【摘要】 本文基于离岸人民币债券市场价格数据,识别离岸人民币债券市场跳跃行为,并研究了中国大陆与香港的宏观经济信息发布对跳跃的波动过程的影响。根据扩展后的BNS跳跃识别法,检测到离岸人民币债券市场存在价格跳跃行为,但总体来说跳跃是罕见的波动行为,且存在负向跳跃比正向跳跃更加频繁的特点。宏观经济信息按照指标类型和来源地分类,发现跳跃发生与信息发布存在紧密联系,跳跃发生在宏观经济信息发布日前后的概率都超过0.9。引入Probit模型和多元线性回归模型,将已实现波动分解为跳跃波动和连续波动,然后分别建模,发现来源于大陆的信息变量为显著的数量明显多于香港的信息变量;信息发布对跳跃波动的影响大于对已实现波动和连续波动的影响;信息在价格跳跃中的反馈多为即时的。更多还原

【Abstract】 This paper identifies jumps in offshore RMB bond market and studies the impact of macroeconomic announcements from mainland China and Hong Kong on jump volatility process. We find that jumps are rare in price volatility,and negative jumps occur more frequently than positive jumps. Macroeconomic information is categorized based on events and districts. We find that jumps observed around information announcement days make up more than 0.9 of all the jumps,so there is a correlation between jumps and information announcements. The results are as follows:First, there are more significant independent variants from Mainland information than from Hong Kong information. Second,jump volatility is more closely correlated with information announcements than realized volatility or continuous volatility. Finally, jumps response immediately after information shocks.更多还原