我国银行间货币市场短期利率研究
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摘要
银行间货币市场是我国利率自由化进程中的重要建设部分,其作用在于消除社会体系中资金分布的不平衡现象,提高资金作为金融资源的利用效率,同时,成熟的银行间货币市场还能够为货币当局的宏观调控政策操作提供有力的支撑平台,并且通过银行间货币市场中的各种利率价格对政策调控的反应及时反馈调控的有效性。自上世纪90年代以来,我国银行间货币市场利率已经完全脱离行政管制,由市场主体自主议价决定,已经能够有效反应金融市场和经济体系的运行状况。但由于我国利率体系尚未完全市场化,商业银行作为银行间货币市场的主要参与机构,其投融资行为尚存在一定的软约束性,这造成银行间货币市场利率水平的只能代表局部性均衡,不能代表整个社会体系资金供求均衡的状态。由于我国银行间货币市场体制不健全,导致其市场整体的利率走势仍然受制于金融市场中一些结构性因素的影响,使得基准利率地位无法确定存在多头利率基准的现象,从而使金融机构的利率风险管理和金融产品定价等业务因为没有统一的权威基准而无法有效开展。另一方面,银行间货币市场的利率波动也会受到央行政策调控的显著影响,从而给市场主体的资产负债管理造成冲击。本文从银行间货币市场短期利率的动态行为出发,分析目前银行间货币市场各个利率体系的基准性以及央行在宏观审慎的货币政策调控模式下其决策行为的量化特征。
本文以我国银行间货币市场的利率行为特征以及货币政策运行状态的量化分析为主要内容,综合运用了偏t分布下的GARC H模型、基于变差理论的波动率计算模型、非平稳利率选择模型、非平稳因子分析法以及数据挖掘等量化分析方法,结合我国银行间货币市场实际情况和央行在宏观审慎下的货币政策的操作情况,对我国银行间货币市场的短期利率的基准性水平、价格走势和波动特征以及央行动态调整法定存款准备金率和定期存贷款利率的调控行为进行了分析研究。本文的研究成果有助于市场主体准确把握我国银行间货币市场短期利率走势和央行的货币政策决策行为,为机构投资者的金融产品的定价、利率风险管理以及套期保值等业务操作提供参考基准,同时也为央行通过在银行间货币市场进行交易以引导和控制短期利率价格走势提供理论参考。
The development of Chinese monetary market is one of the most important constitutes during the process of interest rate liberalization in China. It serves as a platform to eliminate unbalanced liquidity distributing phenomenon in a society, and to improve the utilization efficiency for one of the most common financial resources—money. Meanwhile, the sophisticated monetary market can serves the macroeconomic regulatory operations of monetary authority as a substantially supportive tool, and the responses of interest rates generated in the monetary market to those operations can promptly reflect the effectiveness of monetary policy behaviors. Since1990s of last century to now, the interest rates in Chinese monetary market, which are completely decided by institutional market participants now, have gotten away from administrative restrictions, also can present the running stance of our financial market and macro-economy efficiently. Since our interest rate liberalization process haven't completely finished, the main participants of the monetary market are commercial banks, of which investing and lending movements are still suffering some so ft-constraining which make the interest rates in monetary market just a local equilibrium rather than the generalized equilibrium. Due to the immature mechanism of our monetary market, the general movements of interest rates in this market still suffer from the influence of some structural drawbacks in the financial market, which leads to the uncertainty of benchmark interest rate as well as the current multi-candidates phenomenon for the benchmark interest rate, all of which make the financial institutions hard to carry out their relevant businesses such as interest rate risk management and financial products pricing efficiently because of the missing of a generally accepted benchmark interest rate system On the other side, the volatility of interest rates in monetary market will be influenced significantly by the monetary policy behavior conducted by People's Bank of China (PBC), which would bring about a big shock to balance sheet management of financial institutions. Based on the analysis of the dynamic movements for the short-term interest rates in Chinese interbank monetary market, this research focus on these short-term interest rates' potential of being the benchmark interest rate in this market, and also focus on studying the features of PBC's monetary regulations with quantitative tools under the framework of macro prudential supervising framework.
