上证国债指数与回购市场利率的协整分析

An Empirical Test of Co-integration between the Treasurer-bond Index and the Repo-interest Rate

运用向量自回归(VAR)模型以及脉冲响应函数对国债市场中的上证国债指数与回购市场利率的长期均衡以及短期信息冲击波动的关系进行研究,发现尽管这两个市场参与主体和交易产品期限存在差别,但是国债指数与不同期限的回购利率之间存在协整关系,而且不同期限的回购利率短期信息冲击立即对国债指数产生剧烈影响,但这个冲击影响会逐渐消失。

This paper analyses the correlation between the treasury bond index and the repo-interest with VAR method and shows the cointegration between them in spite of the different nature of the two markets.