转型经济条件下国债回购套利投资策略探讨

发布时间：2018-04-06 05:34

本文选题：转型经济　切入点：国债回购　出处：《复旦大学》2012年硕士论文

【摘要】：国债回购是国债的衍生工具,本质上是以国债为抵押物的短期融资行为。随着我国在转型经济条件下国债发行规模的不断扩大,国债回购市场也逐渐发展壮大,市场交易日渐活跃。国债回购除了作为投资者投资套利的工具外,它还是货币政策和财政政策顺利实施的重要工具。国债回购市场由国债市场而派生,国债市场的规模、种类等影响和制约着国债回购市场的活跃程度；同样的,国债回购市场的规范和发展也反过来影响着国债的发行和流通。财政部通过发行国债实现其对宏观经济的调控,中央银行通过国债回购来实现对市场短期资金供给的微调,机构和个人投资者通过国债回购来实现融资、实现套利收益。因而,国债回购成为财政政策与货币政策的一个重要结合点,也是金融投资者不可缺少的融资行为。中国的国债回购市场在转型经济条件下由于历史遗留因素及整个证券市场发展现状的制约,至今仍然存在许多问题。整个回购市场分割为银行间市场和交易所市场。银行间市场虽说资金较充裕,发展较稳定,但债券清算系统仍然无法满足现代交易的实际需要；交易所市场因其参与主体良莠不齐,交易制度不完善,容易出现交易混乱、托管清算风险加剧的问题,甚至最终威胁整个证券市场的安全与稳定。诸多的现存问题使得我国在转型经济条件下国债回购市场的投资和政策功能无法得到充分的发挥。本文针对我国在转型经济条件下国债回购市场的主要问题展开探讨,通过对国债回购以及中国国债回购市场的初步分析,参考发达国家国债回购市场的发展现状,结合作者本身国债回购的实际操作经验教训和投资策略,总结出可供我国在转型经济条件下借鉴的若干经验,以期不断完善我国的国债回购市场,进而促进中国在转型经济条件下国债市场以及整个证券市场的健康、稳定和快速发展,最终达到在转型经济条件下中国金融体制改革进程的目的。
[Abstract]:Treasury bond repo is, is essentially a short-term financing to debt as collateral. Along with our country in transition economy, the scale of national debt continues to expand, the repo market is gradually growing, market transactions have become increasingly active. In addition to the repurchase of treasury bonds as a tool of investment and arbitrage, it is an important tool but monetary policy and fiscal policy. The repo market by the bond market and derivative, bond market scale, and other types of influence and restrict the activity of the repo market; similarly, standardization and development of the repo market is in turn affects the publishing and circulation of national debt. The Ministry of finance through the implementation of the regulation of the macro economy through the issuance of treasury bonds, the central bank repo market to achieve the supply of short-term funds fine-tuning, institutions and individual investors through bond repurchase To achieve financing and achieve arbitrage income, treasury bonds repurchase become an important combination point of fiscal policy and monetary policy, and also an indispensable financing behavior of financial investors.
China treasury bond repo market in the transition economy restricted by factors of history and the current situation of the development of the securities market, still exist many problems. The repo market segmentation for the inter-bank market and the exchange market. Although the inter-bank market fund is abundant, development is relatively stable, but the debt settlement system cannot meet the actual needs of the modern exchange market transactions; for their participation in the main trading system is not perfect, uneven in quality, prone to confusion in trading, trusteeship and liquidation risk problems, even threaten the security and stability of the securities market. The existing problems of China's investment and policy making in the repo market under the condition of transition economy cannot get sufficient play.
This paper discusses the main problems in China in the transition economy, treasury bond repo market, the bond repurchase and preliminary analysis of Chinese repo market, the current situation of the development of reference of treasury bond repo market in the developed countries, the author itself repurchase of practical experience and investment strategies, summed up some experience for our country reference in the transition economy, in order to improve China's treasury bond repo market, and promote China in the transition economy bond market and the stock market healthy, stable and rapid development, and ultimately achieve in the condition of economy transformation process Chinese reform of the financial system.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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