我国债券市场价格非对称性波动研究被引量：11

On the Asymmetry Fluctuation of Price in Chinese Bond Market

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摘要本文应用STAR-ARCH模型和EGARCH模型来检验交易所和银行间债券市场杠杆效应存在情况,发现交易所债券市场价格波动中存在明显的杠杆效应,而银行间市场却不存在,这说明两个债券市场对不同的政策干预和信息冲击具有不同程度的反应,论文对这个结果的原因进行了分析,认为管理层在制定宏观政策时要充分考虑这种现象,并推动债券市场的统一进程。 In the paper, the level effect in China bond markets is tested by STAR -ARCH model and EGARCH. It is found that the bond price fluctuation in SSE bond markets shows its asymmetry obviously, but the inter -bank bond market is symmetry. In the end,the paper suggests that the authority should pay attention to this phenomenon when making macro policies.

作者徐小华何佳吴冲锋

机构地区上海交通大学安泰经济与管理学院香港中文大学财务学系

出处《金融研究》 CSSCI 北大核心 2006年第12期14-22,共9页 Journal of Financial Research

关键词波动性杠杆效应平滑自回归 ARCH模型 fluctuation level effect STAR ARCH

分类号 F832.51 [经济管理—金融学] F224 [经济管理—国民经济]

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