新形势下我国债券市场风险特征研究

Research on the Risk Characteristics of China's Bond Market under the New Situation

利用随机波动分析的方法刻画债券市场波动情况,以此衡量债券市场风险特征,并运用马尔科夫区制转移模型对债券市场波动特征进行分析。结果表明,我国债券市场的低风险状态持续时间要远高于高风险状态的持续时间,2013年以后,低风险状态持续时间有所下降,而高风险状态出现频率较高。

This paper uses the method of stochastic volatility analysis to describe the fluctuation of the bond market, and use the result to measure the risk characteristics of the bond market, and further use the MS - VAR model to analyze the fluctuation characteristics of the bond market. The result shows that in China bond market, the duration of the low risk state is much higher than the duration of the high risk state. After the year of 2013, the duration of the low risk state is declining, and the high risk state is higher.