Research on the Behavior of Short-term Bond Repo Rate of China

摘要

In this paper, we researched on the 7day's bond repo rate of China. With the GMM estimator, we evaluated the parameters of CKLS model and the other restricted models, the results of estimate shows that the CKLS model is the best single factor model to simulate the repo rate of both the stock exchange market and the inter-bank. We also find that there is large difference between the long term average rate of bond repo of the exchange house and the inter-bank market. It means that the stock exchange market and the inter-bank market is in a state of segmentation, the single bond repo market hasn't become true in China yet. The variance rate of inter-bank repo rate is large than that of the stock exchange market. In this paper, the elasticity of variance is 0.9352 in the stock exchange market and 1.3434 in the inter-bank market. Additionally, we proved that there are obvious mean-revertion phenomena in both stock exchange market and inter-bank market.