银行间债券质押式回购利率的波动性及影响因素分析

发布时间：2018-04-30 01:21

本文选题：质押式回购 + 波动性　；参考：《复旦大学》2014年硕士论文

【摘要】：我国银行问债券回购市场在经济金融体系中具有重要的地位,而质押式回购是银行间债券市场中成交金额最大、交易最活跃的品种。近年来受国内外金融市场动荡的影响,银行间质押式回购市场的利率波动日益频繁和剧烈,经常出现交易成员融资困难的情况,而我国商业银行的利率风险管理能力和流动性管控能力都有待进一步提高,长此以往,将对我国金融市场的稳定性造成潜在的威胁。因此,本文主要采用理论和实证研究相结合的方法,分析我国银行间质押式回购市场的利率波动和影响因素的情况。本文首先理论阐述了选题背景、研究意义和银行间质押式回购市场的发展现状,论文中使用的时间序列分析方法、ARMA模型,GARCH模型等。在本文的主题和实证研究部分,从利率波动性和影响因素两个角度出发分析：首先选取隔夜质押式回购市场利率数据构建时间序列模型,用来模拟质押回购利率的波动性,然后引入虚拟变量Shibor分析其对隔夜质押式回购利率的波动性幅度影响；从宏观理论和实际市场运行情况考虑银行间质押式回购利率的影响因素,选取银行间同业隔夜拆借利率、货币供应量、居民消费物价指数和宏观经济变化趋势四个经济变量的数据,与银行间质押式回购利率做Granger因果检验,分析各经济因素的影响程度。本文最后给出结论和建议。
[Abstract]:The bond repurchase market in China plays an important role in the economic and financial system, and the pledge repurchase is the most active and the largest transaction amount in the interbank bond market. In recent years, influenced by the turmoil in domestic and foreign financial markets, the interest rate fluctuations in the interbank pledge repurchase market have become more and more frequent and intense, often resulting in the financing difficulties of trading members. The ability of interest rate risk management and liquidity control of commercial banks in China needs to be further improved. In the long run, it will pose a potential threat to the stability of our financial market. Therefore, this paper analyzes the fluctuation of interest rate and the influencing factors of interbank pledge repurchase market in our country by combining theoretical and empirical research. In this paper, the background of the topic, the significance of the research and the development of the interbank pledge repurchase market are discussed theoretically. The time series analysis method used in this paper is the ARMA model and the GARCH model. In the part of the theme and empirical research, we analyze the volatility of interest rate and the influencing factors. Firstly, we choose the data of overnight pledge repurchase market to build a time series model to simulate the volatility of pledge repurchase rate. Then the fictitious variable Shibor is introduced to analyze its influence on the volatility of overnight pledge repo rate, and from the macro theory and the actual market operation, considering the influencing factors of interbank pledge repo rate, the interbank overnight lending rate is selected. The data of four economic variables, money supply, consumer price index and macroeconomic change trend, are tested by Granger causality test with interbank pledge repurchase rate to analyze the influence degree of each economic factor. Finally, conclusions and suggestions are given.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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