我国企业债券市场收益率的波动性研究  

The Volatility Study of Yield on China's Corporate Bond Market

作　　者：孔文涛[1] 张卫国[1] 杜倩[1] 

机构地区：[1]华南理工大学工商管理学院,510640

出　　处：《上海经济研究》2011年第7期84-91,共8页Shanghai Journal of Economics

基　　金：教育部人文社会科学规划基金项目(07JA630048);教育部新世纪优秀人才支持计划项目(NCET-06-0749)

摘　　要：债券市场收益率是债券投资者关心的重要指标。本文主要采用平滑转移门限自回归(STAR)模型刻画上证企债收益率,并对其波动性进行分析和预测,结果表明:以Logistic函数作为转换函数的STAR模型能很好地描述企业债券市场收益率的走势;同时,基于此模型得出的收益率预测结果显示,用该模型预测得到的收益率走势和现实的情况是总体一致的。The bond market yield is an important indicator of concern to bond investors.In this paper,we used the smooth threshold autoregressive（STAR） model to describe the characterization of the yield of Shanghai Securities Corporate Bond Index,and made an analysis and prediction of the volatility,the result shows that： STAR model with a Logistic function as the transfer function can describe the tendency of the yield of corporate bond market perfectly;at the same time,the predicted yield obtained based on this model shows that the tendency of yield is overall the with the reality.

关 键 词：企业债券市场收益率 STAR模型 波动性 预测 

分 类 号：F830.91[经济管理—金融学]