我国企业债券市场的波动特征及SMP范式的发展机制分析  

China's Bond Market Volatilityand the Mechanism for the Development of SMP Paradigm

作　　者：姬新龙[1] 陈芳平[1] 杨世峰[1] 

机构地区：[1]兰州商学院金融学院,甘肃兰州730020

出　　处：《兰州学刊》2011年第3期197-200,共4页

基　　金：甘肃省兰州商学院科研基金青年项目

摘　　要：文章采用GARCH族模型对我国上证企债指数的波动性特征进行了实证分析。结果表明企债市场中收益对风险的敏感度不强,说明企业债券市场是较好规避风险的投、融资场所,为我国大力发展企业债券市场,平滑金融系统风险提供了客观的理论依据。在此基础上,文章分析了SMP范式的企业债券市场发展机制,阐述了完善投资者结构、规范市场发展模式、实现市场绩效的对策建议。In this paper,the GARCH models of corporate bond index card features the volatility of the empirical analysis.The results show that the corporate bond market gains on risk sensitivity is not strong,indicating that corporate bond market is a better risk-averse investment and financing site for China to develop corporate bond market,financial system risks smoothing the theoretical basis of objective.On this basis,the article analyzes the SMP paradigm of corporate bond market development mechanism,described a sound investor structure,regulate the market model of development to achieve market performance of countermeasures.

关 键 词：GARCH族模型 波动特征 SMP发展机制 

分 类 号：F830.91[经济管理—金融学]