【摘要】：在當(dāng)前復(fù)雜多變的國(guó)際金融環(huán)境下,我國(guó)經(jīng)濟(jì)進(jìn)入結(jié)構(gòu)調(diào)整關(guān)鍵時(shí)期,與此同時(shí)中國(guó)利率市場(chǎng)化改革也相應(yīng)的走到了改革的深水區(qū)。從國(guó)外利率市場(chǎng)化改革經(jīng)驗(yàn)不難發(fā)現(xiàn),利率市場(chǎng)化完成后在促進(jìn)國(guó)內(nèi)經(jīng)濟(jì)平穩(wěn)增長(zhǎng)、實(shí)現(xiàn)金融資源優(yōu)化配置和實(shí)現(xiàn)國(guó)內(nèi)外收支均衡等方面發(fā)揮著重要的作用。在國(guó)外研究中,對(duì)于利率定性與定量分析層出不窮、百家齊放。而我國(guó)針對(duì)利率波動(dòng)的研究中,大多數(shù)著力于利率波動(dòng)對(duì)其他經(jīng)濟(jì)變量變動(dòng)的影響分析,鮮有探討其他經(jīng)濟(jì)指標(biāo)變動(dòng)對(duì)利率波動(dòng)影響的定量關(guān)系研究。 本文通過(guò)總結(jié)西方經(jīng)濟(jì)學(xué)中利率決定基礎(chǔ)理論,分析在1996-2013年期間,我國(guó)利率市場(chǎng)化改革的實(shí)踐過(guò)程。并將我國(guó)的利率市場(chǎng)化改革歷程劃分為三個(gè)階段,分別考察期間內(nèi)利率變動(dòng)基本狀況及其影響因素,并對(duì)這三個(gè)階段進(jìn)行協(xié)整檢驗(yàn)試圖建立長(zhǎng)期穩(wěn)定關(guān)系,然后通過(guò)VAR模型進(jìn)行脈沖效應(yīng)及方差分解分析。在樣本期間內(nèi),選取的各項(xiàng)指標(biāo)月度數(shù)據(jù)均為非平穩(wěn)序列,必須對(duì)數(shù)據(jù)進(jìn)行單位根檢驗(yàn)及差分處理,而后通過(guò)格蘭杰因果檢驗(yàn)得出固定資產(chǎn)投資額、通貨膨脹率、貨幣供應(yīng)量、進(jìn)出口差額、財(cái)政收支差額以及匯率均為影響利率波動(dòng)的原因。通過(guò)構(gòu)建協(xié)整方程后,通過(guò)VAR模型的方差分解以及脈沖響應(yīng)分析得出在利率市場(chǎng)化改革的第一階段主要影響利率波動(dòng)的因素為通貨膨脹率,第二階段的主要影響因素為進(jìn)出口差額,而最后一個(gè)階段為通貨膨脹率。最后為應(yīng)對(duì)利率市場(chǎng)化改革所造成的利率波動(dòng),商業(yè)銀行應(yīng)建立自身利率預(yù)測(cè)及管理機(jī)制,加強(qiáng)銀行內(nèi)部資產(chǎn)負(fù)債管理,大力發(fā)展商業(yè)銀行中間業(yè)務(wù),使商業(yè)銀行避免因?yàn)槔适袌?chǎng)化改革帶來(lái)利率波動(dòng)所造成的利率風(fēng)險(xiǎn)。
[Abstract]:In the current complex and changeable international financial environment, China's economy has entered a critical period of structural adjustment, at the same time, China's interest rate marketization reform has also correspondingly moved to the deep water area of the reform. It is not difficult to find out from the experience of foreign interest rate marketization reform that interest rate marketization plays an important role in promoting the steady growth of domestic economy, optimizing the allocation of financial resources and realizing the balance of income and expenditure at home and abroad after the completion of interest rate marketization. In foreign research, the qualitative and quantitative analysis of interest rates emerge one after another. However, most of the researches on interest rate fluctuation in China focus on the analysis of the influence of interest rate fluctuation on other economic variables, and there is little research on the quantitative relationship between the change of other economic indicators and the fluctuation of interest rate. By summarizing the basic theories of interest rate determination in western economics, this paper analyzes the practical process of interest rate marketization reform in China from 1996 to 2013. The course of China's interest rate marketization reform is divided into three stages. The basic condition of interest rate change and its influencing factors are investigated respectively, and the cointegration test of these three stages is carried out to try to establish a long-term stable relationship. Then the pulse effect and variance decomposition are analyzed by VAR model. In the sample period, the monthly data of the selected indexes are all non-stationary series, the data must be processed by unit root test and difference, and then through Granger causality test, the fixed assets investment, inflation rate, money supply are obtained. Import and export balance, fiscal balance and exchange rate are the reasons for the fluctuation of interest rate. After the cointegration equation is constructed, the variance decomposition of VAR model and impulse response analysis show that inflation is the main factor affecting interest rate fluctuation in the first stage of interest rate marketization reform. The second stage is mainly affected by import and export balance, while the last stage is inflation rate. Finally, in order to deal with the fluctuation of interest rate caused by market-oriented interest rate reform, commercial banks should establish their own interest rate forecasting and management mechanism, strengthen the management of bank's internal assets and liabilities, and vigorously develop the intermediary business of commercial banks. Make commercial banks avoid interest rate risk caused by interest rate fluctuation caused by interest rate marketization reform.
【學(xué)位授予單位】：廣西大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.1;F832.33

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