离岸与在岸人民币债券市场波动溢出效应研究——基于债券利率期限结构的分析

Research on the Volatility Spillover of Offshore and Onshore RMB Bond Market Based on Interest Rate Term Structure

随着离岸人民币债券市场的飞速发展,离岸与在岸人民币债券收益率的联动关系也在逐步深化。文章基于DCC-GARCH-BEEK(1,1)模型分别对五种不同到期期限下离岸与在岸人民币债券收益率的波动溢出效应进行实证分析。结果表明:除一年和七年的到期期限以外,其他期限的离岸与在岸人民币债券收益率之间均存在着波动溢出效应,且十年到期的债券收益率之间波动溢出效应最强。同时,一年、三年和五年到期的离岸与在岸人民币债券收益率之间均存在不同程度的正向相关关系,且五年到期债券正相关性最高,而七年和十年到期债券的动态相关性并不稳定,表现出大幅下降之后又有一定程度上升的特征。

Based on the empirical analysis of volatility spillovers under five different maturities between offshore and onshore RMB bond yields with DCC-GARCH-BEEK （1,1） model, this paper shows that： except one year, there are volatility spillovers between offshore and onshore RMB bond yields in other periods and the volatility spillover is the strongest under the maturity of ten years. At the same time, there is a positive correlation under the maturities of one year, three years and five years, and the five-year maturity bond has the highest positive correlation. While the dynamic correlation is not stable under the seven-year and ten-year maturity, presenting the characteristics of a certain degree rise after a substantial decline.