臺灣博碩士論文加值系統

拆款市場的成立在於發揮同業拆借的功能，提高金融業貨幣信用的效能，而隔夜
拆款利率則可視為衡量短期資金鬆緊的價格。本論文之目的，試圖找尋影響隔夜拆款
利率波動的成因，以更確立其成為短期利率指標的地位。茲將兩個主題的實證結果分
述如下：
一、隔夜拆款利率變異性方面：
1.旬提存準備期間利率的日變異性存在顯著的差異，而月提存準備期間則沒有此現象
，顯見中央銀行延長提存準備期的措施可以降低拆款利率的變異性。
2.影響隔夜拆款利率的主要因素為當日淨超額準備及前幾日的隔夜拆款利率本身，並
且發現拆款交易金額與當日淨超額準備、累積超額準備存在密切的關係，表示各金融
機構仍習慣以拆款市場為調度準備金的場合。
二、隔夜拆款利率指標性方面：
1.隔夜拆款利率與商業本票利率之間，存在回饋因果關係，並沒有明顯的領先落後關
係；而債券附買回利率則皆落後上述兩項短期利率。
2.當隔夜拆款利率處於高檔時，附買回利率、商業本票利率與之的利率差距，明顯大
於隔夜拆款利率處於低檔時之利率差距。

The interbank money market is founded for funds trading and strengthening
the monetary credit among financial institutions. On measuring the tightness
and ease of short-term funds, the overnight interbank money market interest
rate is viewed as the price. This study focuses on Taiwan overnight interbank
money market interest rate by verifying the influential factors and examining
its function as a short-term interest rate indicator.
All results are described as follows:
1.In the volatility:
(1)While the reserves is calculated for periods of ten days, the daily
volatility of rate has significant difference each day. But the result
is not obvious when the calculation period is one month. This indicates
that the volatility of interbank money market interest rate can be decrease
by prolonging the reserves calculation period.
(2)Net excess reserves of current period and the previous overnight interbank
money market interest rates are the primary factors of volatility. Closely
relationship among trading value of interbank money market, net excess
reserves and accumulated excess reserves is proved in this study. It manifests
that financial institutions are used to adjust the reserves in interbank money
market.
2.In the function of indicator:
(1)There exists a feedback relationship between the overnight interbank money
market interest rate and the commercial paper rate; but the repurchase rate
lags behind each rate above.
(2)The spreads between the overnight interbank money market interest rate and
commercial paper rate are smaller when the former rate is at higher level.