摘要
不够稳定和报价易被操纵是Shibor基准利率地位的两个主要挑战。本文结合ARJIGARCH模型构造了一种较新的可以检测更轻微羊群行为的方法,在此基础上,基于2007到2017年Shibor报价的日度数据,分析了市场利率自律定价机制对Shibor波动性及报价中羊群行为的影响。研究发现:自律机制明显降低了Shibor的波动程度,尤其是极端波动明显减少;但报价中的羊群行为在自律机制发挥作用后有增强的态势,报价行出于维护声誉动机在Shibor波动较大时会倾向于从众报价。自律机制改善了Shibor的稳定性,但在应对羊群行为方面还需要进一步完善有关制度。
The Shanghai Interbank Offered Rate( Shibor) is an important candidate for the benchmark interest rate in China’s financial market. However,this interest rate has two major shortcomings in that it is unstable and easy to manipulate. In response to these shortcomings,on September 24,2013,a self-regulation mechanism was introduced. In July 2014,the mechanism was expanded for the first time,with 93 basicmembers being added alongside the 10 core members. The basic members can participate in off-market quotations and are competitors in on-market quotations. The self-regulation mechanism regularly assesses the quotations of member banks and eliminates banks with low-quality quotations. Although this mechanism will undoubtedly have an important impact on bank quotations,the nature of this effect is still not fully understood.Thus,in this paper,we examine the influence of the self-regulation mechanism on Shibor volatility and the herd behavior in quotations. The results can provide theoretical references to further improve the relevant systems.We use the first expansion of the self-regulation mechanism in July 2014 as a dummy variable. We then analyze the daily rate of Shibor from 2007 to 2017 using the ARJI-GARCH model. The results show that after the self-regulation mechanism is implemented,the volatility of the Shibor from overnight to one month decreases significantly. Using the Shibor monthly standard deviation as an explanatory variable,the results of the OLS regressions and propensity score matching also show that the defect of the Shibor fluctuation from overnight to one month is greatly improved after the implementation of the self-regulation mechanism.However,because a stable Shibor may not be more effective,we further examine whether the self-regulation mechanism makes the behavior of the quotation banks more conservative and leads them to adopt a more herd-like strategy when quoting. Bohl et al.( 2017) pointed out that Chang et al.( 2000) may have underestimated the herd behavior in the market. Thus,we improve the ARJI-GARCH model and design a new method that can detect more fragile herding behavior. By comparing the dispersion before and after the self-regulation mechanism is implemented,we are able to generate the following conclusions. First,the degree of quotation dispersion increases significantly after the self-regulation mechanism is implemented,which means that the behavior of the quotation banks is not completely conservative. Second,before the self-regulation mechanism comes into play,the free-riding motive is the main reason for the herding behavior,with the three-month or longer period Shibor showing obvious herding behavior when the interest rate fluctuates significantly.Third,after the self-regulation mechanism is implemented,the motivation for maintaining reputation is the main cause of herding behavior,as the Shibor from overnight to one month begins to show herding behavior when the interest rate fluctuations are large. Thus,although the self-regulation mechanism reduces the overall volatility of Shibor,it also enhances the herd behavior in quotations and fails to address the easy manipulation of Shibor. Therefore,the design of the elimination mechanism in the self-regulation mechanism needs to be improved,and the benchmark interest rate position of Shibor for a period of more than three months should been strengthened. After all,because self-regulation is not compulsory,there is the possibility of industry collusion. In the future,more attention needs to be paid to the construction of relevant legal systems.The contributions of this paper are as follows. First,this paper is the first to analyze the impact of the self-regulation mechanism on Shibor quotations,and the motivation and characteristics of the herding behavior of the quotation banks. Second,based on the literature,we construct a new method that can detect more fragile herding behavior. The results show that without this new method,we are unable to find sufficient evidence of herding behavior in the short-term Shibor before the self-regulation mechanism is implemented.
作者
谭德凯
何枫
TAN Dekai;HE Feng(Institute of Finance and Development,Nankai University;School of Finance,Tianjin University of Finance and Economics)
出处
《金融研究》
CSSCI
北大核心
2019年第6期39-57,共19页
Journal of Financial Research
基金
中央高校专项经费(63172022)
教育部重大课题攻关项目(13JZD006)
国家社会科学基金重大项目(17ZDA071)
国家自然科学基金委-英国ESRC联合基金资助项目(7161101131)
国家自然科学基金青年项目(71701106)的资助
