【摘要】：利率走廊是20世紀(jì)90年代興起的新型貨幣調(diào)控政策,它以其成本低、透明度高、操作方便等優(yōu)點(diǎn)受到越來(lái)越多的國(guó)家所青睞。隨著我國(guó)資本市場(chǎng)的完善和金融行業(yè)的發(fā)展,貨幣政策調(diào)控模式的轉(zhuǎn)型勢(shì)在必行,利率走廊模式也變成未來(lái)我國(guó)貨幣政策轉(zhuǎn)型的主要方向。本文為研究利率走廊對(duì)短期市場(chǎng)利率波動(dòng)的影響作用,采用了理論與實(shí)證相結(jié)合的方法。首先,本文在前人研究的基礎(chǔ)之上,系統(tǒng)的介紹了利率走廊調(diào)控模式的含義,并結(jié)合貨幣工具的利率傳導(dǎo)機(jī)制深入剖析了利率走廊模式的作用機(jī)制;同時(shí)本文創(chuàng)新性的從貨幣需求與貨幣供給的角度出發(fā),利用最優(yōu)目標(biāo)函數(shù)從理論上闡述了利率走廊模式對(duì)短期市場(chǎng)利率波動(dòng)的調(diào)控作用;另外本文回顧了加拿大、歐元區(qū)和美國(guó)等地區(qū)利率走廊的實(shí)踐情況,總結(jié)出國(guó)外利率走廊模式的啟示意義;本文通過(guò)利率走廊理論基礎(chǔ)的分析和國(guó)外經(jīng)驗(yàn)的借鑒這兩部分,從理論上闡述了利率走廊具有降低短期市場(chǎng)利率波動(dòng)的調(diào)控作用。為了驗(yàn)證這一理論假設(shè)的正確性,本文著重采用實(shí)證方法,建立了 GARCH模型,通過(guò)對(duì)比分析已經(jīng)實(shí)行了利率走廊調(diào)控模式的英國(guó)、歐洲、美國(guó)的市場(chǎng)利率與未實(shí)行利率走廊的中國(guó)隔夜拆借利率,以及對(duì)比分析英國(guó)在實(shí)行利率走廊前后的市場(chǎng)利率波動(dòng)情況,用數(shù)據(jù)有力的說(shuō)明了利率走廊具有降低短期市場(chǎng)利率波動(dòng)的作用。本文最后以實(shí)證結(jié)果為基礎(chǔ),提出了我國(guó)構(gòu)建利率走廊模式面臨的諸多挑戰(zhàn),并提出了諸如發(fā)展成熟穩(wěn)健的金融市場(chǎng)、改革存款準(zhǔn)備金制度等相應(yīng)的政策建議,為我國(guó)構(gòu)建成熟的利率走廊調(diào)控模式提供了些許借鑒經(jīng)驗(yàn)。
[Abstract]:Interest rate corridor is a new monetary control policy which rose in 1990s. It is favored by more and more countries because of its advantages of low cost, high transparency and convenient operation. With the improvement of capital market and the development of financial industry, the transformation of monetary policy regulation mode is imperative, and the interest rate corridor model becomes the main direction of monetary policy transformation in the future. In order to study the influence of interest rate corridor on short-term market interest rate volatility, this paper adopts a theoretical and empirical method. First of all, based on the previous studies, this paper systematically introduces the meaning of the interest rate corridor control model, and deeply analyzes the mechanism of interest rate corridor model combined with the interest rate transmission mechanism of monetary instruments. At the same time, from the point of view of money demand and money supply, this paper uses the optimal objective function to explain theoretically the effect of the interest rate corridor model on the short-term market interest rate fluctuation. The practical situation of interest rate corridor in the euro area and the United States, summarizes the enlightening significance of the foreign interest rate corridor model, this paper analyzes the theoretical basis of the interest rate corridor and draws lessons from the foreign experience in these two parts. This paper theoretically expounds that the corridor of interest rate can reduce the fluctuation of interest rate in short-term market. In order to verify the validity of this theoretical hypothesis, this paper focuses on the use of empirical methods, the establishment of the GARCH model, through a comparative analysis of the interest rate corridor has been implemented in the United Kingdom, Europe, The market interest rate in the United States and the overnight lending rate in China, which does not have an interest rate corridor, and the comparative analysis of the volatility of market interest rates in the United Kingdom before and after the implementation of the interest rate corridor, The data show that the interest rate corridor can reduce the volatility of short-term market interest rate. Finally, based on the empirical results, this paper puts forward a lot of challenges facing the construction of interest rate corridor model in China, and puts forward some corresponding policy recommendations, such as developing mature and stable financial market, reforming the system of deposit reserve, and so on. It provides some reference experience for our country to construct the mature regulation mode of interest rate corridor.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F822.0

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 宋雪濤;;從利率走廊看貨幣政策框架轉(zhuǎn)型與利率市場(chǎng)化之路[J];清華金融評(píng)論;2016年04期

2 牛慕鴻;張黎娜;張翔;;利率走廊系統(tǒng)的國(guó)際經(jīng)驗(yàn)借鑒[J];金融發(fā)展評(píng)論;2015年12期

3 申琳;;“利率走廊”能降低短期市場(chǎng)利率波動(dòng)嗎[J];財(cái)貿(mào)經(jīng)濟(jì);2015年09期

4 王超;陳樂(lè)一;;“利率走廊”模式的國(guó)際經(jīng)驗(yàn)及啟示[J];經(jīng)濟(jì)縱橫;2015年09期

5 萬(wàn)光彩;常文琪;;我國(guó)“新常態(tài)”貨幣框架下的“利率走廊”構(gòu)建[J];江南大學(xué)學(xué)報(bào)(人文社會(huì)科學(xué)版);2015年04期

6 方先明;;價(jià)格型貨幣政策操作框架:利率走廊的條件、機(jī)制與實(shí)現(xiàn)[J];經(jīng)濟(jì)理論與經(jīng)濟(jì)管理;2015年06期

7 李雅麗;;利率市場(chǎng)化與中國(guó)貨幣政策框架轉(zhuǎn)型[J];新金融;2015年05期

8 畢燕茹;;利率走廊機(jī)制國(guó)際經(jīng)驗(yàn)及我國(guó)的借鑒[J];金融發(fā)展評(píng)論;2015年04期

9 李嘉潔;;試論國(guó)外利率走廊實(shí)踐對(duì)我國(guó)利率調(diào)控機(jī)制的啟示與建議[J];金融理論與實(shí)踐;2014年09期

10 賀聰;;我國(guó)市場(chǎng)化改革與貨幣政策框架轉(zhuǎn)型[J];浙江金融;2014年08期

相關(guān)碩士學(xué)位論文 前1條

1 楊馥榕;基于GARCH模型的我國(guó)同業(yè)拆借利率波動(dòng)性研究[D];蘭州大學(xué);2013年

，

本文編號(hào)：2215430