發(fā)布時(shí)間：2018-06-24 03:11

  本文選題：銀行間債券市場(chǎng) + 收益率　； 參考：《蘭州大學(xué)》2012年碩士論文

【摘要】：銀行間債券市場(chǎng)經(jīng)過(guò)十幾年的發(fā)展,目前已經(jīng)逐漸成為社會(huì)的重要的投融資平臺(tái)。但是銀行間債券市場(chǎng)在為投資者提供收益的同時(shí)也面臨著潛在的風(fēng)險(xiǎn),尤其是在國(guó)內(nèi)外經(jīng)濟(jì)環(huán)境日益復(fù)雜的情況下,債券價(jià)格及其收益的變動(dòng)與整個(gè)經(jīng)濟(jì)變化緊密的聯(lián)系在一起。因此對(duì)影響我國(guó)銀行間債券投資收益率的影響因素進(jìn)行研究具有很重要的現(xiàn)實(shí)意義。 本文采用定性與定量相結(jié)合的的方法,分五個(gè)部分來(lái)對(duì)我國(guó)銀行間債券市場(chǎng)收益率影響因素進(jìn)行分析。第一部分為文章的導(dǎo)論部分,主要對(duì)本文的研究背景、研究意義以及研究現(xiàn)狀做一介紹；第二部分分別通過(guò)宏觀經(jīng)濟(jì)環(huán)境、貨幣政策、市場(chǎng)供求、相關(guān)市場(chǎng)以及市場(chǎng)預(yù)期對(duì)銀行間債券收益率造成影響的機(jī)理進(jìn)行分析,說(shuō)明這些因素對(duì)債券市場(chǎng)收益率造成影響的可能性；第三部分對(duì)我國(guó)銀行間債券市場(chǎng)收益率的影響因素進(jìn)行量化,通過(guò)實(shí)證分析得出些因素對(duì)整個(gè)市場(chǎng)收益率的影響大小和程度。第四部分分別對(duì)銀行間債券市場(chǎng)上不同期限、不同發(fā)行主體以及不同計(jì)息方式下債券收益率的影響因素進(jìn)行實(shí)證分析,得出不同債券收益率對(duì)各影響因素的敏感程度。第五部分根據(jù)實(shí)證研究的結(jié)論對(duì)銀行間債券市場(chǎng)及其投資者提出建議。 通過(guò)上述研究過(guò)程,本文得出如下結(jié)論：第一,在銀行間債券市場(chǎng)上宏觀經(jīng)濟(jì)狀況、貨幣政策、市場(chǎng)供求、相關(guān)市場(chǎng)以及市場(chǎng)預(yù)期均對(duì)銀行間債券市場(chǎng)的整體收益率產(chǎn)生影響；其中：經(jīng)濟(jì)增長(zhǎng)、利率、股票價(jià)格與市場(chǎng)預(yù)期與銀行間債券市場(chǎng)收益率呈同向變化關(guān)系；貨幣供應(yīng)量、債券價(jià)格和匯率與銀行間債券按市場(chǎng)收益率呈反向變動(dòng)關(guān)系。第二,在銀行間債券市場(chǎng)上,不同期限、不同發(fā)行主體和不同計(jì)息方式各債券收益率對(duì)各個(gè)因素的敏感度不同；對(duì)于期限不同的債券短期債券比長(zhǎng)期債券更容易受貨幣政策、外匯市場(chǎng)和市場(chǎng)供求因素的影響,宏觀經(jīng)濟(jì)對(duì)中期債券的影響較大,長(zhǎng)期債券對(duì)股票市場(chǎng)的敏感性較大；對(duì)于發(fā)行主體不同的債券,貨幣政策和匯率對(duì)企業(yè)債券的影響明顯要高于國(guó)債等信用水平高的債券,其他因素對(duì)各個(gè)債券的影響差別不是很大；對(duì)于計(jì)息方式不同的債券,市場(chǎng)上的資金供求對(duì)浮動(dòng)利率債券收益率的影響明顯大于固定利率債券。
[Abstract]:After more than ten years of development, the interbank bond market has gradually become an important investment and financing platform. However, the interbank bond market is facing potential risks while providing investors with returns, especially in the increasingly complex economic environment at home and abroad. Changes in bond prices and their yields are closely linked to changes in the economy as a whole. Therefore, it is of great practical significance to study the influencing factors of interbank bond investment yield in China. In this paper, the qualitative and quantitative methods are used to analyze the factors affecting the yield of interbank bond market in China. The first part is the introduction of the article, which mainly introduces the research background, significance and current situation of this paper. The second part introduces the macroeconomic environment, monetary policy, market supply and demand, respectively. The influence mechanism of relevant market and market expectation on the interbank bond yield is analyzed to explain the possibility of these factors influencing the bond market yield; The third part quantifies the influencing factors of the interbank bond market yield in our country. Through the empirical analysis, we get the influence of some factors on the whole market rate of return. In the fourth part, we analyze the influencing factors of bond yield under different maturity, different issuer and different interest-bearing method in the interbank bond market, and get the sensitivity of different bond yield to each factor. The fifth part gives some suggestions to the interbank bond market and its investors according to the conclusions of the empirical research. Through the above research process, this paper draws the following conclusions: first, in the interbank bond market macroeconomic situation, monetary policy, market supply and demand, related markets and market expectations all have an impact on the overall yield of the interbank bond market; Among them: economic growth, interest rate, stock price and market expectation and interbank bond market yield change in the same direction; money supply, bond price and exchange rate and interbank bond exchange rate change inversely according to market yield. Second, in the interbank bond market, the sensitivity of bond yields to various factors varies with different maturities, different issuers and different interest-bearing methods. Short-term bonds with different maturities are more susceptible to monetary policy than long-term bonds. The influence of foreign exchange market and market supply and demand factors, macroeconomic impact on medium-term bonds is greater, long-term bonds are more sensitive to the stock market; for bonds with different issuers, The influence of monetary policy and exchange rate on corporate bonds is obviously higher than that on bonds with high credit levels such as treasury bonds, while other factors do not have much different effects on individual bonds; for bonds with different interest-bearing methods, The effect of supply and demand on the yield of floating rate bonds is obviously greater than that of fixed-rate bonds.
【學(xué)位授予單位】：蘭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 胡春,仲繼銀;我國(guó)固定資產(chǎn)投資與經(jīng)濟(jì)增長(zhǎng)周期關(guān)系的實(shí)證分析[J];北京郵電大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2001年02期

2 季敏波,徐莉芳;通貨膨脹條件下債券投資價(jià)值的定量分析——以968附息國(guó)債為例[J];財(cái)經(jīng)研究;1997年10期

3 鄧洪;;我國(guó)貨幣政策調(diào)整對(duì)債券市場(chǎng)及其參與者的影響分析[J];金融論壇;2006年02期

4 陳雯,陳浪南;利率預(yù)期與市場(chǎng)有效性的實(shí)證研究[J];東南學(xué)術(shù);2000年02期

5 蔣屏;影響我國(guó)企業(yè)債券市場(chǎng)的宏觀因素實(shí)證分析[J];國(guó)際商務(wù).對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)學(xué)報(bào);2005年04期

6 楊艷林;;我國(guó)銀行間國(guó)債收益率曲線主要影響因素研究[J];市場(chǎng)經(jīng)濟(jì)與價(jià)格;2011年06期

7 楊紹基;我國(guó)銀行間債券回購(gòu)利率影響因素的實(shí)證研究[J];南方金融;2005年08期

8 董研,張可,潘W歐，

本文編號(hào)：2059736