银行间支付流与同业拆借利率之关系的实证研究  

An Empirical Study of the Relationship Between Interbank Payment Flows and SHIBOR

作　　者：潘松[1,2,3] 魏先华[1,2,3] 张敏[1,2,3] 宋洋[1,2,3] 陈敏[1,2,3] 

机构地区：[1]中国科学院数学与系统科学研究院,北京100190 [2]中国人民银行,北京100800 [3]中国科学院研究生院,北京100190

出　　处：《金融研究》2009年第1期81-94,共14页Journal of Financial Research

基　　金：国家自然科学基金(No.70221001;No.70331001;No.10628104;No.10721101);国家基础研究计划(973项目)(No.2007CB814902)

摘　　要：本文研究了我国大额支付系统中银行间支付流与银行间同业拆借利率之间的关系。实证结果表明大额支付系统中银行间支付流的变化水平对银行间同业拆借利率的条件均值和条件方差都有显著的影响。随着法定存款准备金率的不断调高,银行间支付流与银行间同业拆借利率之间的相关关系逐渐增强。The paper explores the relationship between interbank payment flows in China＇s Large Value Payment System and SHIBOR. The empirical results indicate that the changes of interbank payment flows have significant influences on both conditional means and conditional variances of SHIBOR. As the reserve requirement ratio is raised little by little, the correlation between interbank payment flows and SHIBOR increases gradually.

关 键 词：同业拆借利率 银行间支付流 EGARCH模型 动态相关系数 

分 类 号：F832.2[经济管理—金融学] F822F224