全球政府债券市场联动性实证研究

发布时间：2018-01-02 07:29

本文关键词：全球政府债券市场联动性实证研究　出处：《陕西师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：国务院发展研究中心宏观经济研究部副部长魏加宁在2012年12月15日的中央经济工作会议后指出：欧元危机、美债危机和日本的债务隐患是中国经济发展面临的国外的三大风险。2009年12月爆发的欧洲主权债务危机愈演愈烈,从最开始的希腊随即漫延至PIIGS五国继而逐渐扩散到了德国、法国等欧元区核心国家。欧债危机时期,除了贸易渠道以外,危机是否会通过全球政府债券市场传染核扩散值得关注。这是因为一方面,发行国际政府债券是一国政府负债的主要方式,国家信用危机导致中央政府无法履行债务人的义务就会导致政府债券市场出现危机,政府债券市场成为衡量一国金融市场安全乃至国家信用安全的主要标志之一；另一方面,随着国际金融一体化进程的深入以及全球政府债券市场的发展,政府债券市场已成为国际金融市场联系的重要渠道之一。因此,本论文旨在通过实证研究考察欧债危机以来,全球政府债券市场之间的联动关系,特别是,欧债危机是否会通过全球政府债券市场漫延至持有近6000亿欧元欧洲国债的中国? 本论文选取2009年12月8日至2012年8月31日欧债危机期间欧元区和中国、美国、日本、英国、法国、德国以及piigs等11个国家的政府债券市场日收益率收盘数据,参考各市场收盘顺序,运用格兰杰因果关系检验、VAR模型脉冲响应以及方差分解和GARCH族模型等成熟的计量方法,对欧债危机期间全球政府债券市场的联动性进行了实证研究。研究结果显示： (1)作为多个国家的债权国,中国政府债券市场收益率的变动是除了德国和日本以外其他国家政府债券市场收益率变动的格兰杰原因,但中国政府债券市场在欧债危机时期比较稳定,几乎不受其他国家政府债券市场的冲击； (2)作为欧洲的领头羊,法国和德国政府债券市场欧债危机时期的表现不同：德国政府债券市场比较稳定,它仅与英国、法国和美国政府债券市场联动关系显著,而法国与除中国外的其他国家政府债券市场联动性均较大 (3)美国和英国的政府债券市场与欧元区国家政府债券市场联动性较强,特别是,受次贷危机所累,美国政府债券市场在这一时期脆弱性较高,其他国家政府债券市场收益率的变动均会对其产生不同程度的冲击； (4) PIIGS五国政府债券市场之间的联动性较大,持续期较长。作为最早发生危机的国家,希腊政府债券市场极其脆弱,受国际政府债券市场的影响最大持续期最长,而希腊政府债券市场收益率变动通过信号作用对其他国家政府债券市场产生影响； (5)欧债危机期间全球政府债券市场之间存在波动联动。欧元区政府债券市场对包括中国在内的各国政府债券市场均存在单向波动溢出效应,中国和日本对美国和英国政府债券市场存在单向波动溢出效应。
[Abstract]:The State Council Development Research Center of macroeconomic research department vice minister Weijianing pointed out that in December 15, 2012 the central economic work conference: the euro crisis, the U.S. debt crisis and Japan's debt risk is facing Chinese economic development abroad three risk.2009 the December outbreak of the European sovereign debt crisis and from the beginning of the Greek then spread to PIIGS five and then gradually spread to Germany, France and other countries. The core of the eurozone debt crisis period, in addition to trade channels outside, whether the crisis will concern through the global government bond market contagion value. This is because of the spread of nuclear weapons on the one hand, the issue of international government bonds is the main way of government debt, the national credit crisis center the government is unable to perform the obligation of the debtor will lead to government bond market crisis, government bond market has become a measure of a country's Financial City One of the main signs of field security and even national security credit; on the other hand, with the deepening of the process of international financial integration and the development of the global government bond market, government bond market has become one of the important channels of international financial market. Therefore, since the purpose of this paper is to Research on the European debt crisis, the linkage relationship between the global government. The bond market in particular, European debt crisis will hold by the global government bond market spread to nearly 600 billion euros of European debt China?
This paper from December 8, 2009 to August 31, 2012 during the European debt crisis and the euro zone China, the United States, Japan, Britain, France, Germany and other 11 countries PIIGS government bond market yield on the closing data, refer to the market closing order, using the Grainger causality test, measurement methods of mature VAR model and impulse response and variance decomposition the GARCH model, the linkage of the global government bond markets during the European debt crisis has conducted the empirical study results show:
(1) as a number of countries Chinese creditor, government bond market changes in the rate of return is the reason besides Grainger outside Germany and the Japanese government bond yields in other countries rate, but Chinese government bond market in the European debt crisis is relatively stable, almost not affected by the impact of government bond markets in other countries;
(2) as a leader in Europe, the French and German government bond markets during the debt crisis is different: the German government bond market is relatively stable, it is only with Britain, France and the United States government bond market linkage relationship, France and other countries in addition to Chinese outside the government bonds market linkage are larger
(3) the government bond market and the linkage of the government bond market strong euro zone countries, the United States and Britain in particular, affected by the subprime mortgage crisis tired, the U.S. government bond market vulnerability is high during this period, other countries government bond market yields on the changes will produce different degrees of impact;
(4) between the PIIGS five government bond market linkage is large, long duration. As the first national crisis, the Greek government bond market is extremely weak, affected by the international government bond market maximum duration was the longest, and the Greek government bond market yield changes have an impact on the government bond market by other countries signal;
(5) during the European debt crisis has volatility linkage between the global government bond market. The eurozone government bond market have significant volatility spillover of all countries, including China government bond market, and Japan Chinese significant volatility spillover of the US and UK government bond market.

【学位授予单位】：陕西师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.5;F811.5

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