转型中的政策性银行金融债
|
摘要
通过三十余年的渐进式改革,我国经济发展模式逐步从计划经济步入市场经济,但中国金融改革依然任重道远。政策性银行的成立具有独特的经济背景,随着发展环境的变化,其内生性改革动力亦不断增强。中央经济工作会议已明确提出,未来国家开发银行、中国进出口银行和中国农业发展银行要按照“一行一策”的原则逐步进行改革。政策性银行以发行金融债券为主要资金来源,目前政策性银行金融债券已成为我国债券市场规模第二大的券种,我国政策性银行金融债历来享有国家主权信用,其风险等级与国债相同。然而,随着政策性银行的改革转型,政策性银行发行债券的风险权重由享受国家主权信用的零风险权重即将转为商业机构的20%的风险权重,在转型期间,政策性银行金融债券的属性将表现出新的特点。收益率、波动性和流动性是金融资产共有的三大属性,分别体现了资产的收益性、安全性和变现能力。本文以政策性银行的转型为研究背景,以政策性银行金融债的收益和风险为出发点,全面系统地研究了其利率期限结构、市场风险、流动性风险和信用风险,并结合理论与实证研究的结果提出了相应的政策建议。
本文旨在运用理论与实践相结合的分析框架与方法,引用经济学的其他分支以及数学的重要原理,同时在翔实数据的基础上运用计量方法对转型期的政策性银行金融债进行研究。在理论方面,回顾我国政策性银行及政策性银行金融债的发展历程,综述政策性银行金融债的研究文献,阐明政策性银行金融债与政策性银行的关系,探讨政策性银行金融债发行与交易的意义等。在实证方面,结合中国政策性银行的相关数据对政策性银行金融债的利率期限结构、市场风险、流动性风险、信用风险性逐一进行分析,进而研究政策性银行金融债满足政策性银行融资需求及商业银行调节资产配置需求的作用机制。
文章采用主成份分析法提取出独立成分对利率期限结构进行替代,提取出了代表水平移动成分、斜率变动成分和曲线变动的三个主成份,发现政策性银行金融债收益率曲线水平因素影响非常大,而倾斜因素与曲度因素影响很小,表现出市场对政策性银行金融债的投资趋于理性,没有出现较多的债券集中炒作和过度投机。
通过VAR-GARCH模型的经验分析表明,通货膨胀率越高,政策性银行金融债收益率越低。通货膨胀代表资金流动性充裕,商业银行基于资产调整效应、财富效应以及市场预期效应造成政策性银行金融债价格上涨,从而收益率降低。从紧的货币政策也将通过上述效应提高政策性银行金融债收益率。说明我国银行间债券市场的传导机制存在一定的连带性。Granger因果检验和脉冲响应结论表明央行的货币政策改变对政策性银行金融债收益率造成了影响,且通货膨胀的预期冲击具有持久性,投资者对央行货币政策持信任态度。
本文使用聚类分析的方法对众多备选的流动性衡量指标进行降维,发现政策性银行金融债流动性总体呈现出平稳上升的态势,从2005年9月份开始,不仅流动性的波动性大大减小了,更呈现出平稳的上升趋势,特别是2007年以后,我国政策性银行的金融债的流动性有了很大的改善,同时发现交易的活跃程度和竞争程度与证券的流动性负相关,信息、风险与流动性正相关。
结合我国金融债市场的具体情况,本文采用情景分析法模拟了政策性银行金融债的信用评级变化债券持有人和金融市场的影响,通过选取一组风险因素作为所需要的测试情景,分析测试对象在该情景下可能受到的最大损失。研究发现下调信用评级,对债券持有人的造成损失,调整幅度越大、期限越长对债券持有者造成的损失越大,还会加剧债券市场价格的波动,增加系统性风险。基于实证研究分析了计算了在不同风险权重下,银行间市场做市商的16家国内商业银行的资本充足率的变化,研究发现在核心资产不变的情况下,商业银行的资本充足率会下降,但是这种冲击造成的影响并不大,即使风险权重增加到最大值20%,16家银行依旧满足巴塞尔资本协议规定的商业银行资本充足率不得低于8%的要求。
Through30years'gradual reforming, our country has successfully changed from Planned Economy Model to Market Economy Model. But in terms of the development of financial market, there is still a long way to go. Policy banks born in a special economic background, whose endogenous power for marketization enhance continuously with the change of the development environment. The national financial work conference has indicated definitely that, China Development Bank, The Export-Import Bank of China, Agricultural Development Bank of China must push forward reform under the principle'One Bank, One Policy'. The main financing of Policy banks is achieved by issuing financial bond. The policy financial bond has been the second largest issuing in bond market, which has traditionally enjoyed a national credit guaranteed by the State and has the same level of risk with treasure bonds. However, with the commercialization reform of the State Development Bank, the risk weighted will increased from zero to20%, which is same with the commercial organizations. During the transition period, the attributes of policy financial bonds will bring out new features. The rate of return, volatility and liquidity are three attributes of financial assets which reflect the return, security and liquidity. In this paper, take the transformation of policy banks as the research background, we start at the return and risk of policy financial bonds, and study of the term structure, market risk, liquidity risk and credit risk systematically. Combined with theoretical and empirical results we put up with the corresponding policy recommendations.
