摘要
本文运用回归分析和引入宏观因子的向量自回归模型描述了回购利率影响国债收益率的若干特征,认为回购利率对国债收益率影响具有滞后性,在持续向同一方向变动一段时间后,会对国债收益率产生更加显著的影响。在研究回购利率的波动性对国债收益率的影响时,分别用已实现波动率和从EGARCH模型得到的条件方差进行分析,认为回购利率的波动对水平因子和斜率因子有着正向冲击。
This paper, based on regression and VAR models, empirically analyzes whether and how repo rate influences treasury yield rates, showing that repo rate does not affect treasury yields immediately. When repo rate continuously goes up or down for some time, it is to influence treasury yields more strongly. This study also finds the impacts on treasury from repo fate＇s volatility, using both realized and conditional variance, based on EGARCH model. In terms of the explanation of the ways how repo rate influences treasury rates, this paper gives some suggestions for the central bank, including applying price-based monetary policy and negotiating with market more often.
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2014年第5期15-24,共10页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
