The Benchmark Role of Repo Rate in China Interbank Bond Market

摘要：

Using a Granger Causality Test and Error Correction Model, the lead-lag effect of 1-day and 7-day repo rates in China interbank bond market and Shanghai Stock Exchange are investigated. Empirical results show strong evidence that the repo rates in exchange lead those in interbank. The repo rates in China interbank bond market do not performance a benchmark role as it should be. Within the interbank market, 7-day repo leads 1-day repo less significantly. These results indicate that the true value of repo rates reflect faster in an active-trading market, which is not necessarily liquid.

关键词： Repo Rate Benchmark Rate Granger Causality Test Error Correction Model

作者: 董乐

作者单位: 清华大学经济管理学院,北京100084

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）