中国利率市场波动溢出性和动态相关性的实证研究  

An Empirical Study on Volatility Spillover and Dynam ic Correlation o f China’s Interest Rate Market

作　　者：张翀 陈启宏[2] Zhang Chong;Chen Qihong(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;Center for Computing Science and Financial Data Research,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海财经大学金融学院,上海200433 [2]上海财经大学计算数学与金融数据研究中心,上海200433

出　　处：《统计与决策》2020年第5期133-137,共5页Statistics & Decision

基　　金：国家自然科学基金资助项目(NSFC71771142)。

摘　　要：建立和完善基于利率债和利率衍生品的利率市场是债券市场体系建设的首要任务,分析研究市场信息在上述两个市场之间的传导以及现货与衍生品的相关性对于利率市场建设有着重要意义.文章采用BEKK和DCC模型检验了利率债与利率互换之间的波动溢出效应,估计了两者之间的动态相关系数.结果表明,利率债与利率互换之间存在着显著的双向价格引导和波动溢出效应,两者相关性呈现动态时变的特征.该动态相关性受到股票、商品和货币等大类资产价格影响显著,股票和商品价格对于长短端相关性的影响方式不同,解释了利率互换作为避险工具在不同经济增长和通货膨胀预期下所起到的作用.To establish and improve the interest rate market based on interest rate bonds and interest rate derivatives is the primary task of the construction of bond market system.It is of great significance for the construction of interest rate market to ana-lyze the transmission of market information between the two markets and the correlation between spot and derivatives.This paper uses BEKK and DCC models to test the volatility spillover effect between interest rate bonds and interest rate swaps,and estimates the dynamie correlation coefficient between them.The results show that there are significant two-way price guidance and volatility spillover effect between interest rate bonds and interest rate swaps,and the correlation between the two shows the characteristics of dynamie time-varying;this dynamic correlation is significantly afected by asset prices of stocks,commodities and currencies;stock and commodity prices afet the long-term and short-term correlations in different ways,explaining the role of interest rate swap as a hedging tool under different economic growth and inflat ion expectations.

关 键 词：利率互换 债券收益率 BEKK模型 DCC-GARCH模型 大类资产价格 

分 类 号：F832[经济管理—金融学]