银行间隔夜质押式回购市场流动性测度分析

发布时间：2018-06-04 02:15

本文选题：银行间隔夜质押式回购 + 流动性　；参考：《上海金融》2012年05期

【摘要】：近年来,我国银行间隔夜质押式回购市场利率多次大起大落,个别交易成员融资困难的现象时有发生。鉴于银行间隔夜质押式回购市场在我国金融经济体系中的核心地位,进一步加强对该市场流动性的研究,对监管部门和其他市场参与者而言均具有现实意义。本文首先根据市场微观结构特征给出银行间隔夜质押式回购市场流动性定义。其次,从市场交易实际和流动性四维内涵出发,选择、创建微观指标刻画市场流动性变化。然后,根据本文定义,创建针对银行间隔夜质押式回购市场的流动性综合测度指标,建立流动性状态评判区间。最后,运用新设计的流动性综合指标实证分析银行间货币市场流动性状态,得出结论并提出政策建议。
[Abstract]:In recent years, the interest rate of interbank overnight pledge repurchase market has fluctuated for many times, and the financing difficulties of individual trading members have occurred from time to time. In view of the core position of the interbank overnight pledge repurchase market in China's financial and economic system, it is of practical significance for regulators and other market participants to further strengthen the research on the liquidity of the market. This paper firstly gives the definition of liquidity of interbank overnight pledge repurchase market according to the market microstructure. Secondly, starting from the market trading practice and the four-dimensional connotation of liquidity, we select and create micro indicators to describe the market liquidity changes. Then, according to the definition of this paper, we establish a comprehensive measure index of liquidity for the interbank overnight pledge repurchase market, and establish an interval for judging liquidity status. Finally, the paper empirically analyzes the liquidity state of the interbank money market by using the newly designed comprehensive index of liquidity, draws a conclusion and puts forward some policy recommendations.
【作者单位】：复旦大学经济学院;
【分类号】：F832.2

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