利率市场化背景下同业存款定价机制研究

A Study of the Pricing Mechanism of Interbank Deposits under the Conditions of the Liberalization of Interest Rate

同业存款作为一种市场化的产品,研究分析其定价机制,对利率市场化后的存贷款定价具有较强的借鉴价值。本文结合西方商业银行存款定价方法和中国同业存款自身发展特点,运用多元线性回归法建立了以资金成本为基础、以SHIBOR为基准,并综合考虑公开市场回购利率和同业竞争等因素的CS同业存款定价模型。通过实证检验和预测分析,证明该模型具有实用性和可靠性,以及SHIBOR在同业存款定价中具有主导作用,并针对模型的使用给出政策性建议:细分客户,分类定价;避免价格调整过于频繁,保持价格导向的连续性;不断积累市场化产品定价经验。

The analysis of the pricing mechanism of interbank deposits, as marketable products, is a valuable reference for the pricing of deposits and loans after the interest rate is liberalized. This paper combines the pricing methods of foreign commercial banks with the development characteristics of China＇ s interbank deposits, and uses the multiple-linear-regression method to es- tablish a CS pricing model of interbank deposits. The model is based on the cost of capitals and the SHIBOR-benchmarked. The repo rate of the open market, banking competition and other factors are considered in the paper. The empirical testing and pre- diction prove that the model is practical and reliable, and the SHIBOR plays a leading role in the pricing of interbank deposits. The author of the paper gives policy recommendations for the application of the model： segmenting customers and classification pricing; avoiding too frequent adjustment in price and maintaining the continuity of price guidance; continuing to accumulate the experience in the pricing of market-oriented products.