摘要
本文通过分别对银行间债券市场和交易所债券市场建立了VAR模型和进行脉冲响应分析、方差分解分析,研究了经济变量对两个债券市场的动态影响。结果显示,通货膨胀率和市场利率的上扬会带来两个市场收益率的升高,而货币供应量、股票市场收益率的提高则会使债券市场收益率产生反方向变化,并且交易所债券市场对于经济变量的冲击更为敏感,但银行间债券市场受冲击的影响更持久。
This paper establishes the VAR model and usesthe impulse response analysis, variance decomposition analysis to study the dynamic effects of the economic variables of the inter-bank bond market and the exchange bond market. The results show that the rise of inflation rate and the interest rates will bring the two market yields up, but increase inmoney supply and the rate of return on the stock market will change the bond market yield in the opposite direction. And the exchange bond market is more sensitive to the impact of the economic variables, but the inter-bank bond market is subject to shocks more durable.
出处
《武夷学院学报》
2013年第1期71-75,共5页
Journal of Wuyi University
