国债一级市场拍卖投标的影响因素研究  

Influencing factors of Chinese treasury auctions bidding in the primary market

作　　者：闫妍[1] 于浩 陈晓松 YAN Yan;YU Hao;CHEN Xiao-song(CAS Research Center On Fictitious Economy&Data Science,Beijing 100190,China;School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China;School of Systems Science,Beijing Normal University,Beijing 100875,China)

机构地区：[1]中国科学院虚拟经济与数据科学研究中心,北京100190 [2]中国科学院大学经济与管理学院,北京100190 [3]北京师范大学系统科学学院,北京100875

出　　处：《管理科学学报》2020年第4期80-97,共18页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71103179,1121403).

摘　　要：国债已经成为中国政府重要的筹资工具之一,在整个金融体系中处于核心地位.一级市场是国债流通的初始环节,拍卖结果将直接决定国债发行成本.但是由于国债一级市场公开的数据有限,国内相关研究文献较少,难以为中国国债市场进一步发展提供理论指导.本文基于2014年1月~2017年7月中国国债一级市场拍卖数据,建立市场投标函数模型,刻画拍卖投标的过程.创新性地提出通过求解非线性方程组方法计算市场投标函数参数,进而分析其影响因素.研究发现:中国国债一级市场与二级市场联系紧密,一级市场的投标利率、投标积极性和投标分散程度都受到国债二级市场到期收益率曲线、交易量和银行体系流动资金的充裕程度等因素的影响.Treasury has been one of the most important financial funding instruments of the Chinese government and the core of Chinese financial system. The primary market is the initial stage of issuance,and the auction results affect future interest costs directly. However,because of limited data published by the Ministry of Finance,there is a lack of related studies on treasury auctions in China,which impedes the development of Chinese treasury market. Based on data from January 2014 to July 2017,an innovative method is proposed to calculate the three parameters of market bid functions by solving nonlinear equations so as to analyze the factors influencing Chinese treasury auctions bidding. The result illustrates that the primary market of treasuries is highly correlated with the yield curve and trading volumes in the secondary market,and is influenced by the liquidity of the banking system.

关 键 词：国债 一级市场 市场投标函数 逻辑斯蒂曲线 

分 类 号：F812.5[经济管理—财政学]