本文關(guān)鍵詞：全球政府債券市場聯(lián)動性實證研究　出處：《陜西師范大學(xué)》2013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 歐債危機 收益聯(lián)動 波動聯(lián)動

【摘要】：國務(wù)院發(fā)展研究中心宏觀經(jīng)濟研究部副部長魏加寧在2012年12月15日的中央經(jīng)濟工作會議后指出：歐元危機、美債危機和日本的債務(wù)隱患是中國經(jīng)濟發(fā)展面臨的國外的三大風(fēng)險。2009年12月爆發(fā)的歐洲主權(quán)債務(wù)危機愈演愈烈,從最開始的希臘隨即漫延至PIIGS五國繼而逐漸擴散到了德國、法國等歐元區(qū)核心國家。歐債危機時期,除了貿(mào)易渠道以外,危機是否會通過全球政府債券市場傳染核擴散值得關(guān)注。這是因為一方面,發(fā)行國際政府債券是一國政府負(fù)債的主要方式,國家信用危機導(dǎo)致中央政府無法履行債務(wù)人的義務(wù)就會導(dǎo)致政府債券市場出現(xiàn)危機,政府債券市場成為衡量一國金融市場安全乃至國家信用安全的主要標(biāo)志之一；另一方面,隨著國際金融一體化進程的深入以及全球政府債券市場的發(fā)展,政府債券市場已成為國際金融市場聯(lián)系的重要渠道之一。因此,本論文旨在通過實證研究考察歐債危機以來,全球政府債券市場之間的聯(lián)動關(guān)系,特別是,歐債危機是否會通過全球政府債券市場漫延至持有近6000億歐元歐洲國債的中國? 本論文選取2009年12月8日至2012年8月31日歐債危機期間歐元區(qū)和中國、美國、日本、英國、法國、德國以及piigs等11個國家的政府債券市場日收益率收盤數(shù)據(jù),參考各市場收盤順序,運用格蘭杰因果關(guān)系檢驗、VAR模型脈沖響應(yīng)以及方差分解和GARCH族模型等成熟的計量方法,對歐債危機期間全球政府債券市場的聯(lián)動性進行了實證研究。研究結(jié)果顯示： (1)作為多個國家的債權(quán)國,中國政府債券市場收益率的變動是除了德國和日本以外其他國家政府債券市場收益率變動的格蘭杰原因,但中國政府債券市場在歐債危機時期比較穩(wěn)定,幾乎不受其他國家政府債券市場的沖擊； (2)作為歐洲的領(lǐng)頭羊,法國和德國政府債券市場歐債危機時期的表現(xiàn)不同：德國政府債券市場比較穩(wěn)定,它僅與英國、法國和美國政府債券市場聯(lián)動關(guān)系顯著,而法國與除中國外的其他國家政府債券市場聯(lián)動性均較大 (3)美國和英國的政府債券市場與歐元區(qū)國家政府債券市場聯(lián)動性較強,特別是,受次貸危機所累,美國政府債券市場在這一時期脆弱性較高,其他國家政府債券市場收益率的變動均會對其產(chǎn)生不同程度的沖擊； (4) PIIGS五國政府債券市場之間的聯(lián)動性較大,持續(xù)期較長。作為最早發(fā)生危機的國家,希臘政府債券市場極其脆弱,受國際政府債券市場的影響最大持續(xù)期最長,而希臘政府債券市場收益率變動通過信號作用對其他國家政府債券市場產(chǎn)生影響； (5)歐債危機期間全球政府債券市場之間存在波動聯(lián)動。歐元區(qū)政府債券市場對包括中國在內(nèi)的各國政府債券市場均存在單向波動溢出效應(yīng),中國和日本對美國和英國政府債券市場存在單向波動溢出效應(yīng)。
[Abstract]:The State Council Development Research Center of macroeconomic research department vice minister Weijianing pointed out that in December 15, 2012 the central economic work conference: the euro crisis, the U.S. debt crisis and Japan's debt risk is facing Chinese economic development abroad three risk.2009 the December outbreak of the European sovereign debt crisis and from the beginning of the Greek then spread to PIIGS five and then gradually spread to Germany, France and other countries. The core of the eurozone debt crisis period, in addition to trade channels outside, whether the crisis will concern through the global government bond market contagion value. This is because of the spread of nuclear weapons on the one hand, the issue of international government bonds is the main way of government debt, the national credit crisis center the government is unable to perform the obligation of the debtor will lead to government bond market crisis, government bond market has become a measure of a country's Financial City One of the main signs of field security and even national security credit; on the other hand, with the deepening of the process of international financial integration and the development of the global government bond market, government bond market has become one of the important channels of international financial market. Therefore, since the purpose of this paper is to Research on the European debt crisis, the linkage relationship between the global government. The bond market in particular, European debt crisis will hold by the global government bond market spread to nearly 600 billion euros of European debt China?
This paper from December 8, 2009 to August 31, 2012 during the European debt crisis and the euro zone China, the United States, Japan, Britain, France, Germany and other 11 countries PIIGS government bond market yield on the closing data, refer to the market closing order, using the Grainger causality test, measurement methods of mature VAR model and impulse response and variance decomposition the GARCH model, the linkage of the global government bond markets during the European debt crisis has conducted the empirical study results show:
(1) as a number of countries Chinese creditor, government bond market changes in the rate of return is the reason besides Grainger outside Germany and the Japanese government bond yields in other countries rate, but Chinese government bond market in the European debt crisis is relatively stable, almost not affected by the impact of government bond markets in other countries;
(2) as a leader in Europe, the French and German government bond markets during the debt crisis is different: the German government bond market is relatively stable, it is only with Britain, France and the United States government bond market linkage relationship, France and other countries in addition to Chinese outside the government bonds market linkage are larger
(3) the government bond market and the linkage of the government bond market strong euro zone countries, the United States and Britain in particular, affected by the subprime mortgage crisis tired, the U.S. government bond market vulnerability is high during this period, other countries government bond market yields on the changes will produce different degrees of impact;
(4) between the PIIGS five government bond market linkage is large, long duration. As the first national crisis, the Greek government bond market is extremely weak, affected by the international government bond market maximum duration was the longest, and the Greek government bond market yield changes have an impact on the government bond market by other countries signal;
(5) during the European debt crisis has volatility linkage between the global government bond market. The eurozone government bond market have significant volatility spillover of all countries, including China government bond market, and Japan Chinese significant volatility spillover of the US and UK government bond market.

【學(xué)位授予單位】：陜西師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F831.5;F811.5

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