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  本文關(guān)鍵詞：我國(guó)銀行間債券質(zhì)押式回購(gòu)利率的影響因素探究　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 回購(gòu)利率 同業(yè)拆借利率 銀行間市場(chǎng) 理財(cái)產(chǎn)品預(yù)期收益率 VAR模型

【摘要】：銀行間貨幣市場(chǎng)包括同業(yè)拆借市場(chǎng)、國(guó)庫(kù)券市場(chǎng)、回購(gòu)協(xié)議市場(chǎng)、大額可轉(zhuǎn)讓存單市場(chǎng)等,是各金融機(jī)構(gòu)進(jìn)行資金匹配,調(diào)節(jié)短期流動(dòng)性的主要場(chǎng)所。其中回購(gòu)協(xié)議市場(chǎng)中的債券質(zhì)押式回購(gòu)業(yè)務(wù),簡(jiǎn)單而言是指資金需求方以手中債券作為質(zhì)押,向資金供給方獲得資金,并在未來(lái)約定時(shí)間償還約定金額(本息)以解除債券質(zhì)押取回債券的業(yè)務(wù)。債券質(zhì)押式回購(gòu)業(yè)務(wù)為短期融資提供了有效渠道,有利于持券方與資金方各取所需,增強(qiáng)了貨幣市場(chǎng)的流動(dòng)性。根據(jù)IS-LM模型,利率是由商品市場(chǎng)中的儲(chǔ)蓄投資均衡、貨幣市場(chǎng)中的供需均衡以及收入等因素共同決定。本文以銀行間債券質(zhì)押式回購(gòu)利率(以下簡(jiǎn)稱回購(gòu)利率)為研究對(duì)象,研究方向包括以下兩個(gè)方向：首先是構(gòu)建回購(gòu)利率的宏微觀決定模型并分析各因素對(duì)利率的具體影響；其次,研究回購(gòu)利率與其他常用利率之間的相互關(guān)系。具體而言,本文首先對(duì)我國(guó)債券市場(chǎng)以及回購(gòu)市場(chǎng)的發(fā)展進(jìn)行了系統(tǒng)分析,并結(jié)合經(jīng)典的利率決定模型,從理論角度分析對(duì)我國(guó)回購(gòu)利率可能產(chǎn)生影響的宏微觀因素；在進(jìn)行理論分析后,本文采用2005年1月至2013年12月的工業(yè)增加值同比增速、貨幣乘數(shù)、CPI同比增速、商業(yè)銀行資金成本(將銀行理財(cái)產(chǎn)品預(yù)期收益率納入考慮范圍)以及商業(yè)銀行存貸差同比增速等月度數(shù)據(jù),構(gòu)建線性回歸模型并得出統(tǒng)計(jì)上對(duì)回購(gòu)利率有顯著影響的宏微觀變量；第三,對(duì)回購(gòu)利率與這些變量進(jìn)行VAR模型構(gòu)建,采用脈沖響應(yīng)分析、方差分解法來(lái)定性定量地探究這些變量沖擊對(duì)回購(gòu)利率的影響；最后,本文對(duì)回購(gòu)利率、SHIBOR以及理財(cái)產(chǎn)品預(yù)期收益率之間的相關(guān)關(guān)系進(jìn)行研究,并粗略分析這些利率在銀行間市場(chǎng)上是否存在“領(lǐng)先-滯后”關(guān)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].
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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本文編號(hào)：1374254