| 我国银行间同业拆放利率影响因素的实证分析 |
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| 引用本文： | 徐枫.我国银行间同业拆放利率影响因素的实证分析[J].金融论坛,2004,9(9):57-61. |
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| 作者姓名： | 徐枫 |
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| 作者单位： | 华南理工大学工商管理学院金融与财务系 |
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| 基金项目： | 华南理工大学校科研和教改项目 |
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| 摘 要： | 银行间同业拆放市场利率是我国主要的货币市场利率,也是最早实现市场化的利率.对商业银行来说,同业拆放利率是商业银行决定贷款利率与存款利率的重要标准.本文通过建立单整自回归平均移动模型ARIMA,研究一年期人民币银行贷款利率、一年期人民币储蓄存款利率、三年期凭证式国债利率、法定准备金年利率、回购利率、消费价格指数、综合股价指数、金融机构各项贷款与存款总额比值和人民币对美元汇率这些因素对我国银行间拆放利率的影响.研究结果表明:一年期人民币银行贷款利率和回购利率是影响我国银行间同业拆放利率的主要因素.
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| 关 键 词： | 同业拆放利率 贷款利率 存款利率 回购利率 自回归移动平均模型 银行 回购利率 影响因素 实证分析 Rate Interbank Factors 结果 对美元汇率 比值 存款 贷款 金融机构 股价指数 综合 消费价格指数 年利率 法定准备金 国债利率 凭证式 |
| 文章编号： | 1009-9190(2004)9-0057-05 |
An Empirical Analysis of Factors Affecting Interbank Offer Rate (IBOR) in China |
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| Xu Feng.An Empirical Analysis of Factors Affecting Interbank Offer Rate (IBOR) in China[J].Finance Forum,2004,9(9):57-61. |
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| Authors: | Xu Feng |
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| Abstract: | Interbank market rate is a major monetary market rate in our country and the earliest marketized rate at that.IBOR is an impor-tant standard used by commercial banks to determine loan and deposit rates.Based on an autoregressive moving-average model(ARMA),a study is made of factors affecting our interbank offer rate(IBOR)such as one-year maturity RMB bank-loan rate,one-year maturity RMB deposit rate,three-year maturity certificate T-bonds,legal reserve annual rate,buyback rate,consumer price index,composite stock price index,ratio of all loans to total deposits in financial institutions and RMB-USD exchange rate.It is found that our interbank offer rate is mainly affected by one-year maturity RMB bank-loan rate and buyback rate. |
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| Keywords: | interbank offer rate loan rate deposit rate buyback rate autoregressive moving-average models(ARMA) |
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