| 央票发行对债券收益率影响的实证分析 |
| |
| 引用本文： | 管圣义,魏玮.央票发行对债券收益率影响的实证分析[J].中国货币市场,2011(3):22-27. |
| |
| 作者姓名： | 管圣义 魏玮 |
| |
| 作者单位： | 中央国债登记结算有限责任公司;财政部财政科学研究所; |
| |
| 摘 要： | 文章通过对于央票招标日各期限央票、国债、金融债二级市场收益率变动特点的描述性统计,以及央票发行量对债券收益率影响的计量分析,实证考察了央票发行对债券市场收益率的影响效应。结果显示,央票招标日债券市场收益率波动性小于日常水平,且二级市场收益率与央票发行利率差值保持在合理波动范围内,体现了货币政策稳定利率的意图。
|
| 关 键 词： | 央票发行 债券收益率 实证分析 |
An empirical analysis of the effects of central bank bill issuance on bond yields |
| |
| Guan Shengyi,China Central Depository & Clearing Co.,Ltd Wei Wei,Research Institute for Fiscal Science,Ministry of Finance.An empirical analysis of the effects of central bank bill issuance on bond yields[J].China Money,2011(3):22-27. |
| |
| Authors: | Guan Shengyi China Central Depository & Clearing Co Ltd Wei Wei Research Institute for Fiscal Science Ministry of Finance |
| |
| Institution: | Guan Shengyi,China Central Depository & Clearing Co.,Ltd Wei Wei,Research Institute for Fiscal Science,Ministry of Finance |
| |
| Abstract: | Based on a statistical analysis of the features of yield changes of central bank bills,T-bonds and financial bonds with different maturities in the secondary market on the bidding date for central bank bills and a quantitative analysis of the effects of the issuance volume of central bank bills on bond yields,this paper empirically reviews the effects of central bank bill issuance on bond yields.The results show that the volatility of bond yields on the bidding date for central bank bills is lower than norm... |
| |
| Keywords: | central bank bill issuance bond yields empirical analysis |
| 本文献已被 CNKI 维普 等数据库收录！ |
