票据转贴现与同业存单利差影响因素研究

A Study on the Influencing Factors on the Spread Between Banker's Acceptance Bills Interbank Discount Rate and NCD Interest Rate

文章在控制市场流动性、市场利率波动、银行信用风险等因素的情况下,通过研究1年期国股银票转贴现利率与1年期同业存单利率之间的利差,探究信贷规模对票据转贴现利率的影响。文章创造性地构造了票据平均承兑量、平均贴现量等票据供给方面的解释变量,构建回归模型。研究发现,这些指标有较强的周期性,在解释票据转贴现和同业存单利差的回归模型中表现与预期相符,可以作为信贷规模因子的良好替代指标,用来研究票据转贴现利率。本文还构建了新的预测模型,通过滚动回归方法预测未来的票据转贴现和同业存单利差,效果较好,可为后续进一步研究票据利率提供参考。

This paper investigates the impact of credit scale on banker's acceptance bills interbank discount rate by studying the spread between the one-year banker's acceptance bills interbank discount rate and one-year negotiable certificate of deposit(NCD)interest rate.By controlling market liquidity,market interest rate volatility,and banks'credit risk,this paper provides a better understanding of the impact of credit scale on banker's acceptance bills interbank discount rate.This paper creatively constructs the explanatory variables from the supply side of banker's acceptance bills,including average acceptance amount of banker's acceptance bills,average discount amount of banker's acceptance bills,as measures of credit scale.A regression model is built to study the impact of credit scale on banker's acceptance bills interbank discount rate.The study finds that these indicators have strong periodicity,and perform as expected in the regression models of the spread between the banker's acceptance bills interbank discount rate and NCD interest rate.Therefore,they can be considered as good substitutes for the credit scale factor in the study of banker's acceptance bills interbank discount rate.This paper also constructs a new forecasting model to predict the future banker's acceptance bills interbank discount rate and NCD interest rate spread through rolling regression.The forecasting effect is good,which provides a foundation for further research on banker's acceptance bills interbank discount rate.