我国债券回购市场利率差异及回购套利研究

发布时间：2018-01-06 12:42

本文关键词：我国债券回购市场利率差异及回购套利研究　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：债券回购是以现券为标的的融资交易。作为短期融资工具,债券回购具有诸多优势,经过二十几年的发展,债券回购市场已在我国货币市场以及整个金融体系中占据举足轻重的地位。本文研究了全国银行间市场、上海证券交易所、深圳证券交易所等债券回购市场的相关情况,并对2014年1月到2016年9月间上海证券交易所和银行间市场上相关品种的回购利率进行实证分析,定量地研究了我国上海证券交易所和银行间两个债券回购市场上各回购品种的利率相关性、利率波动的同步性和差异性,检验了同一债券回购品种在不同回购市场上的利率差异程度。基于不同回购市场的利率水平的差异,文章构建了“连续正回购息差套利”、“单一市场杠杆交易”、“跨市场杠杆交易”和“引入利率互换的套期保值”等交易策略,建立这四种交易策略的套利模型,并构建不同的投资组合对模型进行了验证。本文的研究结果表明：(1)交易所市场和银行间市场上各回购品种的利率具有较强的相关性,回购利率的波动具有一定的同步性,其波动与我国宏观经济运行以及政府宏观调控的动作密切相关,上海证券交易所的回购利率波动大于银行间市场的利率波动,且同一回购品种在不同市场上的回购利率存在一定的差异性；(2)通过“连续质押式正回购”和“连续买断式正回购”可获得无风险息差,且连续买断式正回购息差套利所得会转化为价差收入；(3)利用债券回购增大杠杆倍数可显著提升组合的收益,随着杠杆率的提高,组合的流动性风险增大,利率风险敞口(绝对风险)增大,而损益的波动率(相对风险)不一定增大；(4)跨市场债券回购套利,可在一定程度上降低回购融资成本,提升组合的总体收益率,但跨市套利的风险具有复杂性；(5)利率互换对债券现货具有一定的套期保值效果,但不能完全对冲风险,为了更好地对冲债券投资的利率风险,需要进一步推进金融衍生工具的创新。本文的分析结果对于研究债券回购的套利、债券及利率衍生工具的套期保值及债券回购市场的整合等问题具有一定的参考价值。
[Abstract]:The bond repurchase is subject to bond financing transaction. As short-term financing tools, bond repurchase has many advantages, after twenty years of development, the bond repo market has played an important role in China's monetary market and the entire financial system. This paper has studied the inter-bank market, the Shanghai stock exchange, the relevant bond the repo market in the Shenzhen stock exchange, and in January 2014 September 2016 the Shanghai stock exchange and interbank market related varieties repurchase rate, empirical analysis, quantitative research on interest rates between China's Shanghai stock exchange repo two and the inter-bank bond repo market, synchronization and differences of interest rate volatility. The inspection, the same bond repurchase interest rate difference in different varieties of different degree. The repo market repo market interest rates based on the difference Different, this paper constructs the "continuous repo spreads arbitrage", "single market leverage", "cross market leverage" and "the introduction of interest rate swaps hedge" trading strategies, establish arbitrage models of these four kinds of trading strategies, and build a different portfolio model is verified in this paper. The results show that: (1) the exchange market and the inter-bank market repo rate has the strong correlation, repurchase interest rate volatility has some synchronization, and the fluctuation of China's macro economy operation and government macro-control action is closely related to the repurchase rate volatility of Shanghai stock exchange than the inter-bank market interest rate volatility the same, and the repo rate repo in different markets exist certain differences; (2) the "continuous pledge repurchase" and "continuous buyout repo" Obtain the risk spreads, and continuous buyout repo spreads arbitrage income will be converted to spread income; (3) the repurchase of bonds increased leverage can significantly enhance the portfolio, with the increase in leverage, liquidity risk increases, the interest rate risk exposure (absolute risk increase), and gains and losses volatility (relative risk) does not necessarily increase; (4) cross market arbitrage bond repurchase, repurchase can reduce the cost of financing to a certain extent, to improve the overall return rate of the combination, but the risk of arbitrage is complex; (5) the interest rate swap with hedging effect on bond spot, but can not completely hedge the risk, in order to better hedge the interest rate risk of bond investment, need to further promote the innovation of financial derivatives. The analysis results for the study of arbitrage bond repurchase, bonds and interest rate derivatives hedging The integration of the bond repo market and other issues has some reference value.

【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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