银行间回购利率的基准效应研究——我国短期利率“领先—滞后”效应的实证检验

The Benchmark Role of Repo Rate in China Interbank Bond Market:The Lead-Lag Effect of Short-Term Interest Rate

本文以银行间和交易所1日、7日回购利率为研究对象,使用Granger因果检验和误差修正模型,检验了4种利率间的"领先—滞后"关系,发现交易所回购利率的变动显著领先于银行间相应期限的回购品种,银行间回购利率没有起到应有的基准作用。在银行间市场内部,7日回购利率则对1日回购利率存在一定程度的引领性。本文随后检验了两个市场的流动性,认为可以把上交所回购利率的领先关系归因于交易活跃,反映市场真实利率的信息会更快的得以体现。这就有可能领先于虽然交易金额巨大但交易仍不够频繁的银行间回购市场。

Using a Granger causality test and error correction model, the lead-lag effect of 1-day and 7-day repo rates in China interbank bond market and Shanghai Stock Exchange is investigated. Empirical results show strong evidence that the repo rates in exchange lead those in interbank. The repo rates in China interbank bond market do not perform a benchmark role as it should be. Within the interbank market, 7-day repo leads 1-day repo less significantly. These results indicate that the true value of repo rates reflect faster in an active-trading market, which is not necessarily liquid.