银行间和交易所债券市场信息溢出效应研究

本文采用VAR模型研究了我国交易所和银行间国债市场的信息溢出效应。笔者提出以往文献对两个国债市场信息溢出的结论过于简单化,实证验证了两个市场信息溢出时既具有差异性又具有同质性,哪种性质占主导取决于新信息的来源。笔者发现当新信息来源于国债市场内部,两个国债市场会表现出差异性,溢出效应为负向,即银行间国债市场的上升预示着交易所国债市场的下降。当信息来源于国债市场外部,两个国债市场之间则先表现出同质性,溢出效应为正向;随后差异性占主导,两个国债市场之间发生信息负向溢出或资本的流动。

The Double-Side of Information Spillovers between Inter-Bank Bond Market and Exchange Bond Market

This paper applied VAR model to study the spillover effect between the exchange bond market and the inter-bank bond market during March 2003 and December 2008.Based on the limitation of previous study,this paper proposes that the two markets possess both "homogeneity" and "heterogeneity".Which characteristic dominates depends on the resource of new information.When the new information comes from the inside of either bond market,the "heterogeneity" dominates and there is negative information spillover.When the new information comes from the outside of the two markets,e.g.the macro economy,there is "homogeneity" first and two markets move in the same direction;then the "heterogeneity" shows up when there will be cash flow between the two markets or negative information spillover.