宏观经济变量对银行间国债价格的影响研究

发布时间：2018-07-09 17:52

本文选题：银行间国债价格 + 宏观经济变量　；参考：《西北农林科技大学》2014年硕士论文

【摘要】：本文针对银行间债券市场的国债指数进行分析，探讨宏观经济变量对我国银行间国债市场整体变动状况和价格总体走势的影响，剖析银行间国债市场价格的变化究竟是受哪些宏观经济变量的影响以及影响程度如何，研究国债价格波动与他们之间存在怎样的长短期关系，具有一定的实际意义,例如为机构投资者的风险管理体系建设提供依据，有利于提高国家宏观调控的效率、稳定国债市场的价格水平、增强国债投资者防范风险的能力。本文的理论意义在于，填补了银行间债券市场国债价格波动理论的空白，，完善了国债价格形成机制的理论，为我国国债市场健康发展提供理论依据，因此，选题为“宏观经济变量对我国银行间国债价格的影响研究”具有现实意义和理论意义。首先，本文回顾了国内外已有的相关研究成果和结论，并进行了相应的评价。其次，对我国银行间国债价格的度量、银行间国债市场发展现状进行介绍，从国债定价原理考察各因素对国债价格的影响。接着，对宏观经济因素与银行间国债价格之间的关系进行定性分析，将宏观经济信息按其对银行间国债的长短期影响分为货币政策信息与宏观经济基本状况2类，从2类宏观经济信息中分别考察影响因素，为后文的实证分析做准备工作。最后，进行实证研究，选用2005年4月-2014年1月共106个月度的时间序列数据，通过进行协整检验、格兰杰因果分析、脉冲响应分析、方差分析等计量经济模型的检验，从量化角度来考察宏观经济变量对银行间国债价格指数的影响，得出了如下结论： (1)从长期来看，银行间国债价格与利率、通货膨胀、货币供应量、股票价格、经济增长5个因素之间存在长期稳定的协整关系。并且经济增长与银行间国债价格之间存在负相关关系，经济增长变动一个单位，银行间国债价格反向变动0.42个单位；利率和股价与银行间国债价格之间存在正相关关系，利率变动一个单位，银行间国债价格同方向变动0.05个单位；股价变动一个单位，银行间国债价格同方向变动0.02个单位。 (2)从短期来看，货币供应量、股价是银行间国债价格的短期格兰杰原因，物价水平、利率和经济增长都不是银行间国债价格的短期格兰杰原因。也就是说，在短期，货币供应量和股价的变动能引起银行间国债价格的变动，并且货币供应量和股价与银行间国债价格呈正相关关系。 (3)从各宏观经济变量对银行间国债价格的影响程度来看，根据方差分析的结果，物价水平、股价、货币供应量、经济增长和利率对银行间国债价格波动的解释程度依次为：19%、9%、8.5%、5%和1.5%；根据脉冲响应分析的结果，银行间国债价格能对各个变量的标准信息冲击做出快速反应，但都有2-5个月的时间滞后期，也就是说，需要2-5个月的时间才能充分发挥各宏观经济变量对银行间国债价格的影响，并且各个变量对银行间国债价格的影响程度不同，按照从大到小排序，依次为：物价水平经济增长股价货币供应量利率。最后，根据上述实证分析得出的结果，结合我国债券市场分割、银行间国债市场发展不完善等现象，提出相关政策建议。
[Abstract]:This paper analyzes the bond index in the inter-bank bond market, and discusses the influence of macroeconomic variables on the overall change of the national debt market and the overall trend of the price of the national bond market in China, and analyzes the influence of the changes in the price of the interbank treasury bond market on which macroeconomic variables are influenced and the degree of influence, and the study of the price wave of the national debt. The relationship between the long and short periods between them has certain practical significance, such as providing the basis for the construction of the institutional investor's risk management system, which is beneficial to the improvement of the efficiency of the national macro-control, the stability of the price level of the national debt market and the ability to prevent the risk of the government bond investors. The theoretical significance of this paper is that it fills the gap. The blank of the bond price fluctuation theory in the inter-bank bond market has perfected the theory of the formation mechanism of the Treasury bond price, which provides a theoretical basis for the healthy development of the national debt market in China. Therefore, it is of practical and theoretical significance to select the topic as "the study of the impact of macroeconomic variables on the price of national bonds between China's banks".
First, this paper reviews the relevant research results and conclusions at home and abroad, and carries out the corresponding evaluation. Secondly, this paper introduces the measurement of the price of national bonds between banks in China, the present situation of the development of the interbank treasury bond market, and the influence of the factors on the price of national debt from the principle of treasury bond pricing. Then, the macroeconomic factors and the bond price between banks are on the basis of the macroeconomic factors. The relationship between the grid is qualitatively analyzed, and the macroeconomic information is divided into 2 categories: monetary policy information and the basic situation of macro economy according to the long and short effect on the long and short period of interbank treasury bonds. The influence factors are examined from the 2 kinds of macroeconomic information and the empirical analysis of the latter is prepared. Finally, the empirical study is carried out, and the April 2005 -2014 is selected. In January, 106 monthly time series data were tested by cointegration test, Grainger causality analysis, impulse response analysis, variance analysis and other econometric models. From the quantitative point of view, the effects of macroeconomic variables on the interbank bond price index were investigated. The following conclusions were drawn:
(1) in the long run, there is a long-term and stable co integration relationship between the inter bank bond price and interest rate, inflation, money supply, stock price and economic growth, and there is a negative correlation between the economic growth and the bond price between banks, the economic growth changes a unit, and the reverse change of the bond price between the banks is 0.42 single. There is a positive correlation between interest rate and stock price and the price of inter bank treasury bonds, a unit of interest rate change, 0.05 units in the same direction of the price of interbank bonds; a unit of change in stock price, and 0.02 units in the same direction of the price of interbank treasury bonds.
(2) in the short term, the money supply, the stock price is the short-term Grainger reason of the interbank treasury bond price, the price level, the interest rate and the economic growth are not the short-term Grainger reasons for the interbank treasury bond price. In other words, in the short term, the change of money supply and stock price can cause the change of the bond price between the banks and the money supply and the money supply. There is a positive correlation between stock price and the price of inter bank treasury bonds.
(3) from the impact of the macroeconomic variables on the price of inter bank treasury bonds, according to the results of variance analysis, the level of price, stock price, money supply, economic growth and interest rates are explained in turn: 19%, 9%, 8.5%, 5% and 1.5%. According to the results of impulse response analysis, the price of interbank treasury bonds can be obtained. It makes a quick response to the standard information impact of each variable, but there are 2-5 months of time lag, that is to say, it takes 2-5 months to give full play to the impact of the macroeconomic variables on the price of inter bank treasury bonds, and the influence of each variable on the price of inter bank treasury bonds is different, according to the order from large to small, in turn. Price level, economic growth, stock price, money supply, interest rate.
Finally, based on the results of the above empirical analysis, combined with the segmentation of China's bond market and the imperfect development of inter bank bond market, we put forward relevant policy recommendations.
【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F124;F832.51

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