我国市场基准利率选择的可行性研究

【作者】 张煜；

【导师】 胡乃红；

【作者基本信息】 上海财经大学 ， 金融硕士（专业学位）， 2020， 硕士

【摘要】 目前,我国正处在货币政策操作从数量型为主向价格型转变的阶段,货币政策的中介目标、传导机制、调控框架等都面临创新与突破。在价格型的货币政策框架下,利率走廊是美欧等发达国家的央行较为普遍的做法。我国“十三五”规划中明确提出要“完善货币政策操作目标、调控框架和传导机制,构建目标利率和利率走廊机制,推动货币政策由数量型为主向价格型为主转变”。近年来,人民银行尤其注重培育市场利率体系,强化价格型的调控和传导机制建设,积极尝试我国的利率走廊机制构建与完善。而利率走廊机制中,市场基准利率选择与调控机制成为至关重要课题,对货币政策的有效性、金融机构的产品定价以及金融资源的优化配置都具有极为重要意义。本文通过梳理总结加拿大、欧元区和美国三大典型利率走廊模式,借鉴国内外学者的相关研究,运用VAR模型的实证检验对我国的市场基准利率选择的可行性进行研究和探讨。本文中选择央行7天逆回购利率作为我国的关键政策利率。从市场性、基准性、可预测性及可控性四个标准来选择我国的市场基准利率,综合运用向量自回归模型、格兰杰因果关系检验方法及其他统计分析方法对上海银行间同业拆借利率(SHIBOR),银行间市场7天期质押式回购的加权平均利率(R007),银行间市场存款类机构以利率债为质押的7天期回购的加权平均利率(DR007),回购定盘利率(FR007)四个备选利率进行比较分析,观察现在的DR007作为我国基准利率的培育目标的可行性是否要优于SHIBOR和其他代表性的市场回购利率,作为基准利率构建利率走廊时又是否可以稳定运行在走廊区间内。综合市场性、基准性、可预测性及可控性四个维度的实证结果,本文认为DR007更适合成为我国的市场基准利率。从市场性角度来看,以国债为质押的银行间回购风险要低于以信用为基础的同业拆借的风险,银行间质押式回购的成交金额远远大于银行间同业拆借市场的成交金额,可见银行间债券回购利率的市场性要优于银行间同业拆借利率。从基准性角度来看,DR007和SHIBOR1W的相关性最强,可以看出这几个利率之间存在着较大的相关性,具有联动效应;DR007和SHIBOR1W这两个参数具有稳定性,R007和FR007不具有稳定性;从脉冲响应的结果看,DR007相对于其他三个利率的反应速度是比较快的,长期来看一直有促进R007、FR007、SHIBOR1W三个利率正向变化,而且最终效果比SHIBOR1W对其他利率的影响要高。从可预测性角度看,R007对工业增加值的相关性要好于其他三种利率,而SHIBOR1W对克强指数和CPI的相关性要强于其他利率;在基准利率对实体经济的预测方面,SHIBOR1W能够较为有效地预测克强指数,反映我国的GDP经济增长水平。从可控性角度看,央行7天逆回购利率可以有效地引导调节DR007、R007和FR007这三个利率。常备借贷便利利率为我国利率走廊的上限,超额存款准备金利率为我国利率走廊的理论下限,央行逆回购利率为参考下限,构建我国的利率走廊。在利率走廊中观察DR007的走势,发现虽然近年来DR007的波动幅度有所加大,但均处在7天期SLF利率和超额存款准备金利率框定的区间内,而结合公开市场操作来看,大部分时间DR007也都处在7天期逆回购利率之上。虽然我国利率走廊建设仍有需要完善的地方,但是在过去的一段时间内已经发挥了作用,总的来看,我国利率走廊初步建立后,对利率的控制初具效果。更多还原

