本文關(guān)鍵詞：美元指數(shù)對(duì)中國(guó)債券市場(chǎng)的溢出效應(yīng)研究　出處：《吉林大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 債券市場(chǎng) 美元指數(shù) 流動(dòng)性偏好模型

【摘要】：債券市場(chǎng)是一國(guó)金融市場(chǎng)的重要組成部分,隨著經(jīng)濟(jì)全球化與金融自由化的飛速發(fā)展,通過(guò)研究與分析美元指數(shù)對(duì)中國(guó)債券市場(chǎng)的影響渠道,發(fā)現(xiàn)美元指數(shù)已經(jīng)成為影響中國(guó)債券市場(chǎng)的重要因素。2016年下半年,我國(guó)債券市場(chǎng)的暴跌引發(fā)了業(yè)內(nèi)人士對(duì)債券市場(chǎng)現(xiàn)階段影響因素的思考�；诖吮尘�,在中國(guó)推進(jìn)經(jīng)濟(jì)全球化進(jìn)程的重要時(shí)刻,本文以此次中國(guó)債券市場(chǎng)價(jià)格的下跌為實(shí)踐背景,以流動(dòng)性偏好理論模型作為研究的中心理論,運(yùn)用線性回歸模型進(jìn)行實(shí)證研究,嘗試就美元指數(shù)對(duì)中國(guó)債券市場(chǎng)的溢出效應(yīng)進(jìn)行理論與實(shí)證的統(tǒng)合分析。本文以研究美元指數(shù)對(duì)我國(guó)債券市場(chǎng)的溢出效應(yīng)為主題,探索了美元指數(shù)的波動(dòng)與中國(guó)債券市場(chǎng)的關(guān)系。全文的研究分為三個(gè)部分:文獻(xiàn)整理、理論研究、實(shí)證檢驗(yàn)。在文獻(xiàn)整理部分,本文從美元指數(shù)對(duì)我國(guó)宏觀經(jīng)濟(jì)的影響、對(duì)金融市場(chǎng)的影響以及對(duì)債券市場(chǎng)的影響三個(gè)層面對(duì)以往國(guó)內(nèi)外的文獻(xiàn)整理和分析說(shuō)明。美元指數(shù)對(duì)我國(guó)的經(jīng)濟(jì)發(fā)展的影響涉及到各個(gè)層次,通過(guò)成本渠道、匯率渠道以及貨幣沖擊渠道對(duì)我國(guó)的實(shí)體經(jīng)濟(jì)起到了舉足輕重的作用。美元對(duì)金融市場(chǎng)的研究主要集中在美元的價(jià)值對(duì)股票市場(chǎng)的影響上,文獻(xiàn)整理后發(fā)現(xiàn),諸多實(shí)證結(jié)果表明美元指數(shù)與股票市場(chǎng)之間是存在長(zhǎng)期協(xié)整關(guān)系的。而美元指數(shù)與我國(guó)債券市場(chǎng)的研究則相對(duì)較少,研究普遍認(rèn)為美元對(duì)我國(guó)的債券市場(chǎng)的影響較小。在理論研究部分,作用通過(guò)對(duì)凱恩斯的流動(dòng)性偏好理論模型、債券供求均衡理論以及利率均衡理論的分析,深入剖析了美元指數(shù)的波動(dòng)是通過(guò)怎樣的機(jī)制對(duì)我國(guó)的債券市場(chǎng)產(chǎn)生溢出效應(yīng)的。理論上認(rèn)為,根據(jù)流動(dòng)性偏好模型的動(dòng)態(tài)變化,以及美元指數(shù)雙重含義的解讀,從物價(jià)水平效應(yīng)和預(yù)期通貨膨脹效應(yīng)兩種途徑對(duì)我國(guó)的債券市場(chǎng)價(jià)格的波動(dòng)起到一定的影響,當(dāng)美元指數(shù)上升時(shí),我國(guó)的債券市場(chǎng)價(jià)格會(huì)出現(xiàn)下降的趨勢(shì)。在實(shí)證研究部分,本文采用2016年7月至2017年1月的數(shù)據(jù)進(jìn)行實(shí)證分析,選擇上證國(guó)債指數(shù)作為衡量我國(guó)債券整體變化的指標(biāo)為因變量,和美元指數(shù)作為自變量,用線性回歸等一系列檢驗(yàn)的方法來(lái)確定美元指數(shù)對(duì)我國(guó)債券市場(chǎng)的溢出效應(yīng),檢驗(yàn)結(jié)果發(fā)現(xiàn),在研究的時(shí)段內(nèi)美元指數(shù)增長(zhǎng)率每上升1%時(shí),國(guó)債指數(shù)增長(zhǎng)率會(huì)下降0.03%,但這樣的現(xiàn)象并不是時(shí)刻存在的,由此可以認(rèn)為,現(xiàn)階段我國(guó)的債券市場(chǎng)變化受到了美元指數(shù)溢出效應(yīng)的影響,這也意味著我國(guó)的金融市場(chǎng)正面臨新的挑戰(zhàn)與機(jī)遇。在結(jié)論部分,作者得出本文從理論與實(shí)證相結(jié)合的研究結(jié)果,并針對(duì)我國(guó)現(xiàn)階段的債券市場(chǎng)做出一定的分析與判斷。
[Abstract]:Bond market is an important part of a country's financial market. With the rapid development of economic globalization and financial liberalization, the impact of US dollar index on China's bond market is studied and analyzed. Find that the dollar index has become an important factor affecting China's bond market. In the second half of 2016. The collapse of China's bond market has caused the industry to think about the factors affecting the bond market at the present stage. Based on this background, it is an important moment for China to promote the process of economic globalization. This paper takes the Chinese bond market price decline as the practical background, taking the liquidity preference theory model as the central theory of the research, using the linear regression model to carry on the empirical research. This paper attempts to analyze the spillover effect of US