摘要
随着《关于规范金融机构资产管理业务的指导意见》的正式实施,银行理财产品在债券市场与货币市场的投资比重增大,分析投资者所承担的金融市场风险溢出效应,有利于投资者对银行理财产品进行选择。本文运用溢出指数法测度债券市场与货币市场风险溢出对银行理财产品收益率的效应或者风险贡献,并运用GARCH模型检验溢出指数法测度的有效性,继而就《关于规范金融机构资产管理业务的指导意见》实施前后的影响进行对比分析。研究表明:债券市场对银行理财产品投资收益有相对较大的风险溢出效应,货币市场的风险溢出效应相对较小,且债券市场变化对银行理财产品投资收益的影响存在滞后效应。《关于规范金融机构资产管理业务的指导意见》实施前后,债券市场、货币市场对银行理财产品投资收益的风险溢出效应呈现前高后低。《关于规范金融机构资产管理业务的指导意见》实施后,债券市场和货币市场对银行理财产品收益的风险溢出效应并没有因投资比重增加而显著增强。未来,银行理财产品投资者承担的风险主要来源于银行的投资管理。银行需要在债券市场进一步加强投资管理,以降低银行理财产品投资者的风险。
After the implementation of the New Asset Management Regulation,the proportion of bank financial products in the bond market and money market has increased.Analyzing the spillover effect of financial market risks borne by investors is helpful for investors to choose bank financial products.This paper tries to measure the effect of risk spillover in bond market and money market on the yield rate of bank financial products,or the risk contribution to it by adopting spillover index approach,and GARCH model is used to test the effectiveness of the spillover index approach.Furthermore,the influence before and after the implementation of the New Asset Management Regulation is compared and analyzed.The research shows that:the bond market has a relatively large risk spillover effect on the investment return of bank financial products,the risk spillover effect in money market is relatively small,and the bond market changes have a lagging effect on the investment returns of bank financial products.Before and after the implementation of the New Asset Management Regulation,the risk spillover effect in bond market and money market on the investment return of bank financial products is higher before and lower after;After the implementation of the New Asset Management Regulation,the risk spillover effect in bond market and money market on the investment return of bank financial products has not significantly enhanced due to an increase in investment proportion.In the future,the risk borne by the investors of bank financial products mainly comes from the investment management of banks.Since the end of the transition period of the New Asset Management Regulations,banks need to further strengthen investment management in the bond market to reduce the risk of in bank financial products.
作者
龙林茂
郑琦
田亚军
Long Linmao;Zheng Qi;Tian Yajun(College of Statistics,Lanzhou University of Finance and Economics,Lanzhou,Gansu Province 730020)
出处
《财经理论研究》
2024年第1期12-25,共14页
Journal of Finance and Economics Theory
关键词
金融市场风险溢出
资管新规
银行理财产品收益
spillover effect of financial market
New Asset Management Regulation
returns of bank financial products
