上海银行间同业拆借利率作为基准利率与银行间债券回购利率的比较分析

论文摘要

本文主要围绕问题银行间同业拆借利率相对于债券回购利率是否是一个更好的基准利率展开回答。另外,文本延伸讨论了银行间同业拆借利率和债券回购利率出现不一致的原因。通过2007年1月4号到2010年12月31号样本的实证检验,从银行间同业拆借利率和债券回购利率相关性,影响因素以及可控性的分析,可以发现银行间同业拆借利率作为基准利率更有优势。同时我们得出结论对于由于不同的形成机制导致两种利率对宏观经济环境不同的敏感性是导致两者利率出现分歧的原因之一。

论文目录

• Abstract
• 摘要
• 1. Introduction
• 1.1. Background and importance
• 1.2. Literature review
• 1.2.1. Literatures about Shibor
• 1.2.2. Literatures about determinates of interbank interest rate
• 1.2.3. Literatures about Relationship between Interbank and repo rate
• 1.3. Content and Methodology
• 1.3.1. Research Ideas
• 1.3.2. Research Content and Methodology
• 2. Shibor
• 2.1. Definition and formation of Shibor
• 2.1.1. Definition
• 2.1.2. Method
• 2.2. Determinants of Shibor
• 2.2.1. Sample description
• 2.2.2. Correlation test
• 2.2.3. Multivariable test
• 2.2.4. Empirical and theory
• 2.3. Controllability of Shibor
• 2.3.1. Open market operation
• 2.3.2. Monetary policy
• 3. Repo rate
• 3.1. Definition and formation of Repo rate
• 3.1.1. Definition
• 3.1.2. Method
• 3.2. Determinants of repo rate
• 3.2.1. Sample description
• 3.2.2. Correlation test
• 3.2.3. Multivariable test
• 3.2.4. Empirical and theory
• 3.3. Controllability of repo rate
• 3.3.1. Open market operation
• 3.3.2. Monetary policy
• 4. Relation between repo rate and Shibor
• 4.1. Correlation between repo rate and Shibor
• 4.2. Co-integration between repo rate and Shibor
• 4.3. Causality relation between repo rate and Shibor
• 5. Conclusion
• Bibliography
• Acknowledgments