dollar index on Chinese bond market theoretically and empirically. This thesis focuses on the spillover effect of US dollar index on Chinese bond market. This paper explores the relationship between the fluctuation of US dollar index and the bond market in China. The research is divided into three parts: literature collation, theoretical research, empirical test. This paper analyzes the impact of US dollar index on China's macro economy. The impact on the financial market and the impact on the bond market three levels of literature review and analysis of the past at home and abroad. The impact of the dollar index on China's economic development involves all levels through the cost channel. The exchange rate channel and the currency impact channel have played an important role in the real economy of our country. The research of the dollar on the financial market mainly focuses on the influence of the dollar value on the stock market. Many empirical results show that there is a long-term cointegration relationship between the dollar index and the stock market, while the research on the dollar index and our bond market is relatively less. It is generally believed that the dollar has little influence on the bond market in China. In the theoretical research part, the role of the role of Keynesian liquidity preference theory model, bond supply and demand equilibrium theory and interest rate equilibrium theory analysis. This paper deeply analyzes the mechanism by which the fluctuation of US dollar index produces spillover effect on the bond market of our country. Theoretically, according to the dynamic change of liquidity preference model. As well as the interpretation of the dual meaning of the dollar index, from the price level effect and expected inflation effect on the bond market price fluctuations in China, when the dollar index rises. The bond market price of our country will appear the downward trend. In the empirical research part, this article uses the data from July 2016 to January 2017 to carry on the empirical analysis. Shanghai Treasury bond index as a measure of the overall change of bonds in China as a dependent variable, and the dollar index as an independent variable. Using a series of test methods such as linear regression to determine the spillover effect of US dollar index on China's bond market. The test results show that in the period of study, the growth rate of US dollar index increases by 1%. The growth rate of national debt index will decrease by 0.03%, but this phenomenon is not always there. Therefore, we can conclude that the change of bond market in our country is affected by the spillover effect of US dollar index at the present stage. This also means that our financial market is facing new challenges and opportunities. In the conclusion part, the author draws the research results from the combination of theory and empirical research. And in view of our country present stage bond market makes the certain analysis and the judgment.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 劉冬平;;油價(jià)、金價(jià)、股價(jià)和美元指數(shù)關(guān)系[J];經(jīng)濟(jì)研究導(dǎo)刊;2012年33期

