流动性与交易所市场回购利率

在发达的金融市场上,回购利率的期限结构服从纯预期假设,无论从经济意义上还是从统计意义上来说风险溢酬都不显著。但是中国金融市场作为新兴市场表现出一些不同点。本文利用2000年1月到2006年2月上海证券交易所的回购数据,发现长期回购利率有明显的风险溢酬,预期理论并不成立。进一步分析得到流动性是影响风险溢酬的一个关键因素,流动性的预期和流动性的随机冲击都对观察到的风险溢酬有影响,并且流动性的预期是主要的影响因素。

Liquidity and the Repo Rate of the Exchange Market

In the developed financial markets,the term structure of repo rate follows pure expectation hypothe- sis,and risk premium is not significant both economically and statistically.But Chinese financial market as an emer- ging market behaves differently.With repo rate data in the Shanghai Stock Exchange during the period from January 2000 to February 2006,it is found that long-term repo rates have obvious risk premiums,and expectations hypothesis does not hold.Further analysis reveals that liquidity is a key factor to determine the risk premiums.Both the expected liquidity and unexpected liquidity contribute to the observed risk premiums,but the contribution of unexpected part is much smaller.