我国银行间债券回购利率影响因素实证研究
发布时间：2018-10-09 14:25
【摘要】：所谓债券回购交易是指市场参与者之间通过一对一方式达成的、基于固定收益类有价证券的回购交易，包括债券质押式回购交易和债券买断式回购交易。随着债券市场跨越式发展，债券回购市场已经成为市场参与者进行短期融资、流动性管理的主要场所，成为人民银行进行公开市场操作、实现货币政策传导的重要平台。 1996年，中国银行间债券市场成立，是我国债券市场发展的重大事件，标志着我国债券市场走向成熟。在我国债券市场上，商业银行是不可或缺的力量。银行间债券市场的建立更加有利于发挥商业银行的优势。银行间债券市场刚刚建立的时候，市场参与者只有商业银行这一类市场主体。经过不断的发展，市场参与者扩大到一般的金融企业包括证券公司、保险公司和基金公司等金融类企业，市场的规模更有了显著的增长，众多的创新产品被推出，银行间债券市场的交易更加的丰富。当前，银行间债券市场是中国债券市场的主力，交易所交易市场是中国债券市场的重要的组成部分，商业银行柜台是中国债券市场的重要补充。 银行间债券回购利率的每一次波动是市场参与者资金需求和供给相互作用的结果，同时，它的变动会传递出宏观经济形式、国家货币政策和国际金融市场的变动。考虑到回购利率与我国众多经济变量的联动的关系，本文将几个经济变量作为影响回购利率变动的因素，并进行了实证分析，研究它们对银行间债券市场的影响程度，得出一定的研究结论。 依据西方经济学关于利率方面的理论，运用凯恩斯的流动偏好理论和可贷资金理论分析银行间债券回购利率的影响因素，运用实证分析，进一步得出本文中所选取的不同影响因素对回购利率的具体影响程度。本文选取的数据为2003年1月至2013年6月我国银行间债券回购利率。数据具有较强的时效性，因为随着我国市场化程度的提高，金融经济领域的改革也越加迅速，，需要选用比较有代表和时效性的数据才能得出比较好的结果。通过对回购利率影响因素的实证分析，本文得出了分析结果，对这一结果进行了一定的分析，并在后面的论述中提出了相应的政策建议。
[Abstract]:The so-called bond repo transaction is a one-to-one repo transaction between market participants, which is based on fixed income securities, including bond pledge repo and bond buyout repo. With the development of bond market by leaps and bounds, bond repurchase market has become the main place for market participants to carry out short-term financing and liquidity management, and has become an important platform for the people's Bank of China to carry out open market operations and realize the transmission of monetary policy. In 1996, China's inter-bank bond market was established, which is an important event in the development of China's bond market and marks the maturity of China's bond market. In China's bond market, commercial banks are an indispensable force. The establishment of the interbank bond market is more conducive to giving play to the advantages of commercial banks. When the interbank bond market was established, the market participants were only commercial banks. After continuous development, market participants have been expanded to include financial enterprises such as securities companies, insurance companies and fund companies. The scale of the market has increased significantly, and many innovative products have been launched. The interbank bond market is richer in trading. At present, the interbank bond market is the main force of China's bond market, the exchange market is an important part of China's bond market, and the commercial bank counter is an important supplement to China's bond market. Each fluctuation of the interbank bond repo rate is the result of the interaction between the demand for funds and the supply of the market participants. At the same time, the fluctuation of the interbank bond repo rate will convey the change of macroeconomic form, national monetary policy and international financial market. Considering the relationship between repo interest rate and many economic variables in China, this paper takes several economic variables as the factors that influence the change of repo interest rate, and makes an empirical analysis to study their influence on the interbank bond market. A certain conclusion has been drawn. According to the theory of interest rate in western economics, using Keynes' theory of liquidity preference and the theory of loanable funds to analyze the influence factors of interbank bond repurchase rate, the empirical analysis is carried out. Further, the different factors selected in this paper affect the repo interest rate. The data selected in this paper are the interbank bond repo rate from January 2003 to June 2013. Data has a strong timeliness, because with the improvement of the degree of marketization in China, the reform of the financial and economic field is also more rapid, so it is necessary to select more representative and time-efficient data in order to get better results. Through the empirical analysis of the influencing factors of repo interest rate, this paper obtains the analysis results, analyzes this result to a certain extent, and puts forward the corresponding policy suggestions in the following discussion.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.3;F832.51
本文编号：2259672
[Abstract]:The so-called bond repo transaction is a one-to-one repo transaction between market participants, which is based on fixed income securities, including bond pledge repo and bond buyout repo. With the development of bond market by leaps and bounds, bond repurchase market has become the main place for market participants to carry out short-term financing and liquidity management, and has become an important platform for the people's Bank of China to carry out open market operations and realize the transmission of monetary policy. In 1996, China's inter-bank bond market was established, which is an important event in the development of China's bond market and marks the maturity of China's bond market. In China's bond market, commercial banks are an indispensable force. The establishment of the interbank bond market is more conducive to giving play to the advantages of commercial banks. When the interbank bond market was established, the market participants were only commercial banks. After continuous development, market participants have been expanded to include financial enterprises such as securities companies, insurance companies and fund companies. The scale of the market has increased significantly, and many innovative products have been launched. The interbank bond market is richer in trading. At present, the interbank bond market is the main force of China's bond market, the exchange market is an important part of China's bond market, and the commercial bank counter is an important supplement to China's bond market. Each fluctuation of the interbank bond repo rate is the result of the interaction between the demand for funds and the supply of the market participants. At the same time, the fluctuation of the interbank bond repo rate will convey the change of macroeconomic form, national monetary policy and international financial market. Considering the relationship between repo interest rate and many economic variables in China, this paper takes several economic variables as the factors that influence the change of repo interest rate, and makes an empirical analysis to study their influence on the interbank bond market. A certain conclusion has been drawn. According to the theory of interest rate in western economics, using Keynes' theory of liquidity preference and the theory of loanable funds to analyze the influence factors of interbank bond repurchase rate, the empirical analysis is carried out. Further, the different factors selected in this paper affect the repo interest rate. The data selected in this paper are the interbank bond repo rate from January 2003 to June 2013. Data has a strong timeliness, because with the improvement of the degree of marketization in China, the reform of the financial and economic field is also more rapid, so it is necessary to select more representative and time-efficient data in order to get better results. Through the empirical analysis of the influencing factors of repo interest rate, this paper obtains the analysis results, analyzes this result to a certain extent, and puts forward the corresponding policy suggestions in the following discussion.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.3;F832.51
【参考文献】
相关期刊论文 前4条
1 钱文辉;同业拆借利率和国债回购利率的协整分析[J];市场周刊(管理探索);2005年04期
2 于翰欣;陈志启;;银行间回购利率对股票市场规模的影响研究[J];商场现代化;2007年21期
3 徐永林;王严华;;上证国债指数与回购市场利率的协整分析[J];审计与经济研究;2007年06期
4 何启志;;我国银行间债券回购利率期限结构研究[J];统计与决策;2011年01期
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