利率市场化对储蓄国债发行影响的研究:基于向量自回归模型(VAR)分析

Study on the Effects of Interest Rate Marketization on Savings Bonds Issued:Based on VAR Model

本文以广西2008至2012年的储蓄国债发售、银行代客理财资金和储蓄存款规模这三大主要金融投资产品为研究对象,通过构建向量自回归模型(VAR)以及脉冲响应函数,分析货币市场利率波动与主要金融产品之间的互动影响关系。实证分析表明,储蓄国债与其他主要金融产品存在互动影响关系,货币市场利率波动能够传导至储蓄国债的发售。此外在羊群效应的影响下,储蓄国债和其他金融产品销售具有阶段性同步特征。

By constructing Vector Auto-Regression （VAR）model and function of impulse response, which base on the sale of savings bonds in Guangxi 2008-2012, bank agent funds and the scale of savings deposits, this article analyzes the interaction or relationship between interest rate of money market and major financial products. Empirical analysis shows that there are some interactional relationship between savings bonds and other financial products, and the fluctuations of interest rate in money market can affect the sale of savings bonds. Due to herd effect, the sale of savings bonds has staged synchronous feature with other major financial products.