美元指数对中国债券市场的溢出效应研究

发布时间：2018-01-05 00:22

本文关键词：美元指数对中国债券市场的溢出效应研究　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：债券市场是一国金融市场的重要组成部分,随着经济全球化与金融自由化的飞速发展,通过研究与分析美元指数对中国债券市场的影响渠道,发现美元指数已经成为影响中国债券市场的重要因素。2016年下半年,我国债券市场的暴跌引发了业内人士对债券市场现阶段影响因素的思考。基于此背景,在中国推进经济全球化进程的重要时刻,本文以此次中国债券市场价格的下跌为实践背景,以流动性偏好理论模型作为研究的中心理论,运用线性回归模型进行实证研究,尝试就美元指数对中国债券市场的溢出效应进行理论与实证的统合分析。本文以研究美元指数对我国债券市场的溢出效应为主题,探索了美元指数的波动与中国债券市场的关系。全文的研究分为三个部分:文献整理、理论研究、实证检验。在文献整理部分,本文从美元指数对我国宏观经济的影响、对金融市场的影响以及对债券市场的影响三个层面对以往国内外的文献整理和分析说明。美元指数对我国的经济发展的影响涉及到各个层次,通过成本渠道、汇率渠道以及货币冲击渠道对我国的实体经济起到了举足轻重的作用。美元对金融市场的研究主要集中在美元的价值对股票市场的影响上,文献整理后发现,诸多实证结果表明美元指数与股票市场之间是存在长期协整关系的。而美元指数与我国债券市场的研究则相对较少,研究普遍认为美元对我国的债券市场的影响较小。在理论研究部分,作用通过对凯恩斯的流动性偏好理论模型、债券供求均衡理论以及利率均衡理论的分析,深入剖析了美元指数的波动是通过怎样的机制对我国的债券市场产生溢出效应的。理论上认为,根据流动性偏好模型的动态变化,以及美元指数双重含义的解读,从物价水平效应和预期通货膨胀效应两种途径对我国的债券市场价格的波动起到一定的影响,当美元指数上升时,我国的债券市场价格会出现下降的趋势。在实证研究部分,本文采用2016年7月至2017年1月的数据进行实证分析,选择上证国债指数作为衡量我国债券整体变化的指标为因变量,和美元指数作为自变量,用线性回归等一系列检验的方法来确定美元指数对我国债券市场的溢出效应,检验结果发现,在研究的时段内美元指数增长率每上升1%时,国债指数增长率会下降0.03%,但这样的现象并不是时刻存在的,由此可以认为,现阶段我国的债券市场变化受到了美元指数溢出效应的影响,这也意味着我国的金融市场正面临新的挑战与机遇。在结论部分,作者得出本文从理论与实证相结合的研究结果,并针对我国现阶段的债券市场做出一定的分析与判断。
[Abstract]:Bond market is an important part of a country's financial market. With the rapid development of economic globalization and financial liberalization, the impact of US dollar index on China's bond market is studied and analyzed. Find that the dollar index has become an important factor affecting China's bond market. In the second half of 2016. The collapse of China's bond market has caused the industry to think about the factors affecting the bond market at the present stage. Based on this background, it is an important moment for China to promote the process of economic globalization. This paper takes the Chinese bond market price decline as the practical background, taking the liquidity preference theory model as the central theory of the research, using the linear regression model to carry on the empirical research. This paper attempts to analyze the spillover effect of US dollar index on Chinese bond market theoretically and empirically. This thesis focuses on the spillover effect of US dollar index on Chinese bond market. This paper explores the relationship between the fluctuation of US dollar index and the bond market in China. The research is divided into three parts: literature collation, theoretical research, empirical test. This paper analyzes the impact of US dollar index on China's macro economy. The impact on the financial market and the impact on the bond market three levels of literature review and analysis of the past at home and abroad. The impact of the dollar index on China's economic development involves all levels through the cost channel. The exchange rate channel and the currency impact channel have played an important role in the real economy of our country. The research of the dollar on the financial market mainly focuses on the influence of the dollar value on the stock market. Many empirical results show that there is a long-term cointegration relationship between the dollar index and the stock market, while the research on the dollar index and our bond market is relatively less. It is generally believed that the dollar has little influence on the bond market in China. In the theoretical research part, the role of the role of Keynesian liquidity preference theory model, bond supply and demand equilibrium theory and interest rate equilibrium theory analysis. This paper deeply analyzes the mechanism by which the fluctuation of US dollar index produces spillover effect on the bond market of our country. Theoretically, according to the dynamic change of liquidity preference model. As well as the interpretation of the dual meaning of the dollar index, from the price level effect and expected inflation effect on the bond market price fluctuations in China, when the dollar index rises. The bond market price of our country will appear the downward trend. In the empirical research part, this article uses the data from July 2016 to January 2017 to carry on the empirical analysis. Shanghai Treasury bond index as a measure of the overall change of bonds in China as a dependent variable, and the dollar index as an independent variable. Using a series of test methods such as linear regression to determine the spillover effect of US dollar index on China's bond market. The test results show that in the period of study, the growth rate of US dollar index increases by 1%. The growth rate of national debt index will decrease by 0.03%, but this phenomenon is not always there. Therefore, we can conclude that the change of bond market in our country is affected by the spillover effect of US dollar index at the present stage. This also means that our financial market is facing new challenges and opportunities. In the conclusion part, the author draws the research results from the combination of theory and empirical research. And in view of our country present stage bond market makes the certain analysis and the judgment.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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