本文選題：經(jīng)濟(jì)變量 + 中債國債財(cái)富指數(shù)�。� 參考：《上海金融》2010年03期

【摘要】：本文從我國國債市場分割的實(shí)際出發(fā),利用基于VAR系統(tǒng)的脈沖響應(yīng)函數(shù)與方差分解技術(shù)實(shí)證檢驗(yàn)了經(jīng)濟(jì)變量對(duì)交易所國債市場與銀行間國債市場的短期動(dòng)態(tài)影響。結(jié)論表明國債指數(shù)收益率對(duì)CPI指標(biāo)的沖擊反應(yīng)呈負(fù)相關(guān)關(guān)系,我國國債投資者對(duì)于通貨膨脹風(fēng)險(xiǎn)的補(bǔ)償要求較高;對(duì)來自股票市場波動(dòng)沖擊的反應(yīng)較大,"蹺蹺板"效應(yīng)明顯,市場投機(jī)風(fēng)險(xiǎn)較大。研究發(fā)現(xiàn),CPI變量雖然是影響交易所國債價(jià)格波動(dòng)的第一大因素,然而在銀行間國債市場,排在第一位的卻是股市收益率變量。兩個(gè)市場對(duì)經(jīng)濟(jì)變量沖擊的反應(yīng)存在的差異之處體現(xiàn)了國債市場分割的現(xiàn)狀。
[Abstract]:Based on the segmentation of China's treasury bond market, this paper empirically examines the short-term dynamic effects of economic variables on the exchange bond market and the interbank treasury bond market by using the impulse response function and variance decomposition technology based on VAR system. The conclusion shows that the bond index yield has a negative correlation with the impact response of CPI index, and the demand for compensation for inflation risk is higher, and the response to the volatility shock from the stock market is greater, and the "seesaw" effect is obvious. Market speculation is risky. It is found that although CPI is the first factor that affects the fluctuation of exchange bond prices, in the interbank bond market, it is the stock market yield variable that ranks first. The differences between the two markets in response to the impact of economic variables reflect the current situation of the segmentation of the treasury bond market.
【作者單位】： 北京銀行博士后科研工作站;對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)國際經(jīng)濟(jì)貿(mào)易學(xué)院;
【基金】：國家社會(huì)科學(xué)基金資助項(xiàng)目《新形勢(shì)下防范金融風(fēng)險(xiǎn)研究》(08BJY155)
【分類號(hào)】：F224;F832.51

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本文編號(hào)：1897673