银行间债券市场债券收益率影响因素的实证分析

发布时间：2018-06-24 03:11

本文选题：银行间债券市场 + 收益率　；参考：《兰州大学》2012年硕士论文

【摘要】：银行间债券市场经过十几年的发展,目前已经逐渐成为社会的重要的投融资平台。但是银行间债券市场在为投资者提供收益的同时也面临着潜在的风险,尤其是在国内外经济环境日益复杂的情况下,债券价格及其收益的变动与整个经济变化紧密的联系在一起。因此对影响我国银行间债券投资收益率的影响因素进行研究具有很重要的现实意义。本文采用定性与定量相结合的的方法,分五个部分来对我国银行间债券市场收益率影响因素进行分析。第一部分为文章的导论部分,主要对本文的研究背景、研究意义以及研究现状做一介绍；第二部分分别通过宏观经济环境、货币政策、市场供求、相关市场以及市场预期对银行间债券收益率造成影响的机理进行分析,说明这些因素对债券市场收益率造成影响的可能性；第三部分对我国银行间债券市场收益率的影响因素进行量化,通过实证分析得出些因素对整个市场收益率的影响大小和程度。第四部分分别对银行间债券市场上不同期限、不同发行主体以及不同计息方式下债券收益率的影响因素进行实证分析,得出不同债券收益率对各影响因素的敏感程度。第五部分根据实证研究的结论对银行间债券市场及其投资者提出建议。通过上述研究过程,本文得出如下结论：第一,在银行间债券市场上宏观经济状况、货币政策、市场供求、相关市场以及市场预期均对银行间债券市场的整体收益率产生影响；其中：经济增长、利率、股票价格与市场预期与银行间债券市场收益率呈同向变化关系；货币供应量、债券价格和汇率与银行间债券按市场收益率呈反向变动关系。第二,在银行间债券市场上,不同期限、不同发行主体和不同计息方式各债券收益率对各个因素的敏感度不同；对于期限不同的债券短期债券比长期债券更容易受货币政策、外汇市场和市场供求因素的影响,宏观经济对中期债券的影响较大,长期债券对股票市场的敏感性较大；对于发行主体不同的债券,货币政策和汇率对企业债券的影响明显要高于国债等信用水平高的债券,其他因素对各个债券的影响差别不是很大；对于计息方式不同的债券,市场上的资金供求对浮动利率债券收益率的影响明显大于固定利率债券。
[Abstract]:After more than ten years of development, the interbank bond market has gradually become an important investment and financing platform. However, the interbank bond market is facing potential risks while providing investors with returns, especially in the increasingly complex economic environment at home and abroad. Changes in bond prices and their yields are closely linked to changes in the economy as a whole. Therefore, it is of great practical significance to study the influencing factors of interbank bond investment yield in China. In this paper, the qualitative and quantitative methods are used to analyze the factors affecting the yield of interbank bond market in China. The first part is the introduction of the article, which mainly introduces the research background, significance and current situation of this paper. The second part introduces the macroeconomic environment, monetary policy, market supply and demand, respectively. The influence mechanism of relevant market and market expectation on the interbank bond yield is analyzed to explain the possibility of these factors influencing the bond market yield; The third part quantifies the influencing factors of the interbank bond market yield in our country. Through the empirical analysis, we get the influence of some factors on the whole market rate of return. In the fourth part, we analyze the influencing factors of bond yield under different maturity, different issuer and different interest-bearing method in the interbank bond market, and get the sensitivity of different bond yield to each factor. The fifth part gives some suggestions to the interbank bond market and its investors according to the conclusions of the empirical research. Through the above research process, this paper draws the following conclusions: first, in the interbank bond market macroeconomic situation, monetary policy, market supply and demand, related markets and market expectations all have an impact on the overall yield of the interbank bond market; Among them: economic growth, interest rate, stock price and market expectation and interbank bond market yield change in the same direction; money supply, bond price and exchange rate and interbank bond exchange rate change inversely according to market yield. Second, in the interbank bond market, the sensitivity of bond yields to various factors varies with different maturities, different issuers and different interest-bearing methods. Short-term bonds with different maturities are more susceptible to monetary policy than long-term bonds. The influence of foreign exchange market and market supply and demand factors, macroeconomic impact on medium-term bonds is greater, long-term bonds are more sensitive to the stock market; for bonds with different issuers, The influence of monetary policy and exchange rate on corporate bonds is obviously higher than that on bonds with high credit levels such as treasury bonds, while other factors do not have much different effects on individual bonds; for bonds with different interest-bearing methods, The effect of supply and demand on the yield of floating rate bonds is obviously greater than that of fixed-rate bonds.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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