The Analysis Of Inner Structure And Influence Factors Of The Bond Market

The bond market in China has already formed the structure that the interbank bond market has been the main body, stock exchange bond markets and commercial bank counter markets are compatible at present. The differences in trade subject, the variety of trade and way of trusteeship, etc. are the main reasons that cause the segmentation situation of bond market. We mainly do some research on the inner structure of the bond market under the segmentation situation, that is , how is the relationship between each sub markets and how the markets influence each other. Then we analyse the volatilities state of the bond market and the influence factors of the bond market volatilities.Chapter one of this text has explained the current situation of China bond market, and analysed the main reasons that cause the segmentation situation of bond market. Discuss a great deal of questions that the state brings. Then we analyse the influence factors of the bond market combined the tendency of bond market in 2002.Chapter two introduced choosing, defines of the parameter variables, research range , materials source and model used in the article: GARCH model , VaR model , cointegration theory , ECM model , Granger causality test , spillover effects model.First part of chapter three at first set up Garch model on bond index, estimate the conditional heteroscedasticity, then according to we calculate VaR of the yield of bond market. And then we calculate VaR of the stock market in the same period with the same method, and compare the yield and risk of the bond market to that of stock market, we find that the risk of the stock market is probably about ten times of the bond market within this period of time, and the yield of the stock market is far smaller than the yield of the bond market.Second part of chapter three have carried on analysis to the inner structure of the bond market. First of all, analyse the co-integration relation of stock exchange treasury bond index and interbank treasury bond index, we receive standardized co-integration relation to be.We can find out stock exchange treasury bond index and interbank treasury bond index have the same direction change relation. The remarkable co-integration relation prove that two market can be combined on long terms, and the common secular trend exists.Then set up ECM model, the result indicates that there is long-term co-integration trend in the yield of the interbank bond market and the stock exchange bond market, and " demonstration effect " of the interbank bond market is remarkable, at the same time their volatilities in a short time has different adjustment modes. This conclusion is proved in the volatility spillover effect model. We see from the picture of pulse respond that under segmentation situation of bond market , conduction mechanism of the signals of the two markets is not unobstructed. Third part of chapter three have carried on analysis to the external factors of the bond market. First of all, analyse the co-integration relation of bond index and Shanghai exchange stock index, we receive standardized co-integration relation to be. We can find out the yield of bond index and the yield of index of Shanghai Stock Exchange have reverse direction change relation, this kind of influence is realized by fund flow.Then set up ECM model, the result indicates that there is long-term co-integration trend in the yield of the bond market and the stock market, and " demonstration effect " of the stock market is remarkable, at the same time their volatilities in a short time has different adjustment modes. Through the spillover effect model, we see volatility of Shanghai Stock Exchange index has influence to volatility of bond market index. This means that spillover effect of stock market volatility is significant. The asymmetry of spillover effect indicates that volatility has one direction influence.Chapter four is results analysis and policy recommendations. The segmentation situation of bond market still exists,But the unified condition...