银行间债券质押式回购利率的波动性与影响因素-分析.pdf

银行间债券质押式回购利率的波动性及影响因素分析 Abstract Theinterbankbond marketinChina an roleintheeconomicand repo playsimportant financial the oftheinterbankbond market，the system．Amongtradingproducts repo pledgedrepo hasthe amountandbehavesmost recent tofinancialturmoil largest trading actively．Inyears，due atdomesticand interestratefluctuates foreignmarket,the pledgedrepo increasingly丘equently and a memberso舭n丘ndSitdifficulttoreceivefinance筋mthe intensely．Asresult．trading interestraterisk andthe tocontrol of market．Meanwhile，themanagementability ability liquidity commercialbanksremainstobefurther the will a threatto run，it improved．Inlong posepotential the ofthefinancialmarketin articleusesthemethodsofboth stability China．Therefore，this theoreticaland researchto theinterestratefluctuationsand factors empirical analyze influencing ofinterbank market． pledgedrepo the andthe Thisarticle elaboratesselected firstly topicbackground,researchsignificance statusofinter-bank series ARMA market,time methods，the development pledgedrepo analysis modelandetc．Inthe andthe research has model，GAR