【Abstract】 At present,China is at a stage where monetary policy operations are changing from quantitative to price-oriented.The intermediate goals,transmission mechanisms,and regulatory framework of monetary policy are all facing innovation and breakthroughs.Under the framework of a pricetype monetary policy,the interest rate corridor is a relatively common practice for central banks in developed countries such as the United States and Europe.China’s "Thirteenth Five-Year Plan" clearly put forward the need to "improve the operating objectives,regulatory framework and transmission mechanism of monetary policy,build target interest rate and interest rate corridor mechanisms,and promote the shift from quantitative to price-based monetary policy." In recent years,the People’s Bank of China has paid particular attention to cultivating the market interest rate system,strengthening the construction of price-based regulation and transmission mechanisms,and actively trying to build and improve China’s interest rate corridor mechanism.In the interest rate corridor mechanism,the market benchmark interest rate selection and regulation mechanism has become a crucial subject,which is of great significance to the effectiveness of monetary policy,product pricing of financial institutions,and the optimal allocation of financial resources.This paper summarizes the three typical interest rate corridor models in Canada,the Eurozone and the United States,draws on relevant research from domestic and foreign scholars,and uses the empirical test of the VAR model to study and explore the feasibility of China’s market benchmark interest rate selection.In this paper,the central bank’s 7-day reverse repurchase rate is selected as China’s key policy interest rate.Select China’s market benchmark interest rate from the four criteria of marketability,benchmark,predictability and controllability,and comprehensively use the vector autoregressive model,Granger causality test and other statistical analysis methods to interbank borrowing in Shanghai Interest rate(SHIBOR),the weighted average interest rate of the 7-day pledged repo on the interbank market(R007),the weighted average interest rate of the 7-day repo on the interbank market deposit institutions pledged with interest rate bonds(DR007),repurchase Compare and analyze the four alternative interest rates of the fixed rate(FR007),and observe whether the feasibility of the current DR007 as a training target for China’s benchmark interest rate is better than SHIBOR and other representative market repurchase rates as a benchmark interest rate corridor Whether it can run stably in the corridor section.Based on the empirical results of the four dimensions of marketability,benchmark,predictability and controllability,this article believes that DR007 is more suitable to become China’s market benchmark interest rate.From a market perspective,the risk of inter-bank repo with pledged treasury bonds is lower than the risk of credit-based interbank repo.The transaction amount of the inter-bank pledged repo is much larger than the transaction amount of the interbank repo market.It can be seen that the marketability of the interbank bond repo rate is better than the interbank rate.From a benchmark perspective,the correlation between DR007 and SHIBOR1 W is the strongest.It can be seen that there is a large correlation between these several interest rates,which has a linkage effect;the two parameters of DR007 and SHIBOR1 W have stability,and R007 and FR007 is not stable;from the results of the impulse response,DR007 has a faster response rate than the other three interest rates.In the long run,it has been promoting the positive changes of the three interest rates of R007,FR007,and SHIBOR1 W,and the final effect ratio is SHIBOR1 W has a higher impact on other interest rates.From the perspective of predictability,the correlation between R007 and industrial added value is better than the other three interest rates,while SHIBOR1 W has stronger correlation with the Keqiang Index and CPI than other interest rates.In terms of the benchmark interest rate forecast for the real economy,SHIBOR1 W can The Keqiang Index is more effectively predicted and reflects the level of China’s GDP economic growth.From the perspective of controllability,the 7-day reverse repo rate of the central bank can effectively guide the adjustment of the three interest rates of DR007,R007,and FR007.The standing borrowing convenience rate is the upper limit of China ’s interest rate corridor,the excess deposit reserve interest rate is the theoretical lower limit of China ’s interest rate corridor,and the central bank ’s reverse repurchase rate is the reference lower limit to construct China ’s interest rate corridor.Observing the trend of DR007 in the interest rate corridor,it is found that although the fluctuation of DR007 has increased in recent years,they are all within the framed range of the 7-day SLF interest rate and the excess deposit reserve interest rate.In combination with open market operations,Most of the time DR007 is also above the 7-day reverse repo rate.Although China’s interest rate corridor construction still needs improvement,it has played a role in the past period of time.In general,after the initial establishment of China’s interest rate corridor,the control of interest rates has begun to take effect.更多还原