【作者】 林晨；

【导师】 许莉；

【作者基本信息】 厦门大学 ， 金融学， 2021， 硕士

【摘要】 随着我国经济的快速发展,商业票据市场取得了飞速的发展,并且在金融市场中扮演的角色越来越重要。本文围绕商业汇票转贴现和以SHIBOR为基准利率展开研究,进一步探讨票据转贴现利率与SHIBOR之间的关系,构建可行的定价方案,不仅为票据业务的定价提供有力依据,具有明显的实践价值,而且补充了现存文献中关于票据转贴现利率实证分析的模块,促进SHIBOR体系在票据市场中的进一步发展,为逐步完善SHIBOR体系做贡献。本文选取2010-2019年作为研究的时间窗口,通过Wind数据库收集市场数据,利用计量经济学ADF单位根检验、Engle-Granger(1987)协整检验等方法对票据转贴现定价及其影响因素指标的时间序列进行检验,用线性回归模型分别刻画出买断式和回购式转贴现利率和影响变量之间的关系。首先,票据转贴现业务分为买断式和回购式,本文结合国内外文献,主要从货币市场和信贷市场的指标进行选择;其次,采用计量经济学的方法和SAS软件,对数据进行平稳性、协整性检验,挑选出合理并且最优的影响变量;最后,通过回归分析分别建立买断式转贴现和回购式转贴现的回归方程。实证研究表明,在不同期限的SHIBOR中,一月期SHIBOR相对于其他期限来说对买断式和回购式转贴现利率都具有较高的解释力,SHIBOR的波动对票据转贴现利率的变化具有正向的放大影响,而回购式转贴现价格比买断式对SHIBOR的敏感性更强;对买断式转贴现来说,信贷市场的影响不容忽视,在衡量信贷市场变量中,票据融资在信贷市场总量中的比例对买断式转贴现价格的拟合性最强,且与买断式转贴现之间呈现负相关。除此之外,宏观经济环境和国家经济政策也会通过影响资源配置间接影响票据价格。因此,及时跟踪国家政策、宏观经济、国际局势的变化对SHIBOR的影响,以及传导到转贴现价格上的波动,作出相应的准备。更多还原

【Abstract】 With the continuous development of economy,the economic structure and financial system of China has also been gradually improved.As one of the key sub-markets of the money market,the bill market is playing a more and more important role in the financial market.This article focuses on and do research about commercial bill transfer discount and SHIBOR,explores the relationship between them,and constructs a feasible pricing model,which not only provides a strong basis for the pricing of bill business,but also has obvious practical value.It supplements the empirical analysis module on bill transfer discount pricing in the existing literature,promotes the further development of the SHIBOR system in the bill market,and contributes to the gradual improvement of the SHIBOR system.This paper selects 2010-2019 as the research time window,collects market data through the Wind database,uses econometrics ADF unit root test,Engle-Granger(1987)cointegration test and corelative methods to analyze the transfer discount of bills and the indicators that affect their pricing.The empirical analysis of the time series is carried out,and the relationship between the buyout and repurchase transfer discount prices and the influencing variables is depicted with a linear regression model.First of all,the bill transfer discount business includes buyout transfer discount and repurchase transfer discount.This article combines domestic and foreign literature and mainly chooses indicators from the money market and credit market indicators;secondly,it uses econometric methods and SAS software to test the stationarity and cointegration of the time series.Then,reasonable and optimal influencing variables are selected.Finally,the regression equations of buyout transfer discount and repurchase transfer discount are established through regression analysis.Empirical research results show that among SHIBOR with different maturities,one-month SHIBOR has a higher explanatory power for both buyout and repurchase transfer discount interest rates than other maturities.The fluctuation of SHIBOR affects the changes in bill transfer discount interest rates.It has a positive amplification effect,and the repurchase transfer discount price is more sensitive to SHIBOR than the buyout type.For the buyout transfer discount,the influence of the credit market cannot be ignored.By measuring the credit market variables,the proportion of bill transfer discount on credit market has the strongest fit to the buyout transfer discount price,and there is a negative correlation with the buyout transfer discount.In addition,the macroeconomic environment and national economic policies will also indirectly affect prices by affecting resource allocation.Therefore,it is necessary to track the impact of changes in national policies,macroeconomics,and international situations on SHIBOR in a timely manner,so as to transmit the fluctuations in the transfer discount price,and make corresponding preparations.更多还原