基于VAR模型的我国主要金融市场间波动性的关系研究

本文运用VAR模型从投资收益波动性的角度分析了我国股票市场、国债市场、企业债市场、银行间拆借市场的相互关系,运用格兰杰因果检验和脉冲分解两种方法对模型进行分析,并与已有的研究结果进行对照,研究结果表明股票、国债、企业债市场之间存在较强的相互作用,银行间拆借市场与上述三个市场的关系并不十分紧密,只是会受到债券市场的微弱的影响。要规范和做大做强股票市场,大力发展国债和企业债市场,引进更多的市场参与者,完善市场的软硬件建设,加快银行利率市场化步伐。

Research on the Relationship between China's Major Financial Markets Based on the VAR Model

This paper conducts a research on the relationship between China’s stock market,bond market,corporate bond market,interbank lending market on the volatility basis using the VAR model,analyzes the model with the method of Granger causality test and pulse decomposition and compares the results with the research done by others.The result show that there is strong relationship between the stock,bond and corporate bond markets,but the relationship between the interbank lending market and the other three markets are not very close,only having weak impact.We should improve and develop the stock,the bonds and corporate bond markets,introducing more market participants,improving the software and hardware construction,and accelerating the pace of marketing of the interest rates.