【摘要】：本文圍繞我國(guó)商業(yè)銀行實(shí)際狀況，通過(guò)債券業(yè)務(wù)投資概述、債券市場(chǎng)波動(dòng)分析、債券市場(chǎng)波動(dòng)對(duì)商業(yè)銀行的績(jī)效影響等方面相關(guān)介紹從而對(duì)我國(guó)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(chǎng)及我國(guó)商業(yè)銀行債券投資業(yè)務(wù)現(xiàn)狀及銀行間債券市場(chǎng)特點(diǎn)三個(gè)方面分別介紹了相關(guān)內(nèi)容。債券市場(chǎng)波動(dòng)分析中本文采用ARCH模型族對(duì)銀行間債券市場(chǎng)進(jìn)行了實(shí)證分析，得出銀行間債券市場(chǎng)波動(dòng)具有波動(dòng)叢集性，并且銀行間債券指數(shù)具有不對(duì)稱(chēng)效應(yīng)，，好消息對(duì)于銀行間債券指數(shù)產(chǎn)生的波動(dòng)性大于壞消息對(duì)于銀行間債券指數(shù)所產(chǎn)生的波動(dòng)性。在債券市場(chǎng)波動(dòng)對(duì)商業(yè)銀行的績(jī)效影響分析中首先從理論角度分析了債券市場(chǎng)波動(dòng)對(duì)商業(yè)銀行的績(jī)效影響傳導(dǎo)機(jī)制，然后采用面板數(shù)據(jù)模型對(duì)我國(guó)目前14家上市銀行進(jìn)行了相關(guān)測(cè)量分析，得出銀行間債券指數(shù)的波動(dòng)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(guò)債券業(yè)務(wù)投資概述、債券市場(chǎng)波動(dòng)分析、債券市場(chǎng)波動(dòng)對(duì)商業(yè)銀行的績(jī)效影響等方面的分析，本文對(duì)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(chǎng)的逐步完善和發(fā)展，未來(lái)市場(chǎng)的波動(dòng)性不可避免的會(huì)越來(lái)越激烈。因此，各家商業(yè)銀行應(yīng)該加強(qiáng)風(fēng)險(xiǎn)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(guān)經(jīng)濟(jì)狀況等各方面信息提升對(duì)債券市場(chǎng)波動(dòng)的預(yù)測(cè)能力，從而有效提高我國(guó)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(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F832.33;F224

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