The Impact Of Interbank Liquidity And Open Market Operations On Money Market Interest Rate

After more than 20 years of development,China's interbank market has become the most important market in the money market.The interbank pledged repo rate is one of the most important interest rates in the interbank market.Under the background of China's monetary policy shifting from quantity control to price regulation,studying the money market interest rate has important practical significance.The money market interest rate is determined by the supplier of the capital and the demand side.In the money market,commercial banks are the most important demand side of funds.When the liquidity between banks declines,the demand for funds by commercial banks increases,and vice versa.The central bank is the most important source of money in the money market.When the central bank starts an open market operation,the amount of money in the money market changes accordingly.This paper studies the influencing factors of money market interest rates based on the perspective of money demand and supply.Based on the least squares method,the quarterly data of excess reserve ratio is calculated as the demand variable of interbank liquidity,and the open market operation volume is used as the supply variable of the central bank.In this paper,the VAR model is used to empirically analyze the relationship between variables and build a EGARCH model.The results show that the excess reserve ratio as a proxy variable for interbank liquidity has a significant impact on money market interest rate.The increase in the excess reserve ratio will lead to a decline in the pledge repo rate of overnight deposit institutions.The net variable of the proxy variable in open market operations is positively correlated with the money market interest rate,and the net money contribution has an impact on the fluctuation of the money market interest rate.