交所债券市场和银行间债券市场溢出效应研究

发布时间：2018-05-30 07:06

本文选题：交易所债券市场 + 银行间债券市场　；参考：《南京农业大学》2014年硕士论文

【摘要】：国债恢复发行以来,我国的债券市场逐年发展壮大,如今的债券市场主要分为3个子市场,分别是交易所市场、银行间市场、银行柜台市场,这几个市场构成了一个多层次的债券市场体系。但各子市场在交易制度、市场参与者、交易品种和监管机构等方面存在着割裂,这一现象导致了我国债券市场处于分割状态,不利于债券市场的进一步发展。因为银行柜台债券市场是银行间债券市场的一个延伸市场,所以本文主要以债券市场中的交易所市场和银行间市场为研究对象,通过理论研究与实证研究相结合的方法对两市场间的溢出效应进行研究,创新性的从溢出效应的角度研究债券市场一体化发展。在理论研究中,本文首先对国内外关于债券市场溢出效应和市场一体化的研究进行了整理,作为本文的理论基础,然后运用已有的理论基础对交易所债券市场和银行间债券市场的均值溢出效应、波动溢出效应和市场一体化进行了理论分析,研究了均值溢出和波动溢出的表现形式,分析了均值溢出效应和波动溢出效应对债券市场的影响,介绍了债券市场一体化的发展需求和跨市场转托管体制的相关规定,并且分别介绍了利用VAR模型、BEKK-GARCH模型及DCC-GARCH模型来判断溢出效应和市场一体化的标准。在实证研究中,本文首先进行了描述性统计分析,然后选取VAR模型用来检验两市场间的均值溢出效应,之后在VAR模型的基础上,本文又创建了BEKK-GARCH模型,用来进行两市场间的波动溢出效应的检验,最后在BEKK模型的基础上建立DCC-GARCH模型,以此进行两市场间的动态相关关系的测度。实证结果表明：1.债券市场中交易所市场向银行间市场单向均值溢出,本文认为主要原因是：市场参与者及交易动机不同；两市场的交易制度影响交易的效率。2.交易所市场与银行间市场存在双向的波动溢出,主要是因为：跨市场转托管制度的建立：两市场共同参与者增多；跨市场同种债券品种增多。3.交易所市场和银行间市场之间的动态相关性呈现为正相关,但是相关系数波动较大,表明两市场一体化程度较差。本文认为这是由于：审批和监管机构不一致,企业债券发展滞后：跨市场转托管体制仍存在缺陷,两市场间缺乏统一互联的托管结算系统。文章的最后,主要对本文之前的研究进行了总结,归纳出本文的研究结论,针对我国债券市场目前存在的问题及对溢出效应的研究结论,提出了相关的政策建议：1.统一监管,建立一个多层次的债券监管体系：2.建立统一的债券托管结算系统,促进市场资金的自由流动：3.逐步放开跨市场转托管的条件,增加跨市场转托管的效率。
[Abstract]:Since the resumption of the issuance of treasury bonds, the bond market in China has grown and grown year by year. Today's bond market is mainly divided into three sub-markets, namely, the exchange market, the inter-bank market, and the bank over-the-counter market. These markets constitute a multi-level bond market system. However, each sub-market is fragmented in the aspects of trading system, market participants, trading varieties and regulatory bodies, which leads to the segmentation of the bond market in China, which is not conducive to the further development of the bond market. Because the over-the-counter bond market is an extension of the interbank bond market, this paper focuses on the exchange market and the interbank market in the bond market. This paper studies the spillover effect between the two markets through the combination of theoretical research and empirical research, and studies the development of bond market integration from the perspective of spillover effect. In the theoretical research, this paper firstly collates the research on bond market spillover effect and market integration at home and abroad, as the theoretical basis of this paper. Then using the existing theoretical basis to analyze the average spillover effect, volatility spillover effect and market integration of the exchange bond market and the interbank bond market, and to study the expression forms of the mean value spillover and volatility spillover. This paper analyzes the effects of mean and volatility spillovers on the bond market, introduces the development needs of the bond market integration and the relevant provisions of the cross-market transfer to trusteeship system. It also introduces the criteria of VAR model BEKK-GARCH model and DCC-GARCH model to judge spillover effect and market integration. In the empirical research, this paper first carries on the descriptive statistical analysis, then selects the VAR model to test the mean spillover effect between the two markets, then on the basis of the VAR model, this paper establishes the BEKK-GARCH model. It is used to test the volatility spillover effect between the two markets. Finally, based on the BEKK model, the DCC-GARCH model is established to measure the dynamic correlation between the two markets. The empirical results show that 1: 1. In the bond market, the one-way mean spillover from the exchange market to the interbank market is mainly due to different market participants and different trading motives, and the trading system of the two markets affects the efficiency of trading. There is a two-way volatility spillover between the exchange market and the interbank market, which is mainly due to the establishment of the cross-market custody system: the increase in the number of joint participants in the two markets, and the increase in the cross-market bond varieties of the same kind. 3. The dynamic correlation between the exchange market and the interbank market is positive, but the correlation coefficient fluctuates greatly, which indicates that the integration degree of the two markets is poor. This paper argues that this is due to the inconsistency between the examination and approval agencies and the regulatory agencies, the lag in the development of corporate bonds, the defects in the cross-market system of transfer to trusteeship, and the lack of a unified and interconnected escrow and settlement system between the two markets. At the end of this paper, the author summarizes the previous research, summarizes the conclusions of this paper, and puts forward the relevant policy recommendation: 1, aiming at the problems existing in China's bond market and the research conclusions on spillover effects. Unified supervision and establishment of a multi-level bond regulatory system: 2. 2. To establish a unified bond custodian settlement system to promote the free flow of market capital: 3. Gradually liberalize the conditions of cross-market transfer to trusteeship, and increase the efficiency of cross-market transfer to trusteeship.
【学位授予单位】：南京农业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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