| 中央国库现金管理中标利率与货币市场利率关系的实证分析 |
| |
| 引用本文： | 吴金友. 中央国库现金管理中标利率与货币市场利率关系的实证分析[J]. 中国货币市场, 2011, 0(8): 23-27 |
| |
| 作者姓名： | 吴金友 |
| |
| 作者单位： | 中国人民银行上海总部; |
| |
| 摘 要： | 文章在梳理中央国库现金管理发展及货币市场利率体系的基础上,采用协整方程和误差修正模型实证检验了中央国库现金管理中标利率与同业拆借利率和回购利率之间的协整关系,研究表明其与二者均存在长期协整关系,误差修正模型的调整力度为0.8。文章分析了这种长期趋势存在的现实原因。最后结合实证分析中样本出现的特点,就进一步完善中央国库现金管理提出建议。
|
| 关 键 词： | 中央国库现金管理中标利率 货币市场利率 实证分析 |
Empirical analysis on the relationship between the treasury cash management winner rate and the money market interest rates |
| |
| Wu Jinyou,Ph.D.in Economics,People's Bank of China Shanghai Head Office. Empirical analysis on the relationship between the treasury cash management winner rate and the money market interest rates[J]. China Money, 2011, 0(8): 23-27 |
| |
| Authors: | Wu Jinyou Ph.D.in Economics People's Bank of China Shanghai Head Office |
| |
| Affiliation: | Wu Jinyou,Ph.D.in Economics,People's Bank of China Shanghai Head Office |
| |
| Abstract: | This paper,in its review of the treasury's cash management development and the interest rate system in the money market,uses co-integration equation and error correction model to empirically examine the co-integration relationship between the winner's rate in treasury's cash management and interbank lending rate and repo rate.The study shows that there is a long-term co-integration relationship between the rates and the adjustment of error correction model is 0.8.This paper analyses the reasons for the exis... |
| |
| Keywords: | winner's rate in treasury's cash management interest rates in the money market empirical analysis |
| 本文献已被 CNKI 维普 等数据库收录！ |
