银行间债券市场与利率互换市场的联动性——基于DCC-MIDAS模型的实证

The Linkage between Inter-bank Bond Market and Interest Rate Swap Market——Based on DCC-MIDAS Model

通过建立一个两因子波动率成分模型——DCC-MIDAS模型深入研究中国银行间债券市场与利率互换市场之间的联动性。研究结果表明,两个市场之间存在显著的双向价格引导和长短期波动溢出效应;动态条件相关性为负且有逐渐增强的趋势;两个市场的长期波动受到共同的宏观经济变量波动的影响,宏观经济不确定性对两个市场的长期波动有正向影响,且对银行间债券市场长期波动的影响程度更大。

Using a two-factor volatility component model--DCC-MIDAS model, this paper examines the linkage between China＇s inter-bank bond market and interest rate swap market. The empirical results are as follows. The return spillover and the volatility spillovers （both long and short-term volatility components） are bi-directional between the two markets. The dynamic conditional correlation is negative and there is a trend to increase gradually. The long-term volatility compo- nents of the two markets are affected by the volatilities of the common macroeconomic variables. Macroeconomic uncer- tainty has a positive effect on the long-term volatility of the two markets and has a greater impact on the inter-bank bond market than the interest rate swap market.