债券市场泡沫结构性分化及交叉传染效应研究

The Structural Differentiation and the Cross-contagion Effect of Bond Market Bubbles

本文基于单位根右侧ADF泡沫检验方法(BSADF),对中国不同类型债券泡沫及其存续周期时点进行了动态监测,在此基础上揭示了各类型债券泡沫的相互影响关系,最后采用R-Vine Copula模型,系统地测度了不同类型债券泡沫之间的相依结构及其交叉传染效应。研究结论表明:中国债券市场存在多个周期性泡沫,但各类债券泡沫程度分化明显;债券泡沫程度与其发行期限存在明显的反比关系;中短期债券泡沫及其持续时间明显大于长期债券;企业债泡沫在各类债券泡沫相依结构中处于中心枢纽地位,主导了整个债券市场泡沫程度及其走势;各类型债券泡沫之间大都存在非对称的上下尾相依结构,呈现出链式分布特征,且相依水平较高,均存在明显泡沫交叉传染效应。

This paper makes an empirical study on bubbles among different types of bonds and their duration in China with the backward sup ADF test method(BSADF). We reveal the mutual influences between various types of bond bubbles. We then build an R-Vine copula model to systematically measure the dependence structure between different types of bond bubbles and their cross-contagion effects. Our results show that there are several significant cyclical bubbles in China’s bond market, but the degree of bubble bursts varies significantly. There is a significant inverse relationship between the degree of bond bubble and the maturity at issuance. The shortand medium-term bond bubbles and their durations are also significantly larger than that of long-term bonds. The corporate bond bubble is pivotal in the overall bubble-related structure, which dominates the bubble level and the trend in the entire bond market. There is mostly asymmetric up-and-tail dependence among various types of bond bubbles, with a feature of the chain distribution. The level of the dependence is high, which shows a significant bubble cross-contagion effect.