中国国债市场的波动性研究

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1、对外经济贸易大学博士学位论文中国国债市场的波动性研究姓名：杨宇俊申请学位级别：博士专业：金融学指导教师：门明20090301行间国债与交易所国债市场的特征。再次，在前面各章的分析结论基础上，本文分别度量了银行间国债市场与交易所国债市场的市场风险，并且为我国金融机构提出有效的国债市场投资风险管理策略，为政府机构提出有针对性的国债市场风险控制的政策建议。最后，对本文的主要结论进行总结，并指出了本文的不足之处及进一步的研究方向。关键词：国债市场，长记忆性，风险价值，利率期限结构，脉冲响应函数AbstractThegov黝entbondmarketofC

2、hinahasitsuniquecharacteristicsandisquitedifferentfromthatofthedevelopedcountries．Astheglobaleconomybecomesmorevolatile，Chinaacceleratestheprocessofinterestrateliberalization．Theunexpectedinterestratechangemakestheriskofthegovernmentbondmarketmoreevident．Thegovernmentbondmark

3、etinChinaisinthestageofrapiddevelopment．Tostudythevolatilitycharacteristicsandtheinfluencingfactorsofthegovernmentbondmarketthoroughlywillnotonlyprovidetheinvestmentadvicesandtheriskstrategiesforindividualandinstitutionalinvestors，butalsoprovideimportantfoundationsforregulato

4、ryauthoritiesinmakingdecisions．ThispaperempiricallyanalyzestheinternalfactorsoftheriskandtheexternalfactorsoftheeconomicVariableswhichexerteffects0nthebondmarketfluctuationonthebaseofanall—aroundunderstandingofthegeneralvolatilitycharacteristicsofthegovemmentbondmarketfromthe

5、perspectiveoftheweak—formefficientmarket．Theempiricalresultscanprovidetheoreticalsupportanddecision—makingreferencesforthedevelopmentofthebondmarket．First，thispaperreviewsthedevelopmentprocessoftheChinagovernmentbondmarket，studiestheissuancestructureandthetransactioncharacter

6、istics，investigatesthesegmentationstatusofthegovernmentbondmarket．Focusingontheanalysisofthesimilaritiesanddifferencesbetweeninterbankgovernmentbondmarketandtheexchangesgovernmentbondmarket，suchastheinvestor,thepriceformationmechanism,theclearingmechanism，thePaperpointsoutthe

7、problemsofthegovernmentbondmarket．Theseprovideailintuitivedescriptionandexplanationofthephenomenonforthefollowingchaptersofempiricalresearch．Next，thispaperanalyzesthevolatilitycharacteristicsoftheinter-bankgovernmentbondmarketandtheexchangesgovemmentbondmarketseparately．Lever

8、ageeffectisnotobviousbutthelongmemorycharacterisobviousinbothofthema