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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
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