我国集合信托产品预期收益率的影响因素及市场风险评价——基于SVAR-GARCH-M模型与因子分析法的实证研究  

The Influencing Factors and Market Risk Evaluation of Collective Trust Products′ Expected Return Rate in China Based on SVAR-GARCH-M Model and Factor Analysis

作　　者：邓旭升[1] 肖继五[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《中南财经政法大学学报》2012年第2期113-118,129,共7页Journal of Zhongnan University of Economics and Law

摘　　要：本文基于SVAR-GARCH-M模型,利用因子分析法对我国集合信托产品预期收益率的影响因素及其面临的市场风险进行测度。研究发现:我国集合信托产品预期收益率是以债券回购利率为基准,并随国内价格水平的变动进行调整,以维持真实收益的稳定性;我国集合信托产品预期收益率对市场风险表现出较高的敏感度,在各类风险因素中,由宏观经济形势变化所引发的融资成本上升风险占主导地位,信托公司资金运用的方式也会引致相应的风险,但与宏观风险因素相比,该类风险因素所占的权重相对较小。Based on the SVAR-GARCH-M model and factor analysis,this paper studies the influencing factors of the collective trust products′ expected return rate,and measures the market risk of the collective trust products.The results show that the collective trust products′ expected return rate in China takes the bond repurchase interest rate as the benchmark interest rate and adjusts with the domestic price level in order to maintain the stability of its actual profit.The trust product in China is characterized with high sensitivity to risk.Among all the kinds of risk factors,the risk relating to the increasing funding cost in the changeable macroeconomic environment occupies the leading position.At the same time,the way to use the trust product also can bring the risk,but it is littler than the macroeconomic risk.

关 键 词：集合信托产品 预期收益率 市场风险 宏观经济调控 

分 类 号：F832.49[经济管理—金融学]