人民币理财产品定价影响因素分析——基于对理财产品收益率曲线开发必要性的实证研究.docVIP

人民币理财产品定价影响因素分析——基于对理财产品收益率曲线开发必要性的实证研究 人民币理财产品定价影响因素分析 ――基于对理财产品收益率曲线开发必要性的实证研究 摘 要 近年来我国理财产品市场发展迅猛，理财产品业务以其收益稳定，风险可控等特点，逐渐成为广大老百姓最喜爱的投资工具以及商业银行用来争夺优质客户的重要利器。但同时我们也看到国内理财产品市场缺乏相应的定价机制以及基准利率，从而导致理财产品资产及负债两端价格波动较大。本文希望通过对创建银行间理财产品收益率曲线的学术探讨，希望通过其自身的“价格参照”和“市场引导”作用的实际发挥，不仅能使整个银行间理财产品市场的定价更规范化，而且可以给广大普通投资者在选购理财产品时根据自身需求选择到符合自身现金流安排和投资收益率要求的产品。 本文以创建我国理财产品收益率曲线为出发点研究影响各家银行理财产品收益率的定价的主要因素。内部方面可分为银行内部的资产规模、存贷比等风控指标，外部方面可分为市场的资金供求关系（SHIBOR）、央行货币政策调整和公开市场操作等其他系统性和制度性因素。 笔者通过Wind金融理财终端统计了2011年第三季度我国主要商业银行发行的1922支固定收益类人民币理财产品，构建以到期收益率、期限、利率及发行规模为变量的计量分析模型，通过对其案例分析以及SPSS软件进行主成分分析及回归分析并得出结论：银行的存贷比高低与该行发行的理财产品收益率成正相关关系，银行同业拆借利率SHIBOR与理财产品收益率成正相关关系，银行资产规模与该行发行的理财产品收益率成负相关关系。 关键词：理财产品收益率曲线；理财产品；存款规模及存贷比；收益率；SHIBOR Abstract The wealth-management product market in China has been developed in a very fast pace in recent years. Because of the characteristics of stable return and small risk, the wealth-management product has become one of the favorite investment tool and a sharp weapon for commercial banks to attractive high-quality customers. But we also found that the wealth-management products are lack of homologous list price mechanism and official bench mark rate, so that causing the huge volatility in both the asset and liability side recently. This text is expected to build an official yield curve for the local bank’s wealth-management products, in order to use the function of “price reference” and “market guidelines to develop the market. The reason why investors chose the wealth-management product is for the yield which higher than bank saving deposit, as well as less risky and so on. The author has satisfied 1922 products in the 3rd quarter of 2011 from Local bank’s market to analysis its characteristics and the trends. From the 1922 RMB products, the author selected for several affect factors which have a greater role to its return as the arguments of the analysis model. For instance, the principal, period, yield and so on. After doing regr