中国银行间回购市场微观结构研究

Microstructure of China's Interbank Repo Market

回购市场在金融市场稳定和货币政策传导中发挥了重要作用。本文利用中国银行间质押式回购市场的详细交易数据,深入研究了回购市场日内利率的变化规律。我们发现中国隔夜回购市场日内利率呈现出与发达国家回购市场不同的“开盘下降,后上升,再下降,尾盘拉升”的W形变化规律。我们从中国回购市场开盘利率的定价机制、市场交易主体的银行和非银机构二元结构以及银行日内流动性管理三个方面对于中国回购市场价格变化规律进行了解释。本文的发现对于提高我国回购市场运行效率以及银行流动性管理水平提升具有参考价值。

The repo market plays a crucial role in the stabilization of financial markets and the transmission of monetary policies.Since the global financial crisis in 2008,scholars have increasingly focused on the performance of the repo market.In China,the repo market has experienced rapid growth and has become a key component of the financial system.The existing literature mainly focuses on the impact of the repo market on bond pricing and its regulations.Few studies have examined the microstructure of China's repo market.This paper flls this gap by examining high-frequency intraday repo rate movements in China's interbank repo market using transaction-level data.Our data consist of close to ten million transactions from February 2015 to June 2021.With this unique dataset,we find that the overnight repo rate demonstrates the following robust W-shaped intraday pattern:The rate initially decreases,then rises,declines again,and finally increases once again.Our detailed findings are summarized as follows.First,the repo rate typically starts at a fixed high level at 9:00 and declines until 10:00.We compare the repo rate of transactions between all institutions and the rate between banks only and find that they do not significantly difer in the first hour.This result indicates that transactions during this period are mainly among banks,which are less likely to default and use safer collateral.Because of the high opening rate,the market seeks an equilibrium rate during this period,resulting in the observed declining pattern.Second,the repo rate increases from 10:00 to 12:00.We attribute this increase to the participation of non-bank institutions,which are riskier and thus face higher repo rates.In China,holidays and weekdays are usually concatenated,effectively turning weekends into working days;these are defined as working weekends in our paper.On working weekends,banks continue to operate normally,whereas most non-bank institutions are closed.Taking advantage of this unique institutional setup,we demonstrate that the increase in the repo rate almost disappears when non-bank institutions are absent from the market.Third,the repo rate declines again from 15:00 to 16:30.In addition to explanations based on volatility and liquidity from the existing literature,we identify that this pattern is driven by banks'intraday liquidity management.Banks need to retain intraday liquidity to accommodate potential withdrawals by firms.Only in the late afternoon,when firms are not likely to withdraw,banks will lend their surplus funds in the repo market,leading to a decline in the repo rate.We conduct an event study by examining repo rate movements on the deadline days for corporate tax payment.The results reveal that the decline between 15:00 and 16:30 is significantly larger before a tax payment due date than after it,when banks do not need to maintain extra liquidity in the late afternoon.Our results indicate that the oversupply of liquidity resulting from banks'liquidity management contributes to the repo rate decline in this period.Our paper has crucial implications for regulators and market participants.First,our findings are useful for the construction of benchmark interest rates.This paper shows that the repo market is volatile and may not have efficient pricing between 9:00 and 10:00 and between 16:30 and 16:50.Thus,market organizers should consider excluding this period when constructing the benchmark rate.Second,this paper provides empirical evidence for the importance of improving banks'liquidity management.The empirical results show that banks'intraday liquidity hoarding contributes to the decline in the repo rate between 15:00 and 16:30.As the main supplier in the repo market,banks'liquidity management is closely related to the efficiency of this market.