Analyzing repo rates in the inter-bank market with essential affine models;

Empirical study of the repo rate and relevant variables;

Using a Granger causality test and error correction model,the lead-lag effect of 1-day and 7-day repo rates in China interhank bond market and Shanghai Stock Exchange is investigated.

By an Empirical analysis of the Repo rates of the treasury bonds in our country, we find that the model can better fit data and partly unveil the reason of mean-reverting effect and level effect.

Based on the data of 7-day repo rates on both inter-bank bond market and Shanghai Security Exchange bond market in China,CKLS models on the two markets are estimated respectively by GMM.

Both methods were evaluated over sets of data simulated by Monte-Carlo method and empirically tested over 4 set of daily data of the repurchasing rate in Shanghai Stock Exchange.

The classified information mixture distribution ECARCH model of repurchasing rate of interbank bond market is put forword in this article.

With the analysis of repurchase rates of Chinese government bonds in the market,this paper arrives at the statistical features of the rates,which has laid down the foundation for further studies.

At present, there are two benchmark rates of floating rate debt, one year fixed deposit rate and 7 - day repurchase rate, in China.

The repo rate of the national bond is analyzed and ARIMA and GARCH models related to the rate are established in this paper.