我國(guó)銀行間債券回購(gòu)利率與宏觀經(jīng)濟(jì)變量的協(xié)整關(guān)系研究.pdf

1、東北大學(xué)碩士學(xué)位論文我國(guó)銀行間債券回購(gòu)利率與宏觀經(jīng)濟(jì)變量的協(xié)整關(guān)系研究姓名：施勇申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：楊紹杰20070101東北大學(xué)碩士學(xué)位論文ACo—integrationAnalysisoftherelationshipbetweeninterestrateinInterbankbondsrepurchasemarketandMacroeconomicV砸ablesAbstractInterbankbondrepu

2、rchasemarketisoreoftheessentialpartsofthefinancialmarketThefurtherresearchinvestigatestherelationshipbe“yeentheinterestrateinInterbankbondrepurchasemarketand刪nomicvariablesincludingmoneysupplyinvestmentdepositsoffinancia

3、linstitutionsandstocklⅡicesThearticleusesunitrootrest；OrangercausalitytestcointegrationtestandimpulseresponsefunctiontOaccuratelyme&qtifetheprocessthatthevariablesinfluenceeachotherinthesystenLThearticlebasesonthecoInteg

4、ratiunjudgeandtimesequencewheth盯choosethe刃捌thefurtherjudgmentchoosesteviseVECMtocarryOnchangingthequantitywiththevectorerrormargintoadjustthespeedandshortdatetheinfluenceanalysismutuallyTheempi刪studyfindsthatthereisalong

5、termequilibriumrelationshipamongthevariablesThestudydemonstratesthatthereisapositivecorrelationbetweenmoneysupplystockpricesandbondsrepurcheserateAnegativecorrehtionbetweendepositsoffinancialinstitutions，investmentandbon

6、dsrepurchaserateisfoundandthesechangequantitymutuallyofbalancedinfluencetheabilityisntverybigfromtheanalysisTheshorttermelTOrcorrectionmodelrevisesamovementtrendfiomreflectnotbalancedappearanceofinterestrateinsidebondsre

7、purchaseratetochangetowardthebalancedappearancegraduallyoftendnearandthischangehasapositiveregulationtocurrentlybondrepurchaseratevarietyThisdemonstratestheInterbankbondratedeviatesbalancedinterestratesmallerneartointheb

8、alancedinterestrateandtodeviatebalancedoftheadjustmentisalsoveryquickhadditionthestudydemonstratesthatthereare39monthslagfromchangeofmacroeconomicvariablestochangeofthebondrepurchaseratethroughimpulserespon船funclionFinal