摘要
本文研究了我国大额支付系统中银行间支付流与银行间同业拆借利率之间的关系。实证结果表明大额支付系统中银行间支付流的变化水平对银行间同业拆借利率的条件均值和条件方差都有显著的影响。随着法定存款准备金率的不断调高,银行间支付流与银行间同业拆借利率之间的相关关系逐渐增强。
The paper explores the relationship between interbank payment flows in China＇s Large Value Payment System and SHIBOR. The empirical results indicate that the changes of interbank payment flows have significant influences on both conditional means and conditional variances of SHIBOR. As the reserve requirement ratio is raised little by little, the correlation between interbank payment flows and SHIBOR increases gradually.
出处
《金融研究》
CSSCI
北大核心
2009年第1期81-94,共14页
Journal of Financial Research
基金
国家自然科学基金(No.70221001
No.70331001
No.10628104
No.10721101)
国家基础研究计划(973项目)(No.2007CB814902)
