我国债券市场脆弱性监测体系构建与实证检验

An Experimental Construction of the Monitoring System of Bond Market Fragility in China

本文借鉴结构损伤探测原理,尝试以期限利差、信用利差、流动性利差和刚兑利差作为观察债券市场整体波动脆弱点的基础,利用因子分析法构建衡量我国债券市场脆弱性的指数;运用脉冲响应分析、方差分解技术和格兰杰因果检验等方法来评估货币市场、股票市场、外汇市场、经济因素等相关指标变动对该指数的影响力度、方向及其因果关系。研究结果表明,债券市场短期具有较强的自我惯性运行特征,但从中期来看,外汇占款环比变动、名义GDP当季同比指标对债券市场脆弱性的影响力度较为显著并呈逐期加强的趋势;在正负两个方向均有一些检验显著的冲击指标;同时部分冲击指标对债券市场脆弱性的滞后影响也值得重点关注。未来,我国应进一步完善债券市场脆弱性监测体系,在出台相关宏观政策工具前应事先评估相关指标因素对债券市场的冲击力度、方向和因果关系,再合理地安排好政策出台的顺序、力度和时机,以实现高质量经济增长和防控系统性风险之间的有效平衡。

Guided by the principle of structural damage detection,this article takes term spread,credit spread,liquidity spread and rigid payment spread as indicators for the volatility of the bond market,and constructs a Bond-market Fragility Index by factor analysis method.Meanwhile,the influences and causality of bond market fragility have been evaluated by impulse responses,Granger causality test and variance decomposition method,which are caused by the volatility of the money market,stock market,FX market and other economic factors.We find that bond market runs automatically with self inertia in the short term,and stock market,economic situation and money market play a growing role in the bond market in the mid-term.There are influencing indicators which are statistically significant both positively and negatively.What's more,attention should be paid to the lagged effects of some factors to the Bond-market Fragility Index.Though the bond-market interest rates have been rising recently,the bond market still stays in a safe area benefited from the expectation of a high-quality economic growth after the 19th National Congress of the Communist Party of China.This paper suggests that the strength,position and causality of related policies to the bond market should be taken into consideration before making those policies so as to prevent Bond-market Fragility risk and to better realize the balance between quality economic growth and systematic risks prevention.And it also suggests that those results shown factors be used in assessing the implementation effect of the policy.