银行间回购利率与同业拆借利率关系研究

内容摘要：在我国，银行间同业拆借市场和银行间债券回购市场在近几年发展迅速，不断完善，逐步壮大，已成为我国货币市场的主要组成部分。银行间债券回购利率和同业拆借利率已经率先基本实现市场化，能够有效反映资金市场的资金供求关系。因此，对银行间同业拆借市场利率和银行间债券回购市场利率进行研究，探索两个市场利率的相互关系和运行规律，是利率市场化进程中的重要课题。根据中国人民银行公布的数据，对2008年1月至2011年12月我国银行间债券回购利率和银行间同业拆借利率进行实证分析，以这两个市场利率的时间序列数据为基础，通过对银行间同业拆借市场和银行间债券回购市场的隔夜利率以及7天利率进行计量统计分析，运用eviews软件，对这两个市场的隔夜利率以及7天利率进行相关性分析、平稳性检验、协整检验和建立误差模型，表明我国银行间债券回购利率与银行间同业拆借利率之间存在着正相关关系，回购利率的变化会引起同业拆借利率的同方向变动；这两个市场的利率走势基本相同，二者对彼此的利率变动都比较敏感，传递速度也比较快，是中央银行实行有效的货币政策的重要渠道，进一步说明了我国银行间债券回购市场利率对银行间同业拆借市场利率的短期冲击和长期影响，对于揭示我国货币市场的发展状况和衡量我国经济发展水平和现代化程度标准具有重要意义。

关键词：同业拆借利率，回购利率，平稳性检验，协整检验，误差修正模型
The Relationships of Repo Rate and Interbank Offered Rate
Abstract: In china, the interbank market and the interbank bond market have developed rapidly in the past few years, and they have grown into an important and major part in china’s money market. Inter-bank bond repo rate and interbank rate has been the lead in realizing market-oriented, they can effectively reflect the capital market capital supply and demand relationship. Therefore, it is an important issue in the interest rate market to do research on the interbank market interest rates and the inter-bank bond repurchase market interest rates and explore the inter-relationships and the laws governing the operation of the two market interest rates. According to the data released by the People’s Bank of China, this paper uses empirical analysis on the January 2008-December 2011 China’s inter-bank bond repo and interbank rates,focusing on the overnight rate and the 7 day interest rate between the interbank market and the interbank bond market, it uses the Eviews software to conduct statistic analysis. Besides, this paper does the correlation analysis, the Stationarity test, the Cointegration test and the establishment of error models between the overnight interest rate in the two markets, as well as 7days interest rates. Those imply that the interest rates movements in the two markets are basically the same, both of them are sensitive to each other of changes in interest rates, and have faster transmission speed, they are an important channel of monetary policy to the central bank. And it also indicates the short-term shocks and long-term effects of china’s interbank bond repo market interest rate on the interbank market interest rates. It has an important significance for revealing the development status of china’s money market measure of the level of economic development and modernization of standards.

Key words: interbank offered rate，repo rate，Stationarity test，Cointegration test，Error Correction Model

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