本文選題：銀行間國債價格 + 宏觀經(jīng)濟變量��； 參考：《西北農(nóng)林科技大學》2014年碩士論文

【摘要】：本文針對銀行間債券市場的國債指數(shù)進行分析，探討宏觀經(jīng)濟變量對我國銀行間國債市場整體變動狀況和價格總體走勢的影響，剖析銀行間國債市場價格的變化究竟是受哪些宏觀經(jīng)濟變量的影響以及影響程度如何，研究國債價格波動與他們之間存在怎樣的長短期關系，具有一定的實際意義,例如為機構投資者的風險管理體系建設提供依據(jù)，有利于提高國家宏觀調控的效率、穩(wěn)定國債市場的價格水平、增強國債投資者防范風險的能力。本文的理論意義在于，填補了銀行間債券市場國債價格波動理論的空白，，完善了國債價格形成機制的理論，為我國國債市場健康發(fā)展提供理論依據(jù)，因此，選題為“宏觀經(jīng)濟變量對我國銀行間國債價格的影響研究”具有現(xiàn)實意義和理論意義。 首先，本文回顧了國內外已有的相關研究成果和結論，并進行了相應的評價。其次，對我國銀行間國債價格的度量、銀行間國債市場發(fā)展現(xiàn)狀進行介紹，從國債定價原理考察各因素對國債價格的影響。接著，對宏觀經(jīng)濟因素與銀行間國債價格之間的關系進行定性分析，將宏觀經(jīng)濟信息按其對銀行間國債的長短期影響分為貨幣政策信息與宏觀經(jīng)濟基本狀況2類，從2類宏觀經(jīng)濟信息中分別考察影響因素，為后文的實證分析做準備工作。最后，進行實證研究，選用2005年4月-2014年1月共106個月度的時間序列數(shù)據(jù)，通過進行協(xié)整檢驗、格蘭杰因果分析、脈沖響應分析、方差分析等計量經(jīng)濟模型的檢驗，從量化角度來考察宏觀經(jīng)濟變量對銀行間國債價格指數(shù)的影響，得出了如下結論： (1)從長期來看，銀行間國債價格與利率、通貨膨脹、貨幣供應量、股票價格、經(jīng)濟增長5個因素之間存在長期穩(wěn)定的協(xié)整關系。并且經(jīng)濟增長與銀行間國債價格之間存在負相關關系，經(jīng)濟增長變動一個單位，銀行間國債價格反向變動0.42個單位；利率和股價與銀行間國債價格之間存在正相關關系，利率變動一個單位，銀行間國債價格同方向變動0.05個單位；股價變動一個單位，銀行間國債價格同方向變動0.02個單位。 (2)從短期來看，貨幣供應量、股價是銀行間國債價格的短期格蘭杰原因，物價水平、利率和經(jīng)濟增長都不是銀行間國債價格的短期格蘭杰原因。也就是說，在短期，貨幣供應量和股價的變動能引起銀行間國債價格的變動，并且貨幣供應量和股價與銀行間國債價格呈正相關關系。 (3)從各宏觀經(jīng)濟變量對銀行間國債價格的影響程度來看，根據(jù)方差分析的結果，物價水平、股價、貨幣供應量、經(jīng)濟增長和利率對銀行間國債價格波動的解釋程度依次為：19%、9%、8.5%、5%和1.5%；根據(jù)脈沖響應分析的結果，銀行間國債價格能對各個變量的標準信息沖擊做出快速反應，但都有2-5個月的時間滯后期，也就是說，需要2-5個月的時間才能充分發(fā)揮各宏觀經(jīng)濟變量對銀行間國債價格的影響，并且各個變量對銀行間國債價格的影響程度不同，按照從大到小排序，依次為：物價水平經(jīng)濟增長股價貨幣供應量利率。 最后，根據(jù)上述實證分析得出的結果，結合我國債券市場分割、銀行間國債市場發(fā)展不完善等現(xiàn)象，提出相關政策建議。
[Abstract]:This paper analyzes the bond index in the inter-bank bond market, and discusses the influence of macroeconomic variables on the overall change of the national debt market and the overall trend of the price of the national bond market in China, and analyzes the influence of the changes in the price of the interbank treasury bond market on which macroeconomic variables are influenced and the degree of influence, and the study of the price wave of the national debt. The relationship between the long and short periods between them has certain practical significance, such as providing the basis for the construction of the institutional investor's risk management system, which is beneficial to the improvement of the efficiency of the national macro-control, the stability of the price level of the national debt market and the ability to prevent the risk of the government bond investors. The theoretical significance of this paper is that it fills the gap. The blank of the bond price fluctuation theory in the inter-bank bond market has perfected the theory of the formation mechanism of the Treasury bond price, which provides a theoretical basis for the healthy development of the national debt market in China. Therefore, it is of practical and theoretical significance to select the topic as "the study of the impact of macroeconomic variables on the price of national bonds between China's banks".
