经济变量对国债市场的动态影响——基于市场分割的比较研究

发布时间：2018-05-16 16:59

本文选题：经济变量 + 中债国债财富指数　；参考：《上海金融》2010年03期

【摘要】：本文从我国国债市场分割的实际出发,利用基于VAR系统的脉冲响应函数与方差分解技术实证检验了经济变量对交易所国债市场与银行间国债市场的短期动态影响。结论表明国债指数收益率对CPI指标的冲击反应呈负相关关系,我国国债投资者对于通货膨胀风险的补偿要求较高;对来自股票市场波动冲击的反应较大,"跷跷板"效应明显,市场投机风险较大。研究发现,CPI变量虽然是影响交易所国债价格波动的第一大因素,然而在银行间国债市场,排在第一位的却是股市收益率变量。两个市场对经济变量冲击的反应存在的差异之处体现了国债市场分割的现状。
[Abstract]:Based on the segmentation of China's treasury bond market, this paper empirically examines the short-term dynamic effects of economic variables on the exchange bond market and the interbank treasury bond market by using the impulse response function and variance decomposition technology based on VAR system. The conclusion shows that the bond index yield has a negative correlation with the impact response of CPI index, and the demand for compensation for inflation risk is higher, and the response to the volatility shock from the stock market is greater, and the "seesaw" effect is obvious. Market speculation is risky. It is found that although CPI is the first factor that affects the fluctuation of exchange bond prices, in the interbank bond market, it is the stock market yield variable that ranks first. The differences between the two markets in response to the impact of economic variables reflect the current situation of the segmentation of the treasury bond market.
【作者单位】：北京银行博士后科研工作站;对外经济贸易大学国际经济贸易学院;
【基金】：国家社会科学基金资助项目《新形势下防范金融风险研究》(08BJY155)
【分类号】：F224;F832.51

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