债券市场收益率波动与风险测量研究——基于GARCH-MIDAS模型分析  

Research on bond market yield fluctuation and risk measurement——Based on GARCH-MIDAS model analysis

作　　者：王新宇[1] 朱新缘 王宁[1] 

机构地区：[1]中国矿业大学

出　　处：《价格理论与实践》2018年第10期101-104,共4页Price:Theory & Practice

基　　金：国家自然科学基金项目(项目批准号:71871215)项目名称:面向结构突变、区制转换和混频数据复杂波动特征的金融市场风险分位数测量模型和实证研究

摘　　要：债券市场作为我国金融市场的重要补充,其收益率波动对我国金融市场有着重要影响。本文通过使用广义自回归条件异方差模型（GARCH-MIDAS）,对我国债券市场收益率的波动进行分析,研究结果表明：在所有变量中,利率的水平值和上证指数收盘价对数收益率的水平值对债券市场收益率波动影响显著,而在波动层面,所有变量的波动率均对债券收益率波动影响显著。通过对我国债券市场的风险研究可以发现：债券风险较大的时期相对回报更高或者损失更重,正好吻合我国债券市场满足高风险高收益的特征。The bond market is an important supplement to China＇s financial market. The fluctuation of its yield has an important impact on China＇s financial market. This paper analyzes the fluctuation of the yield of China＇s bond market by using the generalized autoregressive conditional heteroscedasticity model（GARCH-MIDAS）. The results show that among all the variables, the interest rate level and the Shanghai Composite Index closing price logarithmic rate of return The level value has a significant impact on bond market yield volatility, while at the volatility level, the volatility of all variables has a significant impact on bond yield volatility. Through the risk research on China＇s bond market, we can find that the period of higher yield risk is higher relative to the return or the loss is more serious, which is better to match the characteristics of high-risk and high-yield in China＇s bond market.

关 键 词：债券收益率 债券市场风险 GARCH-MIDAS 混频数据 

分 类 号：F832.51[经济管理—金融学] F224