上海银行间同业拆借利率作为基准利率与银行间债券回购利率的比较分析-金融学专业论文.docxVIP

Contents Abstract(English) i Abstract(Chinese) ii Introduction 1 Background and importance 1 Literature review 4 Literatures about Shibor 4 Literatures about determinates of interbank interest rate 5 Literatures about Relationship between Interbank and repo rate 5 Content and Methodology 6 Research Ideas 6 Research Content and Methodology 7 Shibor 7 Definition and formation of Shibor 7 Definition 8 Method 8 Determinants of Shibor 9 Sample description 13 Correlation test 15 Multivariable test 16 Empirical and theory 18 Controllability of Shibor 20 Open market operation 20 Monetary policy 21 Repo rate 22 Definition and formation of Repo rate 22 Definition 22 Method 22 Determinants of repo rate 23 Sample description 23 Correlation test 24 Multivariable test 25 Empirical and theory 27 Controllability of repo rate 28 Open market operation 28 Monetary policy 28 Relation between repo rate and Shibor 29 Correlation between repo rate and Shibor 29 Co-integration between repo rate and Shibor 30 Causality relation between repo rate and Shibor 32 Conclusion 33 Bibliography 36 Acknowledgments 38 Abstract In this essay, we mainly answer the questions how Shibor did as the benchmark interest rate compared to repo rate. In addition, we also discuss why Shibor rate and repo rate differentiate since they are both interest rate. From the empirical study from Jan.4 2008 to Dec.31 2010, we can get the conclusion that Shibor is a better measure of interest rate compared to repo rate from the perspective of determinants and causality. In additional to that, different sensitivity to different economic indicators deduces the gap between SHOBOR and repo rate since they have different formation mechanism. Keywords: Shibor, repo rate 摘 要 本文主要围绕问题银行间同业拆借利率相对于债券回购利率是否是一个更好的 基准利率展开回答。另外，文本延伸讨论了银行间同业拆借利率和债券回购利 率出现不一致的原因。通过2007年1月4号到2010年12月31号样本的实证检验， 从银行间同业拆借利率和债券回购利率相关性,影响因素以及可控性的分析,可 以发现银行间