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Research on the Influencing Factors on Inter-Bank Repurchase Rate

Author: XuFan
Tutor: WuZhiMing
School: Hunan University
Course: Finance
Keywords: Inter-bank bond market repurchase rate offered rate foreign exchange
CLC: F224
Type: Master's thesis
Year: 2009
Downloads: 157
Quote: 0
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Abstract


Bond repurchase operations refers to the buyer bought an amount of bond, at the same time, agreed to sell the same bond at a future time for a certain price. The transaction is advantage for both the bond holders and the money holders to adjust their portfolios, while return rate of the bond holding period has also been fully reflected.Bond repurchase rate is affected by the liquidity of capital market.Changes of bond repurchase rate can also reflect the information of capital supply and demand, leading capital flows, affecting the repo market’s investing and financing decisions, and will further affect the the national economy. Taking into account the linkage between foreign exchange market and money market, the thesis adds exchange rate,as one of the factors,to make empirical investment,then analysis their efficience to inter-bank bond repo rate which can make up the deficiencies in previous studies.From the perspective of the funds demand and supply in money market, using liquidity preference theory and the loanable funds theory to analysis the influencing factors of inter-bank bond repo rate and to further explore the different impact extent of different factors.According to the time-series datas from January 2002 to June 2009 of China’s inter-bank bond repo rate, interbank interest rates, excess reserve interest rates, comparative growth rate of money supply M1, the exchange rate, finding that inter-bank interest rates, excess reserve interest rates, comparative growth rate of money supply M1, the exchange rate has a significant influence on the inter-bank bond repo rate, in which interbank interest rates, comparative growth rate of money supply M1 has a large degree of influence, exchange rate can not be ignored.In addition, excess deposit reserve rate has been the bottom line of inter-bank bond repo rate. Through the research of the factors of repot rate fluctuation to explain the inter-bank bond repo rate fluctuations in a more comprehensive and systematic way,at the meanwhile, providing a guidance to investment and financing parties,playing a importantt role to make monetary policy and open market operations.for the People’s Bank.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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