债券市场波动对商业银行绩效的影响分析

发布时间：2018-09-17 07:04

【摘要】：本文围绕我国商业银行实际状况，通过债券业务投资概述、债券市场波动分析、债券市场波动对商业银行的绩效影响等方面相关介绍从而对我国商业银行债券投资业务提出一些相关建议。债券业务投资概述中，本文分别从债券投资品种、债券投资市场及我国商业银行债券投资业务现状及银行间债券市场特点三个方面分别介绍了相关内容。债券市场波动分析中本文采用ARCH模型族对银行间债券市场进行了实证分析，得出银行间债券市场波动具有波动丛集性，并且银行间债券指数具有不对称效应，，好消息对于银行间债券指数产生的波动性大于坏消息对于银行间债券指数所产生的波动性。在债券市场波动对商业银行的绩效影响分析中首先从理论角度分析了债券市场波动对商业银行的绩效影响传导机制，然后采用面板数据模型对我国目前14家上市银行进行了相关测量分析，得出银行间债券指数的波动与商业银行的资产收益率成显著正相关，而且银行的债券资产占比与商业银行的资产收益率也成显著正相关。 因此，通过债券业务投资概述、债券市场波动分析、债券市场波动对商业银行的绩效影响等方面的分析，本文对商业银行的债券业务的投资策略提出相关建议，由于债券市场的逐步完善和发展，未来市场的波动性不可避免的会越来越激烈。因此，各家商业银行应该加强风险管理能力；关注商业银行债券投资策略；并应根据宏观经济状况等各方面信息提升对债券市场波动的预测能力，从而有效提高我国商业银行的债券业务投资能力。
[Abstract]:This paper focuses on the actual situation of commercial banks in China, through the overview of bond business investment, bond market volatility analysis, This paper introduces the impact of bond market fluctuation on the performance of commercial banks and puts forward some relevant suggestions for the bond investment business of commercial banks in China. In the outline of bond business investment, this paper introduces the related contents from three aspects: bond investment variety, bond investment market, the present situation of bond investment business of commercial banks in China and the characteristics of interbank bond market. In the volatility analysis of the bond market, the ARCH model family is used to analyze the interbank bond market. The results show that the volatility of the interbank bond market is clustered, and the interbank bond index has asymmetric effect. Good news is more volatile for interbank bond indices than bad news for interbank bond indices. In the analysis of the impact of bond market volatility on the performance of commercial banks, the transmission mechanism of the impact of bond market volatility on the performance of commercial banks is first analyzed from the perspective of theory. Then the panel data model is used to measure and analyze 14 listed banks in China, and it is concluded that the fluctuation of interbank bond index is significantly positively related to the return on assets of commercial banks. Moreover, the ratio of bank bond assets to commercial banks' return on assets is also significantly positive correlation. Therefore, through the analysis of the investment overview of bond business, the volatility analysis of bond market, the impact of bond market volatility on the performance of commercial banks, this paper puts forward some relevant suggestions on the investment strategy of bond business of commercial banks. Due to the gradual improvement and development of the bond market, the volatility of the future market will inevitably become more and more intense. Therefore, commercial banks should strengthen their risk management capabilities, pay attention to their bond investment strategies, and enhance their ability to predict the volatility of the bond market according to various aspects of information, such as macroeconomic conditions. In order to effectively improve the ability of our commercial banks to invest in bond business.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F832.33;F224

【参考文献】

相关期刊论文 前10条

1 冯鹏熙;龚朴;何宜虎;;国外商业银行资产负债管理决策模型及其启示[J];济南金融;2006年02期

2 胡俊华;;通胀条件下银行债券投资管理研究[J];上海金融;2011年05期

3 陆樱;债券投资与中小商业银行的资产管理[J];上海商业;2001年06期

4 袁东;交易所债券市场与银行间债券市场波动性比较研究[J];世界经济;2004年05期

5 刘涛,欧阳令南;我国国有商业银行资产组合行为分析的实证研究[J];数量经济技术经济研究;2003年08期

6 朱国彦;田志朋;;企业债券市场波动性研究——基于ARMA-GARCH模型的实证分析[J];西安财经学院学报;2008年03期

7 黄兴,张维;商业银行债券组合的优化模型[J];天津大学学报(社会科学版);2000年03期

8 李裕,梁婷;银行间市场和交易所市场国债价格相关性的实证研究[J];统计与决策;2005年02期

9 张绍斌 ,齐中英 ,张亚光;对中国国债市场利率波动性的拟合分析[J];统计与决策;2005年03期

10 杨超;邢延辉;;基于风险防范视角的商业银行债券投资及衍生产品交易业务管理研究[J];商业会计;2011年31期

相关硕士学位论文 前2条

1 沈凡;我国商业银行债券业务策略研究[D];安徽大学;2006年

2 鞠雪姣;我国商业银行债券投资业务现状分析与策略探讨[D];浙江大学;2008年

本文编号：2245103