摘要
利率市场化是一系列套利的结果。企业、居民、金融机构在这一过程中均扮演着不同角色的套利者,并将最终分食原本主要属于银行的息差。本文旨在分析,在当前利率市场化的大背景下,固定收益市场的套利空间究竟发生了何种变化,以及未来的趋势如何。我们发现,对于银行而言,通过传统存贷业务盈利的难度加大,而通过理财产品对接非标资产的利差也在逐渐收窄;对企业来讲,在债券发行和贷款之间套利的空间业已下降,并可能对二级市场造成挤压;对于金融机构来说,在货币和债券市场之间仅靠期限错配(回购养券)便能获取高收益的局面也将渐行渐远。总的来看,利率市场化目前已从量变阶段进入到价变阶段,各层次发生的套利活动都开始趋势性的降低套利空间。
The marketization of interest rate is a result of a series of arbitrages. Firms, households and financial intermediaries all play significant roles and will eventually share the lending spread originally enjoyed by commercial banks. This paper is intended to shed light on the status quo and the future of arbitrage opportunities in China fixed income market. We find that it is increasingly difficult for banks to gain substantial profit from conventional lending business, and even the so-called ＂shadow banking＂ practices. For firms, the cost of issuing bonds and that of borrowing directly from banks are converging, which may bring pressure on the bond market. For non-bank financial intermediaries, the high return from arbitraging between money market and bond market is coming to an end. Overall, the interest rate marketization has come to the price change stage over the quantitative stage, the arbitrage space for any level arbitrage activities has reduced.
出处
《证券市场导报》
CSSCI
北大核心
2014年第7期59-64,共6页
Securities Market Herald
关键词
利率市场化
固定收益市场
套利活动
债券市场
interest rate marketization, fixed interest market, arbitrages, bonds market
