我国银行间债券质押式回购利率的影响因素探究

发布时间：2018-01-03 14:19

本文关键词：我国银行间债券质押式回购利率的影响因素探究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：银行间货币市场包括同业拆借市场、国库券市场、回购协议市场、大额可转让存单市场等,是各金融机构进行资金匹配,调节短期流动性的主要场所。其中回购协议市场中的债券质押式回购业务,简单而言是指资金需求方以手中债券作为质押,向资金供给方获得资金,并在未来约定时间偿还约定金额(本息)以解除债券质押取回债券的业务。债券质押式回购业务为短期融资提供了有效渠道,有利于持券方与资金方各取所需,增强了货币市场的流动性。根据IS-LM模型,利率是由商品市场中的储蓄投资均衡、货币市场中的供需均衡以及收入等因素共同决定。本文以银行间债券质押式回购利率(以下简称回购利率)为研究对象,研究方向包括以下两个方向：首先是构建回购利率的宏微观决定模型并分析各因素对利率的具体影响；其次,研究回购利率与其他常用利率之间的相互关系。具体而言,本文首先对我国债券市场以及回购市场的发展进行了系统分析,并结合经典的利率决定模型,从理论角度分析对我国回购利率可能产生影响的宏微观因素；在进行理论分析后,本文采用2005年1月至2013年12月的工业增加值同比增速、货币乘数、CPI同比增速、商业银行资金成本(将银行理财产品预期收益率纳入考虑范围)以及商业银行存贷差同比增速等月度数据,构建线性回归模型并得出统计上对回购利率有显著影响的宏微观变量；第三,对回购利率与这些变量进行VAR模型构建,采用脉冲响应分析、方差分解法来定性定量地探究这些变量冲击对回购利率的影响；最后,本文对回购利率、SHIBOR以及理财产品预期收益率之间的相关关系进行研究,并粗略分析这些利率在银行间市场上是否存在“领先-滞后”关系[1]。
[Abstract]:The interbank money market includes interbank borrowing market, treasury bond market, repurchase agreement market, large transferable deposit certificate market and so on. The main place to adjust short-term liquidity. The bond pledge repurchase business in the repo agreement market, in short, refers to the demand side of funds taking the bonds in hand as the pledge to obtain funds from the fund suppliers. And in the future agreed time to repay the agreed amount (principal and interest) to lift the bond pledge to retrieve the business. Bond pledge repurchase business for short-term financing to provide an effective channel conducive to the holders of securities and funds to get what they need. Increases liquidity in money markets. According to the IS-LM model, interest rates are balanced by savings and investment in commodity markets. The balance of supply and demand and income in the money market are determined together. This paper takes the interbank bond pledge repurchase rate (hereinafter referred to as repo rate) as the research object. The research direction includes the following two directions: firstly, the macro and micro decision model of repo interest rate is constructed and the specific influence of various factors on interest rate is analyzed; Secondly, the relationship between the repo rate and other common interest rates is studied. Specifically, this paper firstly analyzes the development of the bond market and the repo market in China, and combines with the classical interest rate decision model. From the theoretical point of view, this paper analyzes the macro and micro factors that may affect the repo interest rate in China. After theoretical analysis, this paper adopts the year-on-year growth rate of industrial value added from January 2005 to December 2013, and the monetary multiplier of CPI growth rate from January 2005 to December 2013. Monthly data such as the cost of funds for commercial banks (which take into account the expected rate of return on bank wealth management products) and the year-on-year growth rate of the difference between deposits and loans in commercial banks. Construct the linear regression model and get the macro and micro variables which have significant influence on the repo interest rate. Thirdly, the VAR model of repo interest rate and these variables is constructed. Impulse response analysis and variance decomposition method are used to explore the impact of these variables on repo interest rate qualitatively and quantitatively. Finally, this paper studies the correlation between repo interest rate and expected return rate of financial products, and roughly analyzes whether there is a "leader-lag" relationship between these interest rates in the interbank market. [1].
【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

【参考文献】