【摘要】：本文圍繞我國商業(yè)銀行實際狀況，通過債券業(yè)務(wù)投資概述、債券市場波動分析、債券市場波動對商業(yè)銀行的績效影響等方面相關(guān)介紹從而對我國商業(yè)銀行債券投資業(yè)務(wù)提出一些相關(guān)建議。債券業(yè)務(wù)投資概述中，本文分別從債券投資品種、債券投資市場及我國商業(yè)銀行債券投資業(yè)務(wù)現(xiàn)狀及銀行間債券市場特點三個方面分別介紹了相關(guān)內(nèi)容。債券市場波動分析中本文采用ARCH模型族對銀行間債券市場進行了實證分析，得出銀行間債券市場波動具有波動叢集性，并且銀行間債券指數(shù)具有不對稱效應(yīng)，，好消息對于銀行間債券指數(shù)產(chǎn)生的波動性大于壞消息對于銀行間債券指數(shù)所產(chǎn)生的波動性。在債券市場波動對商業(yè)銀行的績效影響分析中首先從理論角度分析了債券市場波動對商業(yè)銀行的績效影響傳導(dǎo)機制，然后采用面板數(shù)據(jù)模型對我國目前14家上市銀行進行了相關(guān)測量分析，得出銀行間債券指數(shù)的波動與商業(yè)銀行的資產(chǎn)收益率成顯著正相關(guān)，而且銀行的債券資產(chǎn)占比與商業(yè)銀行的資產(chǎn)收益率也成顯著正相關(guān)。 因此，通過債券業(yè)務(wù)投資概述、債券市場波動分析、債券市場波動對商業(yè)銀行的績效影響等方面的分析，本文對商業(yè)銀行的債券業(yè)務(wù)的投資策略提出相關(guān)建議，由于債券市場的逐步完善和發(fā)展，未來市場的波動性不可避免的會越來越激烈。因此，各家商業(yè)銀行應(yīng)該加強風(fēng)險管理能力；關(guān)注商業(yè)銀行債券投資策略；并應(yīng)根據(jù)宏觀經(jīng)濟狀況等各方面信息提升對債券市場波動的預(yù)測能力，從而有效提高我國商業(yè)銀行的債券業(yè)務(wù)投資能力。
[Abstract]:This paper focuses on the actual situation of commercial banks in China, through the overview of bond business investment, bond market volatility analysis, This paper introduces the impact of bond market fluctuation on the performance of commercial banks and puts forward some relevant suggestions for the bond investment business of commercial banks in China. In the outline of bond business investment, this paper introduces the related contents from three aspects: bond investment variety, bond investment market, the present situation of bond investment business of commercial banks in China and the characteristics of interbank bond market. In the volatility analysis of the bond market, the ARCH model family is used to analyze the interbank bond market. The results show that the volatility of the interbank bond market is clustered, and the interbank bond index has asymmetric effect. Good news is more volatile for interbank bond indices than bad news for interbank bond indices. In the analysis of the impact of bond market volatility on the performance of commercial banks, the transmission mechanism of the impact of bond market volatility on the performance of commercial banks is first analyzed from the perspective of theory. Then the panel data model is used to measure and analyze 14 listed banks in China, and it is concluded that the fluctuation of interbank bond index is significantly positively related to the return on assets of commercial banks. Moreover, the ratio of bank bond assets to commercial banks' return on assets is also significantly positive correlation. Therefore, through the analysis of the investment overview of bond business, the volatility analysis of bond market, the impact of bond market volatility on the performance of commercial banks, this paper puts forward some relevant suggestions on the investment strategy of bond business of commercial banks. Due to the gradual improvement and development of the bond market, the volatility of the future market will inevitably become more and more intense. Therefore, commercial banks should strengthen their risk management capabilities, pay attention to their bond investment strategies, and enhance their ability to predict the volatility of the bond market according to various aspects of information, such as macroeconomic conditions. In order to effectively improve the ability of our commercial banks to invest in bond business.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F832.33;F224

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