境内外人民币国债市场联动关系研究  

An Empirical Study of Dynamic Correlation between Offshore and Onshore RMB Government Bond Markets

作　　者：时旭辉[1] 王楚云 SHI Xu-hui;WANG Chu-yun

机构地区：[1]暨南大学经济学院金融系、金融研究所,广州510632 [2]暨南大学金融系

出　　处：《金融论坛》2018年第6期68-80,共13页Finance Forum

基　　金：国家自然科学基金项目“基于金融稳定视角的逆周期银行监管机制设计研究”(71473103)和教育部人文社科基金项目“国际资本流动与我国金融市场稳定”(10YJA790158).

摘　　要：本文利用Granger因果检验、ARMAX-BEKK模型以及ARMAX-FIAPARCH-DCC模型,研究境内外人民币国债市场之间的联动关系。结果表明:在岸人民币国债市场对离岸人民币国债市场存在单向的报酬溢出效应;在岸人民币国债市场和离岸人民币国债市场之间存在双向的波动溢出效应;利差因素对境内外人民币国债的收益率及其相关性均有显著影响;中国宏观经济的平稳运行对两个市场的相关性具有显著的提升作用。The authors of this paper use the Granger causality test, ARMAX-BEKK model and ARMAX-FIAPARCH-DCC model to analyze the dynamic correlation between onshore and offshore RMB government bond markets. The results of the paper show that the onshore RMB government bond markets has return spillover effects on offshore markets; there is a two-way volatility spillover effect between onshore and offshore RMB government bond markets; the interest rate spread between offshore and onshore markets has a significant impact on the return of onshore and offshore RMB government bonds as well as the correlation; China＇s macroeconomic stability strengthens the correlation between the two markets significantly.

关 键 词：人民币国债 离岸市场 联动关系 溢出效应 ARMAX-FIAPARCH-DCC模型 

分 类 号：F41[经济管理—产业经济] G15[文化科学]