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

【摘要】：銀行間債券市場經過十幾年的發(fā)展,目前已經逐漸成為社會的重要的投融資平臺。但是銀行間債券市場在為投資者提供收益的同時也面臨著潛在的風險,尤其是在國內外經濟環(huán)境日益復雜的情況下,債券價格及其收益的變動與整個經濟變化緊密的聯系在一起。因此對影響我國銀行間債券投資收益率的影響因素進行研究具有很重要的現實意義。 本文采用定性與定量相結合的的方法,分五個部分來對我國銀行間債券市場收益率影響因素進行分析。第一部分為文章的導論部分,主要對本文的研究背景、研究意義以及研究現狀做一介紹；第二部分分別通過宏觀經濟環(huán)境、貨幣政策、市場供求、相關市場以及市場預期對銀行間債券收益率造成影響的機理進行分析,說明這些因素對債券市場收益率造成影響的可能性；第三部分對我國銀行間債券市場收益率的影響因素進行量化,通過實證分析得出些因素對整個市場收益率的影響大小和程度。第四部分分別對銀行間債券市場上不同期限、不同發(fā)行主體以及不同計息方式下債券收益率的影響因素進行實證分析,得出不同債券收益率對各影響因素的敏感程度。第五部分根據實證研究的結論對銀行間債券市場及其投資者提出建議。 通過上述研究過程,本文得出如下結論：第一,在銀行間債券市場上宏觀經濟狀況、貨幣政策、市場供求、相關市場以及市場預期均對銀行間債券市場的整體收益率產生影響；其中：經濟增長、利率、股票價格與市場預期與銀行間債券市場收益率呈同向變化關系；貨幣供應量、債券價格和匯率與銀行間債券按市場收益率呈反向變動關系。第二,在銀行間債券市場上,不同期限、不同發(fā)行主體和不同計息方式各債券收益率對各個因素的敏感度不同；對于期限不同的債券短期債券比長期債券更容易受貨幣政策、外匯市場和市場供求因素的影響,宏觀經濟對中期債券的影響較大,長期債券對股票市場的敏感性較大；對于發(fā)行主體不同的債券,貨幣政策和匯率對企業(yè)債券的影響明顯要高于國債等信用水平高的債券,其他因素對各個債券的影響差別不是很大；對于計息方式不同的債券,市場上的資金供求對浮動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.
【學位授予單位】：蘭州大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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本文編號：2059737