我国质押式回购利率波动影响因素研究——基于SVAR模型的实证分析  

Research on Factors Influencing Fluctuations of Collateral Repo Rate——Empirical Analysis Based on SVAR Model

作　　者：王蕾[1] 张兵[1] 李橙[1] WANG Lei ZHANG Bing LI Cheng(International Business School, Shaanxi Normal University, Xi＇an 710119)

机构地区：[1]陕西师范大学国际商学院

出　　处：《财务与金融》2016年第5期5-10,共6页Accounting and Finance

基　　金：国家社会科学基金"金融和文化产业融合创新发展机制研究"(12CJL032);陕西师范大学中央高校基本科研业务费专项资金项目"全球金融监管体系改革研究:以金融审慎监管为核心的均衡分析框架"(10SZYB19)的支持

摘　　要：文章从商业银行资金供求角度出发,通过结构向量自回归SVAR模型对影响我国银行间债券市场质押式回购利率的因素进行实证分析,发现CPI同比增长率对质押式回购利率波动具有正向作用,外汇占款、M1同比增长率、超额准备金率和同业净债务对其产生负向作用。短期内,外汇占款、超额准备金率和同业净债务所代表的商业银行资金供求因素对回购利率影响较大。长期内,M1同比增长率和CPI同比增长率代表的政策调控因素对回购利率影响较大。This paper analyzes the factors influencing the repo rate of collateralized repo rate in China＇s inter-bank bond market from the perspective of supply and demand of commercial banks, and finds that the year-on-year growth rate of CPI has a positive effect on the fluctuation of collateralized repo rate of interest through the SVAR model, while foreign exchange, M1 year-on-year growth rate, excess reserve ratio and peer net debt have negative effect. In the short term, the supply and demand factors of commercial banks, represented by foreign exchange reserves, excess reserve ratio and interbank debt, have a greater impact on the repo rate. In the long run, the year-on-year growth rate of M1 and the year-on-year growth rate of CPI represent a big impact on the repurchase rate.

关 键 词：SVAR模型 质押式回购利率 波动因素 资金供求 

分 类 号：F832[经济管理—金融学]