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随着离岸人民币债券市场的飞速发展,离岸与在岸人民币债券收益率的联动关系也在逐步深化。文章基于DCC-GARCH-BEEK(1,1)模型分别对五种不同到期期限下离岸与在岸人民币债券收益率的波动溢出效应进行实证分析。结果表明:除一年和七年的到期期限以外,其他期限的离岸与在岸人民币债券收益率之间均存在着波动溢出效应,且十年到期的债券收益率之间波动溢出效应最强。同时,一年、三年和五年到期的离岸与在岸人民币债券收益率之间均存在不同程度的正向相关关系,且五年到期债券正相关性最高,而七年和十年到期债券的动态相关性并不稳定,表现出大幅下降之后又有一定程度上升的特征。
With the rapid development of offshore RMB bond market, the linkage between offshore and onshore Renminbi bond yields is also gradually deepening. Based on the DCC-GARCH-BEEK (1,1) model, this paper empirically analyzes the volatility spillover effects of offshore and onshore Renminbi bonds under five different maturities. The results show that, except for one and seven year expiration dates, there are volatility spillover effects between the offshore and onshore Renminbi bonds of other maturities, and the volatility spillover effect between the ten-year bond yields The strongest At the same time, there is a certain degree of positive correlation between the offshore and onshore Renminbi bonds with maturities of one, three and five years due to maturities, and the five-year bonds have the highest positive correlations, while the bonds with maturities of seven and ten The dynamic correlation of the maturities of bonds is not stable, showing a sharp rise to a certain extent after the decline.