CAJ | 학술논문

我国的国债市场目前尚处于分割状态，本文从市场之间信息流动的角度出发，构建二元GARCH模型对我国两个国债交易市场之间的波动溢出效应进行研究，发现银行间市场与交易所市场存在稳定的一阶矩长期关系及二阶矩的双向信息流动；并构造时变的条件相关系数对市场一体化程度进行分析，发现总体上两市场一体化程度较差，在检验期末的时段，相关系数开始呈现上升趋势。这一结果更多地归因于两市场跨市交易品种较少、投资者结构的差异以及现行的转托管制度。
아국적국채시장목전상처우분할상태，본문종시장지간신식류동적각도출발，구건이원GARCH모형대아국량개국채교역시장지간적파동일출효응진행연구，발현은행간시장여교역소시장존재은정적일계구장기관계급이계구적쌍향신식류동；병구조시변적조건상관계수대시장일체화정도진행분석，발현총체상량시장일체화정도교차，재검험기말적시단，상관계수개시정현상승추세。저일결과경다지귀인우량시장과시교역품충교소、투자자결구적차이이급현행적전탁관제도。
In China, Government bond market has been segmented into two parts, one is for inter-bank market and another one for exchange market. In this paper, from the view of information flow, we made research for the short-run interdependence of price return and price volatility across these two markets. By utilizing VECM model and Multivariate GARCH model, we found that there is a co-integrated relationship and bilateral information flow between the two markets. We then investigate the extent to which the two markets integrated by construct conditional time-variable correlation, and find that the correlation fluctuate actively and become upward at the end of test period. These were attributed to the few of homogeneous instruments, the discrepancy of investor structure between two markets and the custody system.