银行间回购利率影响因素研究

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1、AbstractInanycountry'seconomicoperation,theinterbankshort-terminterestratesalwaysplayanimportantrole:oneistoreflectthemacroeconomicsituationandliquidityconditionsandtheotheristoprovideabasisforpricingfinancialassets.Atpresent,China'sinterestratesintheinter-bankmarketareconsistsoftwoparts

2、:oneismarket-determinedinterestrates,includingtheinterbanklendingrateandbondinterestrates,andtheotherisadministeredinterestrates,includingretaildepositandlendingrates.Short-terminterbankinterestratesmainlyincludecall-loanrateandreporate.Sincethevolumeofreporateisfarmorethanthatofcall-loa

3、nrate,wechoosereporateasarepresentativeofshort-terminterbankinterestrates-Aimedatthispurpose，wewillfirstdiscusstheinnerconnectionbetweenreporateandothereconomicfactors.Then,wewilldevelopastylizedtheoreticalmodelwhichreflectsthemathematicalrelationshipininterbankmarket,inordertoinvestigat

4、ethefurthermathematicalrelationshipbetweentheinterbankfactors.Atlast,wewilluseempiricalmodelVARmodel,whichwillbeestimatedfrom2004to2012todigoutthemutualrelationshipbetweenthemodelfactors.Themainfactorsheretobeconsideredincludeinter-bankreporates,inter-banklendingrates,retaillendinganddep

5、ositrates,legaldeposit-reserveratio,moneysupplyMl,andIPOvolume.Ourfindingsindicatethatthelinkageeffectbetweeninter-banklendingratesandthereporatesissignificant,thefactorsmoneysupplyMlandIPOvolumeprovetomakeagreatdifferenceoninter-bankreporates,andotherwisetheimpactoflegaldeposit-reserver

6、atioonreporatesisnotasmuchasweexpected.Keywords:ReporatesIPOReserveratio摘要IAbstractII1绪论11.1研究背景及意义11.2文献综述21.3研究方法及创新52银行间回购利率的影响机制72.1宏观经济变量的影响72.2价格变量的影响82.3存、贷款利率及法定存款准备金率的影响102.4其他影响因素的影响133实证分析153.1变量解释及来源153.2银行间冋购利率描述性特性173.3ADF单位根检验193.4VAR模型滞后阶数选择193.5协整关系检验203.6向量误差修正模型213.7脉冲

7、响应分析234实证结果分析及政策建议25致谢29参考文献301.1研究背景及意义随着我国资本市场的逐步放开，我国市场机制不断完善，利率市场化进程也进一步加速。我国银行间利率市场目前的现状是一一管制零售利率和市场利率并存。管制零售利率方面首先放开的是零售贷款利率。从1998年开始，央行对商业银行贷款利率的上限要求逐步放松。直至2013年7月，我国进一步放开贷款利率，取消了0.7倍下限管制要求，将主动权交给商业银行，由商业银行根据自身需求自行确定合适的贷款利率。不同于零售贷款利率的逐步放开，我国零售存款利率一直处在央行的管制保护中，其主要原因