“钱荒”为什么会发生?——上海银行间同业拆放利率的影响因素分析  

Why the Money Crunch Happened? ——The Analysis of the Determinants of Overnight Shibor

作　　者：张明[1] 郭子睿[2] 何帆[3] 

机构地区：[1]中国社会科学院世界经济与政治研究所国际投资室 [2]南开大学金融学院 [3]中国人民大学重阳金融研究院

出　　处：《国际金融研究》2016年第12期84-93,共10页Studies of International Finance

基　　金：国家万人计划首批青年拔尖人才支持计划"中国政府应如何系统地管理短期国际资本流动"的资助

摘　　要：本文在2007年1月至2014年12月月度数据的基础上,通过时间序列方法分析了隔夜Shibor的主要影响因素,研究发现,第一,央行一揽子货币政策工具变动会通过流动性规模渠道与货币乘数渠道显著影响隔夜Shibor;第二,隔夜Shibor的历史变化与CPI同比增速变动也会显著影响隔夜Shibor;第三,商业银行同业资产占比与上证指数环比增速将会显著影响隔夜Shibor;第四,外汇占款增量变化对隔夜Shibor的影响并不显著,这意味着央行对外汇占款变化进行了有效的冲销;第五,考虑到上述影响因素的结构性模型,对隔夜Shibor变化的预测精度要显著高于仅基于隔夜Shibor历史数据的ARMA模型。This paper analyzes the major determinants of overnight Shibor and builds a model to predict its future development, based on the monthly data from January 2007 to December 2014. The main findings of this paper include： first, the overall monetary policy tools of the PBC could affect overnight Shibor significantly through the channel of liquidity scale and monetary multiplier; second, the past movement of overnight Shibor and CPI growth year over year could affect overnight Shibor dramatically; third, the ratio of interbank assets to overall assets of commercial banks and the growth of Shanghai security index month over month could affect overnight Shibor greatly; fourth, the impact of purchase growth of foreign exchange market on overnight Shibor is not significant, which means that the PBC operates effective sterilization toward foreign exchange market purchase. Finally, the predictive power of structural model considering the above determinants is much better than the ARMA model based on history data of overnight Shibor.

关 键 词：隔夜Shibor 钱荒 影响因素 VAR模型 预测 

分 类 号：F832[经济管理—金融学]