2 劉偉;;美元指數(shù)趨勢(shì)性變動(dòng)影響因素的計(jì)量分析[J];經(jīng)濟(jì)研究導(dǎo)刊;2011年17期

3 紀(jì)潼;;黃金、原油與美元指數(shù)的關(guān)聯(lián)性研究[J];商場(chǎng)現(xiàn)代化;2013年29期

4 陳思進(jìn);;美元指數(shù)高低≠美元強(qiáng)弱[J];金融博覽(財(cái)富);2014年06期

5 任抒豪;;從美元指數(shù)看美元對(duì)其他貨幣的打壓[J];時(shí)代金融;2014年14期

6 程凱;;A股已淪為美元指數(shù)“傀儡”[J];股市動(dòng)態(tài)分析;2010年49期

7 姬長(zhǎng)征;;美元指數(shù)飆升 鈀價(jià)回落[J];中國(guó)金屬通報(bào);2012年22期

8 何瑞;;美經(jīng)濟(jì)前景欠佳 美元恐受壓[J];證券導(dǎo)刊;2010年27期

9 儲(chǔ)國(guó)強(qiáng);;研圖觀勢(shì)[J];中國(guó)外匯;2012年11期

10 王泓博;劉承承;;紅酒指數(shù)與美元指數(shù)關(guān)系的實(shí)證研究[J];企業(yè)經(jīng)濟(jì);2012年02期

相關(guān)會(huì)議論文 前1條

1 范為;房四海;;金融危機(jī)中的黃金定價(jià)模型[A];第六屆（2011）中國(guó)管理學(xué)年會(huì)——金融分會(huì)場(chǎng)論文集[C];2011年

相關(guān)重要報(bào)紙文章 前10條

1 童長(zhǎng)征;美元指數(shù)推動(dòng)本輪鋁價(jià)上漲[N];中國(guó)有色金屬報(bào);2009年

2 戴若·顧比 編譯 陳靜;美元指數(shù)上漲是暫時(shí)的[N];上海證券報(bào);2013年

3 本報(bào)記者 官平;美元指數(shù)連升五周 國(guó)際黃金持續(xù)下挫[N];中國(guó)證券報(bào);2013年

4 本報(bào)記者 路虹;美元指數(shù)：怎一個(gè)高字了得[N];國(guó)際商報(bào);2013年

5 中信銀行金融市場(chǎng)部 胡明;美元指數(shù)表現(xiàn)“脫胎換骨”[N];中國(guó)證券報(bào);2014年

6 南京銀行 蔣獻(xiàn);美元指數(shù)漲至11個(gè)月高位[N];中國(guó)證券報(bào);2014年

7 南華期貨研究所 張靜靜;美元指數(shù)是否已見(jiàn)頂[N];中國(guó)證券報(bào);2014年

8 陳兮;貴金屬與美元指數(shù)呈現(xiàn)正相關(guān)[N];期貨日?qǐng)?bào);2005年

9 中國(guó)工商銀行深圳市分行 肖雄文;美元指數(shù)如期反彈 全年收盤預(yù)計(jì)90.18[N];證券時(shí)報(bào);2005年

10 江南;美元連續(xù)上漲 金價(jià)考驗(yàn)785美元/盎司[N];第一財(cái)經(jīng)日?qǐng)?bào);2007年

相關(guān)碩士學(xué)位論文 前4條

1 楊榮華;美元指數(shù)波動(dòng)規(guī)律研究及應(yīng)用[D];華北水利水電大學(xué);2016年

2 孫瑋t，

本文編號(hào)：1380770