上交所国债市场波动性研究

本文基于2003～2007五年间上证国债指数数据,选择建立了AR(2)-GARCH(1,1)、AR(2) -EGARCH(1,1)、AR(2)-CARCH(1,1)。(γ1,γ2)和GARCH(1,1).(m,n)-M四个模型,从不同的视角分析了我国上交所国债市场的波动性状况。实证结果表明,模型中引入利率调整因子γ1、准备金率调整因子γ2及流动性因子m和n作为外生解释变量,能够较好地刻画我国货币政策对国债市场波动的冲击、市场流动性对国债收益率波动的影响及国债收益率波动与收益率的关系。本文的研究结果对完善我国国债市场管理,促进市场发展有一定的指导意义。

Research on the Volatility of Government Bond Market of Shanghai Stock Exchange

We model the volatility of returns for SSE Government Bond index by AR(2)-GARCH(1,1), AR(2)-EGARCH(1,1), AR(2)-CARCH(1,1)-(γ1,γ2) and GARCH(1,1)-(m, n)-M models which we use to analyze different characteristics on these volatility. Because we use the two factors,γ1 andγ2, to explain monetary policy and another two factors, m and n, to explain market volatility exogenously, these results can characterize the relationships in government bond market between volatility and monetary policy, liquidity and returns well. Consequently, our results are beneficial tomanagement of Chinese government bond market.