银行间回购利率影响因素分析

发布时间：2017-12-30 22:23

本文关键词：银行间回购利率影响因素分析　出处：《华中科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：在任何经济体的运行中，银行间市场短期利率都有着重要的指导意义：一是反映宏观经济状况和市场流动性状况；二是为金融资产定价提供参考。目前我国银行间市场上的利率主要由两部分组成，，一部分是已经市场化的利率，主要包括银行间同业拆借利率和银行间（非）质押式回购利率，另外一部分是受到管制的零售利率，主要包括零售存款利率和零售贷款利率。从量化分析中本文发现银行间回购的交易量远大于现券的交易量，因此本文将对银行间回购利率的影响因素进行分析。对此，本文首先从理论上对银行间利率影响因素进行了定性分析，随后建立了一个反映我国银行间市场的程式化理论模型来支撑定性分析结论，从数理上探讨我国银行间短期市场利率如何受其他因素的影响，然后本文将在样本区间2004年1月至2012年12月内建立向量自回归模型和ECM模型研究各影响因子附加于银行间回购利率的短期和长期冲击影响，这些影响因子主要包含以下六个：银行间同业拆借利率、一年期存款利率、一年期贷款利率、法定存款准备金率、货币供应量M1的同比增长率以及IPO发行量。实证结果发现，银行间拆借利率与回购利率的联动效应明显，货币供应量M1以及IPO对银行间回购利率的影响程度较大，法定存款准备金率对回购利率的影响并非如预期所想。
[Abstract]:In the operation of any economy, the short-term interest rate in the interbank market has important guiding significance: first, it reflects the macroeconomic situation and the market liquidity situation; The second is to provide reference for the pricing of financial assets. At present, the interest rate in the interbank market of our country is mainly composed of two parts, one is the interest rate that has already been marketized. It mainly includes interbank lending rate and interbank (non-pledge) repurchase rate, while the other part is regulated retail rate. It mainly includes retail deposit interest rate and retail loan interest rate. From the quantitative analysis, it is found that the volume of inter-bank repurchase is much larger than that of current securities. Therefore, this paper will analyze the influencing factors of interbank repo rate. In view of this, this paper first carries on the qualitative analysis to the influence factor of the interbank interest rate from the theory, then establishes a stylized theoretical model to support the qualitative analysis conclusion which reflects the interbank market of our country. This paper discusses how the short-term market interest rate among banks in China is influenced by other factors. Then this paper establishes the vector autoregressive model and ECM model in the sample interval from January 2004 to December 2012 to study the short-term and long-term impact of each influence factor on the interbank repo rate. These factors mainly include the following six factors: interbank lending rate, one-year deposit rate, one-year loan rate, legal reserve ratio. Money supply M1 growth rate and IPO issuance. Empirical results show that the interbank lending rate and repo interest rate of the linkage effect is obvious. Money supply M1 and IPO have a greater impact on interbank repo rates, and statutory reserve requirements do not affect repo rates as expected.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.5

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