【摘要】：我國(guó)的利率市場(chǎng)化進(jìn)程起始于1996年,現(xiàn)如今,債券市場(chǎng)利率、貸款利率等都已實(shí)現(xiàn)市場(chǎng)化,存款利率上限的放開(kāi)將是我國(guó)利率市場(chǎng)化改革的最后一步,而建立有效的基準(zhǔn)利率是貨幣當(dāng)局放開(kāi)存款利率管制的前提和條件。2007年1月4日,中央人民銀行正式推出上海銀行間同業(yè)拆借利率Shibor,以期將其培育成為我國(guó)貨幣市場(chǎng)的基準(zhǔn)利率,從而促進(jìn)利率市場(chǎng)化改革,并實(shí)現(xiàn)我國(guó)貨幣政策從數(shù)量型調(diào)控向價(jià)格型調(diào)控的轉(zhuǎn)變。有效的基準(zhǔn)利率作為金融市場(chǎng)利率體系的核心,不僅迅速反映貨幣市場(chǎng)資金的供給與需求,還為其他利率與金融產(chǎn)品提供定價(jià)基準(zhǔn),因此,基準(zhǔn)利率的建立對(duì)于我國(guó)金融市場(chǎng)的改革有著重大意義。目前Shibor已正式運(yùn)行將近8年,其運(yùn)行情況如何?是否已具備基準(zhǔn)利率的屬性?存在哪些不足?該如何改進(jìn)?本文將通過(guò)定性分析與定量分析依次回答這些問(wèn)題。 首先,文章基于利率決定理論、對(duì)國(guó)際基準(zhǔn)利率的經(jīng)驗(yàn)分析以及國(guó)內(nèi)的研究,總結(jié)出有效的基準(zhǔn)利率所需具備的屬性：市場(chǎng)性、基礎(chǔ)性、經(jīng)濟(jì)傳導(dǎo)性、波動(dòng)合理性。其次,介紹我國(guó)貨幣市場(chǎng)上具有部分基準(zhǔn)屬性的利率：一年期存款利率、央行票據(jù)發(fā)行利率、銀行間債券質(zhì)押式回購(gòu)利率以及全國(guó)銀行間同業(yè)拆借利率,分析這四種利率的缺陷,討論其無(wú)法作為基準(zhǔn)利率的原因,進(jìn)而引導(dǎo)出Shibor,具體介紹其運(yùn)行機(jī)制,從理論上的合理性和實(shí)際上的可操作性分析Shibor作為我國(guó)基準(zhǔn)利率的可行性。接著,通過(guò)實(shí)證分析,從Shibor的市場(chǎng)性、基礎(chǔ)性、經(jīng)濟(jì)傳導(dǎo)性以及波動(dòng)合理性四個(gè)方面分析其作為我國(guó)貨幣市場(chǎng)基準(zhǔn)利率的有效性。 實(shí)證結(jié)果表明Shibor已經(jīng)在我國(guó)貨幣市場(chǎng)中確立了基準(zhǔn)利率的地位,其具備良好的市場(chǎng)性和基礎(chǔ)性,但是仍然存在很多不足：以Shibor作為基準(zhǔn)利率的金融產(chǎn)品逐漸增多,但是所占比例還有很大的上升空間；同業(yè)拆借市場(chǎng)的交易規(guī)模與債券市場(chǎng)相比差距仍然較大,從而影響Shibor的有效性；Shibor的經(jīng)濟(jì)傳導(dǎo)性表明Shibor由貨幣政策到宏觀(guān)經(jīng)濟(jì)的路徑并不暢通,需要改進(jìn)；Shibor的波動(dòng)比較靈敏,能夠及時(shí)反映出金融市場(chǎng)資金的供求狀況,但是面對(duì)新股發(fā)行時(shí),市場(chǎng)表現(xiàn)出較強(qiáng)的非理性。 最后,文章從Shibor自身的運(yùn)行機(jī)制與運(yùn)行市場(chǎng)的環(huán)境兩個(gè)角度分析Shibor的制約因素,并且提出增強(qiáng)Shibor有效性的措施,即：健全Shibor的報(bào)價(jià)機(jī)制、提高報(bào)價(jià)行的定價(jià)能力、增加同業(yè)拆借市場(chǎng)參與主體、深化利率市場(chǎng)化改革以及完善利率傳導(dǎo)機(jī)制。
[Abstract]:The process of interest rate marketization in our country began in 1996. Now, the interest rate of bond market and loan interest rate have all been marketized. The liberalization of the upper limit of deposit interest rate will be the last step of the marketization reform of interest rate in our country. The establishment of an effective benchmark interest rate is the prerequisite and condition for the monetary authorities to liberalize the interest rate on deposits. On January 4, 2007, The people's Bank of China officially launched the Shanghai Interbank offered rate (Shibor,) in order to cultivate it as the benchmark interest rate in China's money market, thus promoting the reform of interest rate marketization. And realize the change of monetary policy from quantitative control to price control. As the core of the interest rate system of financial market, effective benchmark interest rate not only reflects the supply and demand of money market funds, but also provides pricing benchmark for other interest rates and financial products. The establishment of benchmark interest rate is of great significance to the reform of our financial market. At present, Shibor has been officially running for nearly 8 years. How is its operation? Do you have the properties of the benchmark interest rate? What are the shortcomings? How to improve? This paper will answer these questions by qualitative analysis and quantitative analysis. Firstly, based on the theory of interest rate determination, the empirical analysis of international benchmark interest rate and the domestic research, the paper summarizes the attributes of effective benchmark interest rate: market, basic, economic conductivity and fluctuation rationality. Secondly, the paper introduces some benchmark interest rates in China's money market: one-year deposit rate, central bank bill issuance rate, interbank bond pledge repurchase rate and national interbank lending rate. This paper analyzes the defects of these four interest rates, discusses the reasons why they can not be used as benchmark interest rates, and then leads Shibor, to introduce its operating mechanism in detail, and analyzes the feasibility of Shibor as a benchmark interest rate in China from the theoretical rationality and practical maneuverability. Then, through the empirical analysis, this paper analyzes the validity of Shibor as the benchmark interest rate of our country's money market from four aspects: marketability, foundation, economic conductivity and fluctuation rationality. The empirical results show that Shibor has established the status of benchmark interest rate in China's money market, which has good marketability and foundation, but there are still many shortcomings: the number of financial products with Shibor as the benchmark interest rate is increasing gradually. However, there is still a lot of room to rise in the proportion of the interbank lending market. The trading scale of the interbank lending market is still quite different from that of the bond market, which affects the effectiveness of Shibor. The economic conductivity of Shibor indicates that the path from monetary policy to macro-economy is not smooth, and the fluctuation of Shibor needs to be improved, which can reflect the supply and demand of funds in the financial market in time, but in the face of new issue, The market shows strong irrationality. Finally, this paper analyzes the restrictive factors of Shibor from the aspects of its own operating mechanism and operating market environment, and puts forward some measures to enhance the effectiveness of Shibor, that is, to perfect the pricing mechanism of Shibor, and to improve the pricing ability of quoting banks. Increase interbank lending market participants, deepen interest rate marketization reform and improve the interest rate transmission mechanism.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.5

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