流动性与交易所市场回购利率  

Liquidity and the Repo Rate of the Exchange Market

作　　者：朱才敏[1] 范龙振[1] 

机构地区：[1]复旦大学管理学院

出　　处：《上海管理科学》2006年第4期34-37,共4页Shanghai Management Science

基　　金：国家自然科学基金资助(70471010);新世纪优秀人才支持计划资助

摘　　要：在发达的金融市场上,回购利率的期限结构服从纯预期假设,无论从经济意义上还是从统计意义上来说风险溢酬都不显著。但是中国金融市场作为新兴市场表现出一些不同点。本文利用2000年1月到2006年2月上海证券交易所的回购数据,发现长期回购利率有明显的风险溢酬,预期理论并不成立。进一步分析得到流动性是影响风险溢酬的一个关键因素,流动性的预期和流动性的随机冲击都对观察到的风险溢酬有影响,并且流动性的预期是主要的影响因素。In the developed financial markets, the term structure of repo rate follows pure expectation hypothesis, and risk premium is not significant both economically and statistically. But Chinese financial market as an emerging market behaves differently. With repo rate data in the Shanghai Stock Exchange during the period from January 2000 to February 2006, it is found that long-term repo rates have obvious risk premiums, and expectations hypothesis does not hold. Further analysis reveals that liquidity is a key factor to determine the risk premiums. Both the expected liquidity and unexpected liquidity contribute to the observed risk premiums, but the contribution of unexpected part is much smaller.

关 键 词：回购利率 流动性 风险溢酬 期限结构 VAR模型 

分 类 号：F832.5[经济管理—金融学]