CAJ | 학술논문

近期以来，在稳健货币政策的背景下，央行回购操作成为主要的货币政策工具。本文构建了央行回购操作影响银行间货币市场利率的理论模型，并重点以我国7天回购和28天回购数据为样本，利用协整检验、误差修正模型等计量方法考察央行回购操作与市场回购利率之间的长期均衡和短期动态关系。实证模型结果显示：无论从长期还是短期看，央行回购操作利率都能够显著地引导相应期限市场回购利率的变动；而在引入央行回购利率、期限利差等变量的情况下，样本期内的央行回购净投放资金数量及其它一些货币政策工具对市场回购利率短期变动的影响并不显著。
근기이래，재은건화폐정책적배경하，앙행회구조작성위주요적화폐정책공구。본문구건료앙행회구조작영향은행간화폐시장리솔적이론모형，병중점이아국7천회구화28천회구수거위양본，이용협정검험、오차수정모형등계량방법고찰앙행회구조작여시장회구리솔지간적장기균형화단기동태관계。실증모형결과현시：무론종장기환시단기간，앙행회구조작리솔도능구현저지인도상응기한시장회구리솔적변동；이재인입앙행회구리솔、기한리차등변량적정황하，양본기내적앙행회구정투방자금수량급기타일사화폐정책공구대시장회구리솔단기변동적영향병불현저。
Under the background of prudent monetary policy, the Repo operations by the central bank have re- cently become one of main policy instruments. This paper builds a theoretical model to show the effects of cen- tral bank Repo operations on the money market interest rates, and by the use of co - integration test and error correction model based mainly on 7 days and 28 days Repo operations data, we also empirically investigate the long - term equilibrium and short - term dynamic relationship between the central bank Repo rate and market rate. The empirical results show that the bidding Repo rate of central bank can significantly lead the movements of Repo market rate, while the size of central bank Repo operation and some other monetary policy variables have no significant effects on the short term variation of Repo market rates.