同业拆借利率影响因素的研究  

Analysis of the Determinants of Interbank Interest Rate

作　　者：崔海亮[1] 徐枫[2] 

机构地区：[1]中国科学院研究生院管理学院,北京100080 [2]华南理工大学经济与贸易学院,广州510640

出　　处：《管理评论》2007年第11期3-10,共8页Management Review

基　　金：国家自然科学基金项目资助(70473085)。

摘　　要：本文利用ARIMA模型研究了我国银行间同业拆借利率的长期影响因素,在考虑中国特殊情况的基础上,对可能的影响因素样本进行了筛选,最终采用时间序列金融的研究方法,从统计上找出了影响我国同业拆借市场利率的主要因素。结果发现,一年期人民币银行贷款利率和回购利率对我国的同业拆借市场利率存在长期的正的影响。这个结果还可以从Granger因果检验和他们的理论关系中得到验证。最后,本文还给出了一些相关的政策启示。This paper tries to probe into the determinants of interbank interest rate in Chinese banking system by using ARIMA model. According to the special situation of China, this paper chooses sample data from potential determinants and finds out that only the RMB lending interest rate and the repurchase rate are the main factors that positively impacted the interbank interest rate in China banking system in long-term statistically by using financial time series analysis and Granger test. This result can be explained by their theoretical relationship. Finally, we not only manage to find out the causes of this result according to the actual situation in China, but also obtain some policy instructions.

关 键 词：同业拆借市场利率 回购利率 ARIMA模型 GRANGER检验 

分 类 号：F224[经济管理—国民经济] F832