上海银行间同业拆借利率波动特征分析及预测-应用经济学·数量经济学专业论文.docxVIP

暨南 暨南大学硕士毕业论文 万方数据 万方数据 摘 要 随着我国利率市场化进程的不断推进，培育适合我国国情的货币市场基准利 率体系，为货币市场提供定价参考基准，是我国当前金融改革工作的重点。对比 起西方发达国家利率市场化程度，我国利率市场化步伐是相对落后的。目前我国 处于全面深化改革的重要时段，各方面改革都需要谨慎进行，金融方面改革也不 例外，其中一个可行之道是借鉴国外金融市场发达国家的利率市场化经验，例如 参照最具代表性的 LIBOR，进行对比差距分析，建立和完善我国的基准利率体 系。本文重点对比分析 SHIBOR 和 LIBOR 的波动特征，及其两者之间的因果关 系，并完成对 SHIBOR 的预测，了解上海银行间同业拆借利率运行机制。结果 如下：第一，SHIBOR 序列和 LIBOR 序列都是非平稳的，从频率和幅度来对比， LIBOR 序列报价更加稳定；第二，LIBOR 是 SHIBOR 的格兰杰原因，SHIBOR 不是 LIBOR 的格兰杰原因；第三，SHIBOR 更加容易受市场因素冲击，而 LIBOR 受到更大的政策因素影响且反馈长期资金价格能力更强；第四，结合经验模态分 解方法（EMD）和 Elman 神经网络预测，能够获得更良好的预测效果。最后， 根据实证分析结果，提出完善 SHIBOR 机制的三个方面建议。 关键词：同业拆借利率；误差修正模型；经验模态分解；神经网络；预测 I Abstract Along with the marketization of interest rate, to build benchmark interest rate for the conditions of money market, which can provide pricing reference in monetary market, is the focus of financial reforms in China. Compared with interest rate marketization in developed countries, the pace of Chinas interest rate market is relatively backward. At present, our country is in the important period of comprehensive reforms, so all the policies should be cautiously executed. One feasible way is to learn from the experience of foreign interest rate liberalization of financial markets in developed countries, such as LIBOR, and then realize the establishment and improvement of the benchmark interest rate system of our country, according to the contrast analysis of SHIBOR and LIBOR. This paper focus on the comparative analysis of the fluctuation characteristics of SHIBOR and LIBOR, the causal relationship between SHIBOR and LIBOR, and prediction of SHIBOR, so as to understand mechanism of Shanghai inter-bank offered rate. The results are as follows: First, both SHIBOR and LIBOR are non-stationary, but LIBOR is more stable than SHIBOR; Second, LIBOR is the Granger reason for SHIBOR, but SHIBOR is not the Granger reason for LIBOR; Third, SHIBOR is more vulnerable to the impact of market factors, while the LIBOR is more easily affected by the policy factors and the ability to