我国短期债券回购利率与同业拆借利率的协整分析

Cointegration Analysis between Short-term Rate in China Interbank Bond Market and China Interbank Offered Rate

本文利用协整检验的相关理论,对我国银行间短期债券回购利率和同业拆借利率的关系进行了探讨。结果显示,我国银行间短期国债回购利率和同业拆借市场利率之间存在长期均衡关系。此外,文章还利用误差修正模型,分析了国债回购利率和同业拆借利率之间的短期波动。

By the theory of cointegration analysis and error correction model, the paper reaches a conclusion ： thei＇e is a stable effect between Short-term Rate in China Inter-Bank Bond Market and China Interbank Offered Rate. In addition, the paper also uses error correction model to analyze the short-term fluctuations between Short-term Rate in China Inter-Bank Bond Market and China Interbank Offered Rate.