| 银行间与交易所国债市场的信息溢出效应研究 |
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| 引用本文： | 张茂军,李昊,南江霞,王国栋.银行间与交易所国债市场的信息溢出效应研究[J].运筹与管理,2021,30(12):165-171. |
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| 作者姓名： | 张茂军 李昊 南江霞 王国栋 |
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| 作者单位： | 1.苏州科技大学 商学院,江苏 苏州 215009;2.桂林电子科技大学 数学与计算科学学院,广西 桂林 541004;3.苏高新集团 纪委办公室,江苏 苏州 215011 |
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| 基金项目： | 国家自然科学基金资助项目(71961004,72061007,71461005);苏州科技大学科研启动项目(332111807,332111801) |
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| 摘 要： | 用VAR模型的预测误差方差分解方法和格兰杰因果检验方法研究中国银行间和交易所国债市场信息溢出效应的方向、水平和动态趋势及其原因。研究表明:银行间和交易所国债市场之间收益与波动溢出效应均呈现上升动态特征;在收益溢出效应中银行间是国债市场信息传导者,在波动溢出效应中交易所是国债市场信息传导者;利率变化和市场流动性显著负向影响收益总溢出和波动总溢出。
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| 关 键 词： | 信息溢出 国债市场 VAR模型 市场流动性 |
| 收稿时间： | 2019-06-01 |
Spillover of Information Between Interbank and Exchange T-bond Markets in China |
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| ZHANG Mao-jun,LI Hao,NAN Jiang-xia,WANG Guo-dong.Spillover of Information Between Interbank and Exchange T-bond Markets in China[J].Operations Research and Management Science,2021,30(12):165-171. |
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| Authors: | ZHANG Mao-jun LI Hao NAN Jiang-xia WANG Guo-dong |
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| Institution: | 1. School of Business, Suzhou University of Science and Technology, Suzhou 215009, China;2. School of Mathematic and Computers, Guilin University of Electronic and Technology, Guilin 541004, China;3. Discipline inspection and supervision room, Suzhou High-tech Group, Suzhou 215011, China |
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| Abstract: | In this paper, the direction, level and dynamic trends of the spillover of information between interbank and exchange T-bond markets in China are investigated by the variance decomposition of the prediction error of VAR model and Granger causality test. Our results show that the return spillovers and volatility spillovers between the interbank and the exchange T-bond market have an increasing dynamic trend; the interbank T-bond market is the senders of information in the return spillovers while the exchange T-bond market is the senders of information in the volatility spillovers. Moreover, the interest rate changes and market liquidity significantlynegatively affect the total return spillovers and volatility spillovers. |
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| Keywords: | information spillover T-bond VAR model market liquidity |
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