| China's bond repurchase market is an important sub-market of the money market.It is divided into the inter-bank market and the exchange market,in which the inter-bank market is the main place for bond repurchase transactions.Although the interbank market bond repurchase rate has been debated for a long time,it is undeniable that the interbank market bond repurchase rate(sometimes referred to as repurchase rate in this article)not only carries the policy transmission function of the central bank,reflects the capital situation of the money market,but also can provide reference for the pricing of financial products,which has an irreplaceable role in China's interest rate system.The irreplaceable role.Therefore,the study of the influencing factors of bond repurchase rate in the interbank market is not only of great significance to the pricing of financial products,liquidity management of financial institutions and the formulation of monetary policy of the Central Bank,but also reflects whether it has the attributes of the benchmark interest rate.In order to study the influencing factors of bond repurchase rate in China's interbank market,this paper combines the characteristics of China's repurchase market at the present stage,and based on liquidity preference theory,loanable funds theory,money supply and demand theory and interest rate parity theory,excavates the possible influencing factors of the repurchase rate comprehensively and systematically.The sample data from 2008 to 2018 was collected.The Granger causality test,impulse response function and variance decomposition are used to study the relationship between influencing factors and repurchase interest rate,the impact degree on repurchase interest rate,the impact path and the contribution rate to the fluctuation of repurchase interest rate.The change of repurchase interest rate is explained by building a multivariate statistical regression model.In order to further study the non-linear relationship between the repurchase interest rate and its influencing factors,this paper uses MF-DXA to analyze the non-linear dependence of the repurchase interest rate and the influencing factors,and through the non-linear Granger causality test to analyze whether there is a non-linear Granger causality between the influencing factors and the repurchase interest rate.Finally,a non-linear regression model is constructed to describe the non-linear relationship.Firstly,based on the linear paradigm,this paper draws the following conclusions: the statutory deposit reserve ratio,year-on-year growth rate of deposit-loan gap,loan interest rate of the People's Bank of China to financial institutions,Shanghai interbank lending rate have a significant impact on repurchase interest rate,and they are the one-way Granger reason of repurchase interest rate;repurchase interest rate of interbank bond market is the same as industrial added value and CPI.There is no significant Granger causality among growth rate,year-on-year growth rate of stock financing,Excess Reserve interest rate and exchange rate.Interbank bond repurchase rate is the one-way Granger cause of M 1 year-on-year growth rate.In addition,according to the impulse response function graph,the lag period of repurchase interest rate has a greater impact on itself,followed by the QUASI-PRINCIPAL rate of statutory deposits.The growth rate of deposit-loan gap is a negative impact on the repurchase interest rate;the impact of other factors on the inter-bank repurchase interest rate is a process of first increasing and then decreasing.In addition,through variance decomposition,we find that the lag term of repurchase interest rate and the legal deposit reserve rate contribute more to the variance of repurchase interest rate,while the other factors contribute less to the fluctuation of repurchase interest rate.In order to explain the change of repurchase interest rate,the multivariate statistical model with lag one and lag two has the best fitting effect.Secondly,in-depth study,this paper uses the non-linear model to explore the non-linear relationship between the repurchase rate and the influencing factors.The conclusion is that there is a non-linear dependence between the repurchase rate and the influencing factors in the interbank market through the MF-DXA non-linear relationship identification method.There is no non-linear Granger causality between repurchase interest rate and industrial added value,Excess Reserve interest rate and exchange rate,while there is a non-linear Granger causality between interbank lending rate,CPI growth rate and repurchase interest rate in Shanghai.This conclusion is different from the results of traditional Granger causality test.The repurchase interest rate is M1 growth rate and stock.The one-way non-linear Granger cause of the year-on-year growth rate of fund raising;the non-linear Granger cause of the repurchase interest rate is the statutory deposit reserve ratio,the loan interest rate of the central bank to the financial institutions and the year-on-year growth rate of the deposit-loan gap.Finally,the non-linear relationship between repurchase interest rate and influencing factors can be well explained by using the constructed non-linear model.Compared with the existing literature,the innovation of this paper lies in: firstly,the existing literature focuses on the impact of individual factors on the repurchase rate,rather than a comprehensive and systematic analysis of the influencing factors of the repurchase rate.Based on the economic theory and the characteristics of the repurchase market at this stage,this paper excavates the influencing factors of the repurchase rate more comprehensively and systematically than the previous literature;Secondly,the linear method has been used to study the influencing factors of repurchase interest rate.This paper incorporates MF-DXA and non-linear Granger causality test into the study of factors affecting repurchase interest rate,and further studies the non-linear relationship between repurchase interest rate and influencing factors,which makes up for the lack of discussion on the non-linear relationship between repurchase interest rate and its influencing factors in the previous literature,and enriches the existing research results. |
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