The main contents of this paper consist of the quantitative analysis for both the characteristics of short-term interest rates in interbank monetary market of China and PBC's monetary policy stance by using the methods of GARCH model with shewed-t probability density function, volatility calculation by realized variation theory, non-stationary discrete choices model, non-stationary factor analysis and data mining technique and so forth. In accordance with the situation of our interbank monetary market and the monetary policy regulations under PBC's macro-prudential supervision scheme, this research aims to shed a light on the benchmark interest rate stance of short-term interest rates in monetary market as well as their price movements and volatility features, also the adjusting acts for required reserve ratio and one-year loan and deposit interest rate by PBC. The results formed in the paper are helpful to the marketers'precisely commanding of the monetary market short-term interest rates movements as well as the commanding of the modification behaviors by PBC's monetary policy, and can provide the financial institutions with a benchmark interest rate reference for their businesses conducting such as financial products pricing, interest rate risk management and hedging. And also, the results can provide the monetary authority with a theoretical support for its controlling and leading short-term interest rates movements in the monetary market as the market's most important participant.
本文以我国银行间货币市场的利率行为特征以及货币政策运行状态的量化分析为主要内容,综合运用了偏t分布下的GARC H模型、基于变差理论的波动率计算模型、非平稳利率选择模型、非平稳因子分析法以及数据挖掘等量化分析方法,结合我国银行间货币市场实际情况和央行在宏观审慎下的货币政策的操作情况,对我国银行间货币市场的短期利率的基准性水平、价格走势和波动特征以及央行动态调整法定存款准备金率和定期存贷款利率的调控行为进行了分析研究。本文的研究成果有助于市场主体准确把握我国银行间货币市场短期利率走势和央行的货币政策决策行为,为机构投资者的金融产品的定价、利率风险管理以及套期保值等业务操作提供参考基准,同时也为央行通过在银行间货币市场进行交易以引导和控制短期利率价格走势提供理论参考。
The development of Chinese monetary market is one of the most important constitutes during the process of interest rate liberalization in China. It serves as a platform to eliminate unbalanced liquidity distributing phenomenon in a society, and to improve the utilization efficiency for one of the most common financial resources—money. Meanwhile, the sophisticated monetary market can serves the macroeconomic regulatory operations of monetary authority as a substantially supportive tool, and the responses of interest rates generated in the monetary market to those operations can promptly reflect the effectiveness of monetary policy behaviors. Since1990s of last century to now, the interest rates in Chinese monetary market, which are completely decided by institutional market participants now, have gotten away from administrative restrictions, also can present the running stance of our financial market and macro-economy efficiently. Since our interest rate liberalization process haven't completely finished, the main participants of the monetary market are commercial banks, of which investing and lending movements are still suffering some so ft-constraining which make the interest rates in monetary market just a local equilibrium rather than the generalized equilibrium. Due to the immature mechanism of our monetary market, the general movements of interest rates in this market still suffer from the influence of some structural drawbacks in the financial market, which leads to the uncertainty of benchmark interest rate as well as the current multi-candidates phenomenon for the benchmark interest rate, all of which make the financial institutions hard to carry out their relevant businesses such as interest rate risk management and financial products pricing efficiently because of the missing of a generally accepted benchmark interest rate system On the other side, the volatility of interest rates in monetary market will be influenced significantly by the monetary policy behavior conducted by People's Bank of China (PBC), which would bring about a big shock to balance sheet management of financial institutions. Based on the analysis of the dynamic movements for the short-term interest rates in Chinese interbank monetary market, this research focus on these short-term interest rates' potential of being the benchmark interest rate in this market, and also focus on studying the features of PBC's monetary regulations with quantitative tools under the framework of macro prudential supervising framework.
The main contents of this paper consist of the quantitative analysis for both the characteristics of short-term interest rates in interbank monetary market of China and PBC's monetary policy stance by using the methods of GARCH model with shewed-t probability density function, volatility calculation by realized variation theory, non-stationary discrete choices model, non-stationary factor analysis and data mining technique and so forth. In accordance with the situation of our interbank monetary market and the monetary policy regulations under PBC's macro-prudential supervision scheme, this research aims to shed a light on the benchmark interest rate stance of short-term interest rates in monetary market as well as their price movements and volatility features, also the adjusting acts for required reserve ratio and one-year loan and deposit interest rate by PBC. The results formed in the paper are helpful to the marketers'precisely commanding of the monetary market short-term interest rates movements as well as the commanding of the modification behaviors by PBC's monetary policy, and can provide the financial institutions with a benchmark interest rate reference for their businesses conducting such as financial products pricing, interest rate risk management and hedging. And also, the results can provide the monetary authority with a theoretical support for its controlling and leading short-term interest rates movements in the monetary market as the market's most important participant.
引文
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