我国银行间隔夜质押式回购市场流动性的实证研究

发布时间：2018-11-17 10:01

【摘要】：我国银行间质押式回购市场承担着金融机构资金调剂、市场利率形成、货币政策操作等多项职能,在金融经济体系中处于核心地位。其主要交易品种银行间隔夜质押式回购同时也是我国金融市场上交易量最大、极为重要的金融产品。近年来,受市场内外部因素影响,银行间隔夜质押式回购市场利率剧烈震荡,交易成员融资困难的情况频繁发生,对我国金融系统稳定形成潜在威胁。然而,国内对银行间隔夜质押式回购市场流动性的研究仍处于空白。本文首先梳理对市场流动性定义、测度方法和影响因素的现有研究成果,分析银行间隔夜质押式回购市场特点,明确我国银行间隔夜质押式回购市场流动性的定义。然后,构建一系列适用于银行间隔夜质押式回购市场的流动性指标,创建流动性状态评判区间,并使用2010年1月至2011年7月的分钟交易数据和2003年4月至2011年12月的逐日交易数据对我国银行间隔夜质押式回购市场的流动性变化情况进行实证研究。接着,对银行间隔夜质押式回购市场的影响因素和机制进行理论和实证分析,据此提出对策建议。本文主要结论如下： (1)2010年至2011年,我国银行间隔夜质押式回购市场流动性大幅回落,存在着持续趋弱的集聚效应； (2)2003年至2011年,我国银行间隔夜质押式回购市场流动性状态变化与我国宏观流动性、货币政策变化周期大体一致。 (3)宏观货币条件是银行间隔夜质押式回购市场流动性的主要影响因素； (4)在信贷限额控制等特殊情况下,准备金率等货币政策工具对货币供应量影响有限,仅对市场流动性产生短期冲击； (5)银行间隔夜质押式回购市场流动性与市场集中度呈负相关； (6)市场预期在宏观流动性扩张和紧缩不同阶段的表现具有不对称性,其作用主要体现在对市场流动性的正向加强。
[Abstract]:The interbank pledge repurchase market in our country is in the core position in the financial economic system because of its various functions such as fund adjustment of financial institutions, the formation of market interest rate and the operation of monetary policy. At the same time, it is the most important financial product in the financial market of our country. In recent years, influenced by the internal and external factors of the market, the interest rate of interbank overnight pledge repurchase market fluctuates sharply, and the financing difficulties of trading members occur frequently, which is a potential threat to the stability of China's financial system. However, the domestic research on the liquidity of interbank overnight pledge repurchase market is still blank. In this paper, the definition of market liquidity, the measurement method and the existing research results of influencing factors are firstly reviewed, and the characteristics of interbank overnight pledge repo market are analyzed, and the definition of interbank overnight pledge repurchase market liquidity is clarified. Then, we construct a series of liquidity indicators suitable for interbank overnight pledge repurchase market, and create a liquidity state evaluation interval. Using the minute trading data from January 2010 to July 2011 and the daily trading data from April 2003 to December 2011, the paper makes an empirical study on the liquidity changes of the interbank overnight pledge repo market in China. Then, the influence factors and mechanism of interbank overnight pledge repurchase market are analyzed theoretically and empirically, and the countermeasures and suggestions are put forward. The main conclusions of this paper are as follows: (1) from 2010 to 2011, the liquidity of interbank overnight pledge repo market in China has dropped sharply, and there is a continuous weakening agglomeration effect; (2) from 2003 to 2011, the change of liquidity state of interbank overnight pledge repurchase market is consistent with macro liquidity and monetary policy change cycle. (3) Macro-monetary conditions are the main influencing factors of interbank overnight pledge repurchase market liquidity; (4) under special circumstances such as credit limit control, monetary policy tools such as reserve ratio have limited influence on money supply, and only have short-term impact on market liquidity; (5) the liquidity of interbank overnight pledge repurchase market is negatively correlated with market concentration; (6) the market expectation has asymmetry in the different stages of macro liquidity expansion and contraction, and its function is mainly reflected in the positive strengthening of market liquidity.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.2

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