国际石油价格波动对主权债券市场的影响——基于网络模型的实证研究  

The Impact of International Oil Price Fluctuations on Sovereign Bond Markets——Empirical Research Based on Network Model

作　　者：马宇 张蕾 Ma Yu;Zhang Lei(School of Finance,Shandong Technology and Business University,Yantai 264005,Shandong,China)

机构地区：[1]山东工商学院金融学院,山东烟台264005

出　　处：《金融发展研究》2022年第4期15-24,共10页Journal Of Financial Development Research

基　　金：国家社会科学基金项目“美国非常规货币政策持续性、转向条件及我国应对策略研究”(21BJY001)。

摘　　要：本文基于国际石油价格和9个主要石油进口国2004—2021年主权债券收益率数据,利用TVP-VARDY方法构建网络模型,研究国际石油价格波动对主权债券市场的溢出效应。结果表明:第一,将石油价格冲击分解为总需求冲击、预防性需求冲击和供给冲击,不同类型石油价格冲击对不同国家主权债券市场的溢出效应差别较大,且主要集中在与需求相关的冲击上;第二,石油价格冲击对债券市场的溢出效应具有时变性,溢出效应的大小与经济和地缘政治事件有关;第三,石油价格冲击的溢出效应具有较强的板块集聚特性,发展中国家和发达国家之间差异明显。研究结论对我国应对石油价格波动、维护主权债券市场安全具有重要意义。Based on the international oil price and the sovereign bond yield data of nine major oil importing countries from 2004 to 2021,this paper constructs a network model by using TVP-VAR-DY Method to study the spillover effect of international oil price fluctuations on the sovereign bond market.The results show that:firstly,oil price shocks are divided into aggregate demand shocks,preventive demand shocks and supply shocks.The spillover effects of different types of oil price shocks on sovereign bond markets of different countries are quite different,and mainly focus on demand related shocks;secondly,the spillover effect of oil price shock on bond market is time-varying,and the magnitude of spillover effect is related to economic and geopolitical events;thirdly,the spillover effect of oil price shock has strong plate agglomeration characteristics,and there are obvious differences between developing countries and the developed ones.The results of this study are of great significance for China to deal with the fluctuation of national oil price and maintain the security of sovereign bond market.

关 键 词：石油价格波动 主权债券市场 TVP-VAR-DY 

分 类 号：F830.91[经济管理—金融学]