期限错配、风险重定价与银行间拆借利率干预--国外研究文献综述

Term Mismatch, Risk Repricing and Intervention on Interbank Rates: A Survey on Interbank Rates

近年来,我国银行间同业拆借利率因再度波动加剧而备受关注,类似情形可追溯至2008年全球金融危机前后的LIBOR利率出现的情形。自1921年美国联邦基金市场设立以来,银行间同业拆借市场发展了近百年历史,但学术研究文献却是在2008年之后才与日俱增。传统的银行间同业市场相关文献研究主要基于信息不对称下的银行业期限错配引发的流动性冲击上,而危机后的研究则更多集中于信息不对称条件下的风险重定价原因。本文在梳理国际学术界与监管界已有研究的基础上,阐述银行间同业市场拆借利率生成与波动机理,以及可能的干预措施,以期为我国当前理论与现实予以借鉴参考。

Recently, the re-rising of the interbank rates in China attracts a lot of attention since the end of July, 2013. The similar case happens on Libor rates in the crisis of 2008. The interbank market has developed near a century since U.S. federal fund market was found in 1921. However, the academic research on the interbank market rates has not been taken seriously until 2008. This paper tries to explore the fundamental driving factors of the interbank rates, as well as their dynamics and the conditions for three kinds of equilibriums. Moreover, this paper suggests some policy to stabilize the turmoil of the interbank rates.