我国商业银行基准利率报价行为集聚性研究

The Clustering Behaviours and Mechanism of SHIBOR Pricing by China's Commercial Banks

LIBOR操纵是潜在的金融危机风险因素,这从2008年以来的金融危机及其发展中可以得到明证。SHIBOR是我国利率市场化建设的重要标志。本文采用动态相关研究方法,对SHIBOR和国债利率间的波动关系进行了研究,发现在一些特殊时段,SHIBOR相对于对标利率可能存在价值偏移,即报价偏离问题。本文还利用报价行的微观报价数据,采用系统聚类方法,探讨样本期SHIBOR报价行间是否存在报价"集聚"的现象问题,即是否存在潜在的利率共谋和操纵的风险。研究表明,整体上样本期SHIBOR报价不存在"抱团"现象,但在个别特殊波动时段则存在较为明显的"抱团"行为,部分报价行的报价相似且偏离其他报价行较多。未来可考虑将这种基于数据的分析方法作为辅助手段,在推进利率市场化的过程中及时发现SHIBOR报价问题,加强市场监管。

The Manipulation of LIBOR is a potential risk of financial market which has been exposed in the financial crisis in 2008. SHIBOR is an important symbol of interest rates marketization in China. The paper studies the SHIBOR pricing in two steps. First, this paper discusses the dynamic correlation between SHIBOR and treasury interest rate by using the method of dynamic conditional correlation, and we find that in some special periods the SHIBOR rates may have deviated from the benchmark rates. Second, we study whether there is clustering behaviours in the quoted pricing of SHIBOR member banks, which has been empirialcally tested by using the SHIBOR member banks quotation data and the systematic clustering method, by this mean we can evaluate the risk of interest rate manipulation. The results suggest that there is no significant manipulation during the whole sampling period. However, there are some certain levels of collusion in some special short periods. The quotations of some SHIBOR member banks were quite similar, and they were quite different fi＇om the quotations of other member banks. The regulatory authority is sugeested to apply this data-based method to support their judgement of manipulation in the SHIBOR pricing market. It will strengthen relative regulation in promoting the interest rates marketization in the future.