中国证券交易所国债和银行间国债指数的关联性分析

The Linkage Analysis between the Bourse and Inter-bank National Debt Indices of China

运用VAR模型、G ranger因果检验、脉冲响应分析及协整检验对证券交易所国债指数和银行间国债指数的关联性进行检验和分析。实证结果表明证券交易所国债指数对银行间国债指数有较强的引导作用,二者之间存在短期相关关系,而不存在协整关系。表明我国证券交易所国债市场和银行间国债市场趋同性还没有产生,合并条件并不成熟。证券交易所国债市场的价格发现效率高于银行间国债市场的价格发现效率,应该让更多的投资者进入银行间债券市场以及建立和完善包括做市商制度在内的交易制度。

The paper tests and analyzes the linkage between bourse and inter-bank treasury bond index by using VAR model, Granger causal test, impulse response analysis and co-integration test. The empirical results indicate that the bourse index has a strong guiding effect on the inter-bank index, and there is a short-term correlation but no significant long-term equilibrium relation between them. It demonstrates the conspiracy between bourse and inter-bank treasury bond market has not occurred. Thus, the combination condition of this two market is not mature. The price discovery efficiency of bourse treasury bond market is higher than that of inter-bank treasury bond market. More investors should be allowed to enter the inter-bank market. It is also necessary to establish and perfect the exchange mechanism such as the market -maker system.