Volatility Spillover Effect Of Inter-bank And Exchange Bond Market

Bond market as an important part of the financial markets in China started latewith a tortuous course. Bond market in China has experienced twists and turns in theexploratory phase and a rapid stage of development since the recovery of issuingtreasury bonds in1981. At present， Chinese bond market includes three basicsub-markets which are inter-bank market， exchange market and commercial bankscounter market. Chinese bond market is growing， but at the same time， there aremany problems that restrict its further development， especially the split state ofChinese bond market. There is fragmentation phenomenon between inter-bank bondmarket and the exchange bond market in the trading mechanism， trading principal，transaction varieties， regulatory body etc. Four fragmented phenomenon result inthat the exchange market and the OTC market can not development coordinately，impede the development of Chinese bond market seriously. In recent years， thefragmented state has improved along with the gradual increase of the cross-marketbond products. As commercial bank counter market is an extension of the inter-bankmarket， inter-bank bond market and exchange bond market as objects to study themutual relations and volatility spillover effect of two markets.The paper has five chapters. The first chapter elaborates background，ideas andinnovations of this study.. The second chapter analyzes the internal mechanism ofvolatility spillover effects， analyze their trends and characteristics through the studyof the spillover effects of volatility at home and abroad as a foreshadowing of theempirical study. The third chapter describes the theoretical basis of the application ofempirical，such as granger test， VAR model，GARCH model. The fourth chapteris the focus of this paper， make empirical analysis and test to the inter-bank bondmarket and the exchange market. In this chapter， we use a variety of econometrictest to explore the relationship between the bond markets at first， then studyspillover effects of inter-bank bond market and the exchange bond market by the BEKK-GARCH model.At the end of this paper， we get the conclusions of empirical analysis， givesome suggestions about development of bond market of China on the basis ofconclusions.