利率市场化下完整基准收益率曲线的构建-金融学专业论文.docxVIP

PAGE PAGE III 摘 要 2013 年 7 月 19 日，中国人民银行取消金融机构贷款利率 0.7 倍的下限，由 金融机构根据商业原则自主确定贷款利率水平。我国的利率市场化进程不断加 快。但是，缺乏完整的基准收益率曲线一直阻碍我国金融市场的发展。虽然 Shibor 在 2007 年正式推出，并作为我国基准利率的培育，但是 Shibor 的最长报价期限 只有一年，可以说 Shibor 只是我国货币市场的基准利率。我国也依然迫切需要 资本市场的基准利率。 本文在开头论述了作为基准利率的五个属性，即市场性、无风险性、基础性、 稳定性、相关性。之后，我们就是根据这几个属性，采用格兰杰因果检验、脉冲 响应风险、相关性分析和比较分析等方法对我国金融市场上的市场利率进行检 验，从中选择出我国各个期限的基准利率候选者。随后再根据基准收益率曲线的 数据可得性对基准利率候选者进行再次筛选和排序。最后，通过选择出的各期限 基准利率构建我国完整的基准收益率曲线。 研究结果表明，Shibor 作为我国大力培育的货币市场基准利率，在六个月期 限以内的基准性表现的最好。但是在六个月至一年的期限中，3A 级的短期融资 券收益率的基准性要优于 Shibor。对于一年至三年期限，银行间国债收益率的基 准性较好。三年至十年期限，上海证券交易所国债收益率的基准性较好。对于十 年以上的超长期，在我国由于交易量和交易频率都非常小，我们认为没有合适的 基准利率。 最后，我们建议加强对 Shibor 长端的基准性建设，同时大力发展我国国债 市场，健全反映金融市场供求关系的国债收益率曲线。 关键词：基准利率，基准收益率曲线，格兰杰因果检验，脉冲响应分析 PAGE PAGE IV Abstract Since 2011, the process of interest rate marketization in China is now accelerating. However, the lack of benchmark yield curve will hinder the development of Chinas financial market. Although, the Shibor was launched in 2007 officially, and it was cultivated as the benchmark interest rate in China. But the term of the Shibor is from Overnight to one year. So we think Shibor is just the benchmark interest rate of money market. China still needs the benchmark interest rate of the capital market which can provide a reference for other financial products and play an important role as the basis of financial risk pricing. In the beginning, we find out the important of the benchmark interest rate and discuss its four attributes marketization, foundation, stability, correlation. In addition, we demonstrate that in order to construct the benchmark yield curve, the benchmark yields should have no risk and the availability of data. Based on these properties, we use the Grainger causality test, impulse response analysis, correlation analysis and comparative analysis to test our financial market interest rates. And we select the candidate benchmark interest rate with different periods. Finally, we construct the complete benchmark yield curve