First, this paper reviews the relevant research results and conclusions at home and abroad, and carries out the corresponding evaluation. Secondly, this paper introduces the measurement of the price of national bonds between banks in China, the present situation of the development of the interbank treasury bond market, and the influence of the factors on the price of national debt from the principle of treasury bond pricing. Then, the macroeconomic factors and the bond price between banks are on the basis of the macroeconomic factors. The relationship between the grid is qualitatively analyzed, and the macroeconomic information is divided into 2 categories: monetary policy information and the basic situation of macro economy according to the long and short effect on the long and short period of interbank treasury bonds. The influence factors are examined from the 2 kinds of macroeconomic information and the empirical analysis of the latter is prepared. Finally, the empirical study is carried out, and the April 2005 -2014 is selected. In January, 106 monthly time series data were tested by cointegration test, Grainger causality analysis, impulse response analysis, variance analysis and other econometric models. From the quantitative point of view, the effects of macroeconomic variables on the interbank bond price index were investigated. The following conclusions were drawn:
(1) in the long run, there is a long-term and stable co integration relationship between the inter bank bond price and interest rate, inflation, money supply, stock price and economic growth, and there is a negative correlation between the economic growth and the bond price between banks, the economic growth changes a unit, and the reverse change of the bond price between the banks is 0.42 single. There is a positive correlation between interest rate and stock price and the price of inter bank treasury bonds, a unit of interest rate change, 0.05 units in the same direction of the price of interbank bonds; a unit of change in stock price, and 0.02 units in the same direction of the price of interbank treasury bonds.
(2) in the short term, the money supply, the stock price is the short-term Grainger reason of the interbank treasury bond price, the price level, the interest rate and the economic growth are not the short-term Grainger reasons for the interbank treasury bond price. In other words, in the short term, the change of money supply and stock price can cause the change of the bond price between the banks and the money supply and the money supply. There is a positive correlation between stock price and the price of inter bank treasury bonds.
(3) from the impact of the macroeconomic variables on the price of inter bank treasury bonds, according to the results of variance analysis, the level of price, stock price, money supply, economic growth and interest rates are explained in turn: 19%, 9%, 8.5%, 5% and 1.5%. According to the results of impulse response analysis, the price of interbank treasury bonds can be obtained. It makes a quick response to the standard information impact of each variable, but there are 2-5 months of time lag, that is to say, it takes 2-5 months to give full play to the impact of the macroeconomic variables on the price of inter bank treasury bonds, and the influence of each variable on the price of inter bank treasury bonds is different, according to the order from large to small, in turn. Price level, economic growth, stock price, money supply, interest rate.
Finally, based on the results of the above empirical analysis, combined with the segmentation of China's bond market and the imperfect development of inter bank bond market, we put forward relevant policy recommendations.
【學位授予單位】：西北農(nóng)林科技大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F124;F832.51

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