交易所与银行间市场国债利率先导性研究

A Study of Leading Nature of Interest Rate of Treasury Bond between Stock Exchage Market and Inter-Bank Market

我国国债存在两个主要交易市场——银行间市场与交易所市场,由于相互割裂且各具特点,所得到的收益率曲线具有一定的差异。为了分辨出更有效的收益率曲线,采用Granger检验、方差分析等方法对上证所市场和银行间市场国债6个月、1年期、3年期、5年期、7年期收益率时间序列进行了研究。研究发现,两个市场收益率具有较大的相关性,但是交易所市场收益率期限结构较为陡峭,而银行间市场收益率期限结构较平坦。交易所国债收益率时间序列与银行间国债收益率时间序列在期限较短时相互影响、互为因果,但银行间收益率变化单向领先于交易所收益率变化更为显著。同时,通过方差分析发现,银行间收益率波动对交易所收益率波动的影响较大,这一点在期限较长的收益率曲线中表现尤其明显。

The inter-bank market and the stockexchange market are the most important markets of treasury bond,which separtes from each other with different interest rate curve.To find out the most representative interest rate curve,the paper uses the Granger test and VAR to analyze the relationship of the two interest rate curves of the two markets.It takes the treasure bond of 6-month,1-year, 3-year,5-year,and 7-year for instance.It is shown that the two markets are highly correlated,but the interest rate term structure of the stock exchange market is sharp while that of the inter-bank market is flat.The change of the inter-bank interest rate is prior to the change of the stock exchange interest rate. Meanwhile,the inter-bank interest rate is more influential than that of the stock exchange market.