基准利差与风险传染研究——跨市场间多变量实证

Benchmark Spread and Risk Contagion:A Multi Variable Empirical Study Across Markets

本文选择基准利差为研究对象,构建VAR-BEKK-GARCH模型研究跨市场风险,通过实证分析利差隐含的流动性溢价和跨市场风险传染的关联性和时变冲击效应,得出结论:一是关联性辨识认为内生变量是影响流动性溢价风险传染效应的主要因素,货币市场与债券市场存在非对称性的风险传染;二是时变分析判断期限利差和汇率存在流动性溢价风险传染效应的显著影响,且存在统计意义上的反向差异。在此基础上,本文提出策略建议:一是推进国债收益率曲线的建设,树立国债基准的市场地位,增强金融韧性;二是防范跨境资金的流动风险,坚持“中央确权、一级托管”的穿透式监管范式;三是发挥前瞻性指引功效,去芜存菁地借鉴国际经验,打通货币政策传导梗阻。

This paper chooses benchmark spread and risk contagion as the research object,and constructs VARBEKK-GARCH model to empirically analyze the risk correlation between the transmission of liquidity premium and cross market risk spillover effect implied by benchmark spread.The conclusions are as follows:First,correlation identification believes that endogenous variables are the main factors affecting the risk contagion effect of liquidity premium,and there is asymmetric risk contagion between the money market and the bond market;Second,the timevarying analysis judges that the term spread and exchange rate have significant impact on the liquidity premium risk contagion effect,and there is a statistically significant reverse difference.On this basis,this paper puts forward strategic suggestions:First,promote the construction of the national debt yield curve,establish the market position of the national debt benchmark,and enhance financial resilience;The second is to prevent the flow risk of cross-border funds and adhere to the penetrating regulatory paradigm of“central authority confirmation and primary trusteeship”;Third,give play to the forward-looking guidance effect,remove the turnips and save the pitfalls,learn from international experience,and unblock the transmission of monetary policy.