基于ARMA模型的银行间质押式回购利率的实证研究

银行间质押式债券回购是目前我国货币市场交易最为活跃、成交金额最大的品种,其利率已经成为货币市场的代表性利率,同时也是我国短期金融产品定价的利率基准之一。本文试图寻找影响银行间债券市场回购利率的重要因素,并通过建立自回归移动平均模型,研究各种宏观经济与金融市场变量对该利率的影响。

An Empirical Research on the Interest Rates of Inter-bank Repo Based on ARMA Model

In China,inter-bank bond pledged repo is currently the most active and the biggest transaction in terms of trading turnover in Chinese money market,and its interest rate has become a representative rate in money market and even become one of the benchmarks for pricing the interest rates of many other short-term fi- nancial products in Chinese market.This paper empirically researches the factors that may affect the interest rate of pledged repo in inter-bank money market with an autoregressive moving average...