【作者】 张屹山； 杜彤伟； 杨成荣；

【Author】 ZHANG Yi-shan;DU Tong-wei;YANG Cheng-rong;Center for Quantitative Economics of Jilin University;

【机构】 吉林大学数量经济研究中心；

【摘要】 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。更多还原

【Abstract】 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 components of the two markets are affected by the volatilities of the common macroeconomic variables.Macroeconomic uncertainty 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.更多还原