国债市场风险收益波动模式实证研究被引量：1

Empirical Analysis of TB--Risk vs Earnings Fluctuation Model

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摘要对我国国债风险收益率的回归分析表明,国债成交量、涨幅、前一天的国债风险收益率、居民消费价格指数、央行基准利率、股指收益增长率对国债风险收益率波动过程具有较为显著的影响。

作者吴泽福吴世农

机构地区厦门大学管理学院

出处《证券市场导报》北大核心 2002年第12期18-22,共5页 Securities Market Herald

关键词国债市场风险收益波动模式实证研究中国利率生成机制影响因素

参考文献7

1Charlotte Christiansen, 2000, "Macroeconomic announcement effects on the covariance structure of government bond returns", Journal of Empirical Finance,7, pp479-507.
2Tim Bollerslev, Jun Cai, Frand M.Song, 2000, "lntraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market", Journal of Empirical Finance,7, pp37-55.
3"Sensitivity of the bank stock returns distribution to changes in the level and volatility of Interest rate: A GARCH-M model." Elyas Elyasiani, lqbal Mansur. Journal of Banking & Finance, 1998, pp535-563.
4"Fitting the term structure of interest rates for Taiwan Residents government bonds policy", Journal of Multinational Financial Management, Vol 9, 1999, pp331-352.
5上海证券交易所的国债交易开展得比较早，目前在交易规模上远远超过深↑证券交易所，所以选择上海证券交易所为研究对象。
6Ljung-Box Q统计量可以检验数据间是否存在序列相关。
7最小二乘法估计回归模型通常假设变量服从正态分布且方差是常量。而时间序列中的异方差是指时间序列的方差通常存在随时间变化而变化的现象，这与回归模型的基本假设是相V的，因而会导致模型检验和参数估计的失效。

1洪永淼,林海.中国市场利率动态研究——基于短期国债回购利率的实证分析[J].经济学（季刊）,2006,5(2):511-532. 被引量：63
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证券市场导报

2002年第12期

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