银行间债券市场和交易所债券市场动态关系研究——基于DCC-MGARCH模型的分析

Research on Dynamic Correlation between Interbank Bond Market and Shanghai Exchange Bond Market: An Analysis Based on DCC-MGARCH Model

运用DCC-MGARCH模型对银行间债券市场与交易所债券市场之间的动态相关系数进行研究,并对两债券市场之间相关系数的动态时变特征进行分析。研究结果表明:银行间债券市场与交易所债券市场相关系数总体为正,波动幅度小,但时变特征不明显;两市场之间的动态相关系数随着时间的推移没有显著的提高,与其他金融市场之间的动态相关性相比,两市场动态相关系数还相对较低;债券市场的分割特征仍然明显,市场融合有很大的提升空间,这表明银行间债券市场与交易所债券市场之间的一体化进程还任重道远,故应逐步完善债券市场体系,取消市场中不合理的准入限制和市场壁垒,制定有利于两市场融合的政策法规,为建立统一互联高效的债券市场奠定良好的市场基础和制度环境。

This paper examines the dynamic correlations between Interbank Bond Market and Shanghai Stock Exchange Bond Market in China on base of the DCC-MGARCH model. The empirical results show that： the correlations of two bond markets are overall positive and volatility is lower, however, the symbol of time--varying is not obvious; the dynamic correlations are not relatively enhanced as time, which indicates that the integration of interbank bond market and stock exchange bond market is not strengthening in China. Comparing with other finance market, the dynamic correlation level is obviously low, and the symbol of division is still obvious. The government should remove unreasonable enter--limit and market barrier, and establish the policies and laws to improve the integration of two bond markets which is favorable to the formation of good market base and institutional environment to set up integrated, correlated, efficient bonds market.