)的創(chuàng)新產(chǎn)品不斷涌現(xiàn),交易也越來(lái)越活躍,央行也逐步放松了對(duì)利率的管制。然而,要真正實(shí)現(xiàn)利率市場(chǎng)化必須在由眾多利率組成的利率體系中確定一個(gè)基準(zhǔn)利率,以此基準(zhǔn)利率為金融市場(chǎng)金融產(chǎn)品定價(jià)基準(zhǔn)。 因此,基準(zhǔn)利率作為一個(gè)市場(chǎng)利率體系中最核心的利率,其確定對(duì)金融市場(chǎng)的發(fā)展有著極為重要的意義。當(dāng)基準(zhǔn)利率有變化時(shí),市場(chǎng)中的其他利率也會(huì)相應(yīng)的發(fā)生變化。故中央銀行可以運(yùn)用宏觀經(jīng)濟(jì)調(diào)控方法,通過(guò)基準(zhǔn)利率的變化,引導(dǎo)其他市場(chǎng)利率變動(dòng),讓市場(chǎng)參與者的行為發(fā)生相應(yīng)的改變,最終達(dá)到央行采取貨幣調(diào)控政策的目的。這種連鎖效應(yīng),使基準(zhǔn)利率在貨幣政策實(shí)施過(guò)程中發(fā)揮起了中介目標(biāo)的作用。在全球市場(chǎng)上,主要的發(fā)達(dá)國(guó)家都建立了自己的基準(zhǔn)利率,如英國(guó)設(shè)立了倫敦銀行間同業(yè)拆放利率(LIBOR),新加坡則確定了新加坡銀行間同業(yè)拆放利率(SIBOR)。 我國(guó)在2007年推出了上海銀行間同業(yè)拆放利率(簡(jiǎn)稱SHIBOR)。其推出的目的是為了“進(jìn)一步推動(dòng)利率市場(chǎng)化,培育中國(guó)貨幣市場(chǎng)基準(zhǔn)利率,提高金融機(jī)構(gòu)自主定價(jià)的能力,更好的完善貨幣傳導(dǎo)機(jī)制。"SHIBOR如果成為市場(chǎng)基準(zhǔn)利率,將是中國(guó)利率市場(chǎng)化的關(guān)鍵一步。因此,自SHIBOR推出以來(lái),針對(duì)SHIBOR運(yùn)行的研究就一直不曾間斷。而對(duì)于SHIBOR運(yùn)行以來(lái)的實(shí)際效果,是否能夠擔(dān)負(fù)起中國(guó)市場(chǎng)基準(zhǔn)利率的重任,是一個(gè)迫切需要檢驗(yàn)的問(wèn)題。 本文以利率市場(chǎng)化為歷史背景,結(jié)合眾多學(xué)者的研究成果,首先對(duì)基準(zhǔn)利率的定義和特征、SHIBOR的基本情況進(jìn)行了理論研究。其次在實(shí)證分析部分,以SHIBOR的運(yùn)行情況為主線,首先檢驗(yàn)了不同期限結(jié)構(gòu)SHIBOR的利率期限結(jié)構(gòu),隨后采用格蘭杰因果檢驗(yàn)和脈沖響應(yīng)函數(shù)法來(lái)檢驗(yàn)SHIBOR作為我國(guó)貨幣市場(chǎng)基準(zhǔn)利率的有效性和穩(wěn)定性。通過(guò)定性和實(shí)證分析,最后得出目前SHBOR作為基準(zhǔn)利率存在的限制因素和不足,并提出對(duì)策和建議。
[Abstract]:At present, our country is in the process of interest rate marketization. This reform, which began in 1990s, has made great progress in interest rate marketization after nearly two decades of development. Financial reform has also made significant achievements, financial markets are emerging innovative products, transactions are becoming more and more active, the central bank has gradually relaxed the control of interest rates. In order to realize the real marketization of interest rate, a benchmark interest rate must be determined in the interest rate system composed of many interest rates, which is used as the benchmark for the pricing of financial products in financial markets. Therefore, as the core interest rate in a market interest rate system, the determination of benchmark interest rate is of great significance to the development of financial market. Other interest rates in the market will also change accordingly, so the central bank can use macroeconomic regulation and control methods, through the change of the benchmark interest rate, to guide other market interest rate changes. Let the behavior of market participants change accordingly, and finally achieve the purpose of the central bank to adopt monetary control policy. This kind of chain effect. The benchmark interest rate plays an intermediary role in the implementation of monetary policy. In the global market, major developed countries have established their own benchmark interest rates. For example, the London Interbank offered rate (LIBORR) has been established in the United Kingdom and Singapore has set the Singapore Interbank offered rate (IBORR). In 2007, China launched the Shanghai Interbank offered rate (SHIBORA). Its purpose is to "further promote the marketization of interest rates and cultivate the benchmark interest rate in China's money market." Improve the ability of independent pricing of financial institutions, and better improve the monetary transmission mechanism. "if SHIBOR becomes the benchmark interest rate in the market, it will be a key step in the marketization of interest rate in China." Since the introduction of SHIBOR, the research on SHIBOR operation has been uninterrupted. But for the actual effect of SHIBOR operation. Whether the benchmark interest rate in the Chinese market can be shouldered is an urgent question to be tested. Based on the historical background of interest rate marketization and the research results of many scholars, this paper firstly studies the definition and characteristics of benchmark interest rate and the basic situation of SHIBOR. Secondly, in the empirical analysis part. Taking the operation of SHIBOR as the main line, this paper first tests the term structure of interest rate of SHIBOR with different term structure. Then Granger causality test and impulse response function method are used to test the validity and stability of SHIBOR as the benchmark interest rate of China's money market. Finally, the limitations and shortcomings of SHBOR as the benchmark interest rate are obtained, and the countermeasures and suggestions are put forward.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5;F224

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