本文選題：銀行間同業(yè)拆借市場(chǎng)　切入點(diǎn)：債券市場(chǎng)　出處：《華中師范大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：銀行間同業(yè)拆借市場(chǎng)、股票市場(chǎng)、債券市場(chǎng)都是我國(guó)金融市場(chǎng)的重要組成部分,銀行間同業(yè)拆借市場(chǎng)是資金的短期借貸市場(chǎng),屬貨幣市場(chǎng)的一部分,股票市場(chǎng)、債券市場(chǎng)是資金長(zhǎng)期交易的場(chǎng)所,屬資本市場(chǎng)的組成部分。貨幣市場(chǎng)與資本市場(chǎng)都是以資金交易為媒介,兩個(gè)市場(chǎng)是相互連通的,資金從一個(gè)市場(chǎng)流向另一個(gè)市場(chǎng)造成了兩個(gè)市場(chǎng)間波動(dòng)的相關(guān)性,研究市場(chǎng)間的關(guān)聯(lián)特征使我們能夠把握市場(chǎng)未來(lái)的變化趨勢(shì),為政府制定風(fēng)險(xiǎn)防范政策提供更多的信息,此外對(duì)三個(gè)市場(chǎng)間風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)的研究能夠?yàn)橥顿Y者制定投資策略,規(guī)避風(fēng)險(xiǎn),構(gòu)造更有效的資產(chǎn)組合提供有效的指引。 本文研究的目的是分析銀行間同業(yè)拆借市場(chǎng)、股票市場(chǎng)、債券市場(chǎng)的相關(guān)關(guān)系,這里的相關(guān)性體現(xiàn)在兩個(gè)方面,一是一個(gè)市場(chǎng)受到意外沖擊時(shí)對(duì)其它兩個(gè)市場(chǎng)的影響,二是各個(gè)市場(chǎng)間風(fēng)險(xiǎn)的傳播,即市場(chǎng)間的波動(dòng)溢出效應(yīng),以及各個(gè)市場(chǎng)間動(dòng)態(tài)相關(guān)性的變化。 本文首先分析了銀行間同業(yè)拆借市場(chǎng)、股票市場(chǎng)、債券市場(chǎng)相互作用的基礎(chǔ),即共同的投資主體、資金流動(dòng)、金融中介的作用；然后引用了相關(guān)的理論,包括貨幣需求理論、資產(chǎn)選擇理論、行為金融理論等,分開論述了兩兩市場(chǎng)間的相互作用；接著是相關(guān)性的實(shí)證分析,選取了代表各個(gè)市場(chǎng)的時(shí)間序列變量,通過(guò)建立多變量的VAR模型,利用脈沖響應(yīng)函數(shù)、方差分解等工具來(lái)研究市場(chǎng)間意外沖擊帶來(lái)的相互影響,通過(guò)建立多元GARCH模型來(lái)分析各個(gè)市場(chǎng)間的波動(dòng)溢出效應(yīng),通過(guò)動(dòng)態(tài)相關(guān)系數(shù)圖來(lái)分析市場(chǎng)間動(dòng)態(tài)相關(guān)性的變化。 根據(jù)實(shí)證分析的結(jié)果,本文認(rèn)為：第一,我國(guó)貨幣市場(chǎng)與資本市場(chǎng)間的聯(lián)動(dòng)性不強(qiáng)；第二,債券市場(chǎng)對(duì)股票市場(chǎng)的影響要大于股市對(duì)債市的影響,二者間的相互作用并不對(duì)稱；第三,股市與債市、股市與銀行間同業(yè)拆借市場(chǎng)間均存在顯著地波動(dòng)溢出效應(yīng),而銀行間同業(yè)拆借市場(chǎng)與債券市場(chǎng)之間的波動(dòng)溢出效應(yīng),只是單向的從同業(yè)拆借市場(chǎng)到債券市場(chǎng)溢出;第四,股票市場(chǎng)、債券市場(chǎng)與銀行間同業(yè)拆借市場(chǎng)間存在顯著地動(dòng)態(tài)相關(guān)性,兩兩之間的相關(guān)系數(shù)隨時(shí)間變化出現(xiàn)動(dòng)態(tài)的變動(dòng)。 最后在理論分析跟實(shí)證研究的基礎(chǔ)上,本文對(duì)金融市場(chǎng)的發(fā)展,提出了幾點(diǎn)政策建議,即加強(qiáng)貨幣市場(chǎng)與資本市場(chǎng)的聯(lián)通,著力發(fā)展債券市場(chǎng),大力發(fā)展機(jī)構(gòu)投資者,提高個(gè)人投資者的投資水平等。
[Abstract]:The interbank lending market, the stock market, and the bond market are all important components of the financial market in China. The interbank lending market is a short-term lending market for funds, which is part of the money market, the stock market. The bond market is a place where money is traded for a long time and is an integral part of the capital market. The money market and the capital market are both mediated by capital transactions, and the two markets are connected to each other. The flow of funds from one market to another creates a correlation between the volatility of the two markets. The study of the characteristics of the correlation between the markets enables us to grasp the future trends of the market and provide more information for the government to formulate risk prevention policies. In addition, the study of the risk conduction effect among the three markets can provide an effective guide for investors to formulate investment strategies, avoid risks and construct more effective asset combinations. The purpose of this study is to analyze the interbank lending market, stock market and bond market. The correlation is reflected in two aspects. One is the impact of one market on the other two markets when it is accidentally impacted. The other is the spread of risk between markets, that is, the volatility spillover effect between markets, and the change of dynamic correlation among markets. This paper first analyzes the basis of interbank lending market, stock market and bond market interaction, that is, the role of common investors, capital flows and financial intermediation, and then quotes relevant theories, including the theory of money demand. Asset selection theory, behavioral finance theory and so on, discuss the interaction between two markets separately, then the empirical analysis of correlation, select the time series variables representing each market, through the establishment of multi-variable VAR model, Impulse response function, variance decomposition and other tools are used to study the interaction of unexpected shocks between markets, and the volatility spillover effects between markets are analyzed by establishing a multivariate GARCH model. Dynamic correlation coefficient is used to analyze the change of dynamic correlation between markets. According to the results of empirical analysis, this paper holds that: first, the linkage between the money market and the capital market is not strong; second, the bond market has more influence on the stock market than the stock market on the bond market. Third, there are significant volatility spillover effects between stock market and bond market, stock market and interbank lending market, and volatility spillover effect between interbank market and bond market. Only one-way spillover from interbank market to bond market; 4th, stock market, bond market and interbank interbank market have significant dynamic correlation, the correlation coefficient between pairwise changes with time. Finally, on the basis of theoretical analysis and empirical research, this paper puts forward several policy suggestions on the development of financial market, that is, to strengthen the linkage between the money market and the capital market, to develop the bond market, and to vigorously develop the institutional investors. Improve the investment level of individual investors, etc.
【學(xué)位授予單位】：華中師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F832.3;F224

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