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论文编号：	9919
作者编号：	2220160661
上传时间：	2018/5/29 22:58:04
中文题目：	中国货币基金中期回报率研究
英文题目：	The Study on the Return of Money Market Fund in China
指导老师：	齐岳
中文关键字：	货币政策；流动性；货币市场利率；同业存单；美国加息
英文关键字：	Monetary Policy, Liquidity, Money Market Interest, NCD Interest Rate , US Interest Rate Rise
中文摘要：	中美两国从利率管制到利率市场化的变革均采用了渐进式发展路径。利率市场化过程中的利率歧视是货币基金产生的土壤，不同投资者议价能力差异是货币基金长期存在的基础。中国货币基金规模虽远小于美国，但占据了公募的大半壁江山。从投资者类型看，个人和机构均是货币基金重要的参与者，但中国货币基金具有更高的投资者集中度，且高度集中于银行。 本文在研究了相关文献和中美货币基金对比分析的基础上，利用经济学理论和研究方法，如宏观驱动因素、流动性分析框架、货币政策工具和监管影响，对中期金融周期市场环境予以研判，并进一步研究美国加息环境下中国货币基金中期回报率情况，并根据货币基金资产配置情况提出相应的投资建议。 本文认为美国经济增长和复苏与中国并不同步，二者货币政策也呈现出方向与步调的不完全趋同。短期美联储对美国经济走势整体乐观，向好的经济数据推动加息驶入快车道。欧元区和日本的量化宽松政策也存在加速退出的倾向。短期外围的加息环境则会给我国央行带来一定的加息压力。中期全球都在寻求结构性均衡的发展，利率趋于缓慢下行。 本文通过研究分析，国内金融去杠杆依然是货币政策的主轴，金融去杠杆的节奏将对中期的货币基金利率产生重要影响。如果经济下行压力加大，监管政策重心将再次转向稳增长；而如果经济韧性较强，金融去杠杆将依旧为政策重心。因此，对未来三年货币基金收益率研判的核心是对金融去杠杆进程的研判。 本文认为，存单利率和货币基金利率有着较高的正相关关系。因此，本文通过对存单利率和货币基金利率的关系进行定量研究，根据存单利率做出对货币基金利率的预测。未来三年均处于金融去杠杆进程当中，货币政策和监管政策均围绕金融去杠杆而设计，预计存单利率或随着金融去杠杆的逐步完成而下行。因此，中国货币基金主要投资策略为根据金融去杠杆进程布局久期策略和根据投资者结构采取适度杠杆策略。
英文摘要：	Both China and US took gradual adjustment from interest rate regulation to interest rate liberalization. Interest rate discrimination contributed to the emergence of Money Market Fund（MMF）. And the different bargaining powers among different investors are the basis of the long-term existence of Money Market Fund. Although the total scale of Chinese MMF is far smaller than that of US, it accounts for the majority of Chinese mutual fund. Individual investor plays an important role in both Chinese and American MMF, while there is a higher concentration in Chinese MMF investors, especially banks. Compared to the Chinese and American MMF , the paper analyzed the mid-term financial market environment based on the relevant literature，economic theories and methodologies, which included macro driving forces, liquidity analysis framework, monetary policy tool and the regulatory impacts . Furthermore, the paper explored the mid-term return of Chinese MMF under the circumstance of US monetary policy normalization. According to the asset allocation of the monetary fund, the corresponding investment proposals are put forward. This paper holds that the economic growth and recovery in the United States are not in sync with China, and the two monetary policy also presents an incomplete convergence of direction and pace. The short term Fed is optimistic about the overall economic trend of the United States, pushing good economic data to drive interest rate hikes into the fast lane. Moreover, Japan and Europe are also seeking exiting from quantitative easing（QE）at a faster pace. The short-term trend of global monetary policy normalization will bring our central bank the pressure of interest rate hike. In the medium term, since the whole world is seeking the structural equilibrium development, the interest rate will slowly decrease. With regard to the domestic situation, the deleveraging in financial sector will still be the key point of monetary policy. The pace of deleveraging will significantly impact to the MMF rates. If the downward economy growth pressure increases, the focus of regulatory policy will shift to the stable growth once again. If the economy is resilient, the deleveraging will still be the focus. Therefore, the key factor to forecast the MMF return is the assessment to the process of financial deleveraging. The main asset of the MMF is the certificate of deposit（CD）, so there is a high positive correlation between the CD interest rates and MMF interest rates. This paper quantitatively studied the relationship between the CD rates and MMF rates, and furtherly projected the MMF interest rates. The author concluded that the process of financial sector deleveraging will sustain in three years, so the monetary and regulatory policies will be designed around it. The CD interest rates are expected to turn down along with the deleveraging accomplished. Therefore, the main investment strategy of the Chinese Monetary Fond is to take a long term strategy according to the financial deleveraging process and adopt a moderate leverage strategy according to the investor structure.
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