This article researched the return rate of policy financial bond, we researches the return rate curve and the term structure of interest rate using method of Principal Component Analysis(PCA) and GARCH model, and conclude that we can analyze the term structure of interest rate of policy financial bond with few principal component. The return volatility also has the character of clustering, just like the volatility of other interest rate products; with time series VAR model, Granger causality test and Impulse Response analysis methods, we researches the return rate of policy financial bond and the instrument of macroeconomic policy, we conclude that the policy change of central bank does have an impact on the return rate of policy financial bond, moreover, the shock of inflation expectation persists, investors trust the policy of central bank.
This article researches the liquidity of policy bonds exchanged between banks. And analyze the basic liquidity problems of the policy financial bond of our country, then discuss the impacts on the liquidity of policy financial bonds through6aspects: trading system, trade cost, market transparency, trade category, market participant and macro factors. We summarize the measuring methods of bond liquidity, and calculate the liquidity of policy financial bonds of our country with effective methods. With the empirical research of the factors that impact the liquidity of policy financial bond of our country, we concluded that average trade volume, risk, residual maturity and the coupon rate of bond have significant impacts on the liquidity of our country, while trade volume have positive impacts, and information transparency and distribution volume have little impacts. Finally we proposed some actions to smooth the liquidity of policy financial bond of our country from4aspects:product innovation, distribution frequency, market maker and regular construction.
The article also analyzes the factors that determine the credit risk of policy financial bonds of our country from three aspects:service quality of bank, supports from government and macroeconomic cycle, and conclude these decisive factors. Combing with the existing operation mechanism of Chinese policy banks, we analyzed how credit impact on holders, price and market risk of the policy financial bonds of our country, and how the risk weight of policy financial bank impacts the capital adequacy of commercial bank, our research indicates while the weight of bond increases, the capital adequacy of commercial banks decreases. At last we discusses the innovation and development of the policy financial bond, and analyzes the necessity and feasibility of policy financial bond innovation, and demonstrates from two aspects:exist problems and superiority of innovation. Then we analyze what we can learn from other countries that do well on policy bond.
本文旨在运用理论与实践相结合的分析框架与方法,引用经济学的其他分支以及数学的重要原理,同时在翔实数据的基础上运用计量方法对转型期的政策性银行金融债进行研究。在理论方面,回顾我国政策性银行及政策性银行金融债的发展历程,综述政策性银行金融债的研究文献,阐明政策性银行金融债与政策性银行的关系,探讨政策性银行金融债发行与交易的意义等。在实证方面,结合中国政策性银行的相关数据对政策性银行金融债的利率期限结构、市场风险、流动性风险、信用风险性逐一进行分析,进而研究政策性银行金融债满足政策性银行融资需求及商业银行调节资产配置需求的作用机制。
文章采用主成份分析法提取出独立成分对利率期限结构进行替代,提取出了代表水平移动成分、斜率变动成分和曲线变动的三个主成份,发现政策性银行金融债收益率曲线水平因素影响非常大,而倾斜因素与曲度因素影响很小,表现出市场对政策性银行金融债的投资趋于理性,没有出现较多的债券集中炒作和过度投机。
通过VAR-GARCH模型的经验分析表明,通货膨胀率越高,政策性银行金融债收益率越低。通货膨胀代表资金流动性充裕,商业银行基于资产调整效应、财富效应以及市场预期效应造成政策性银行金融债价格上涨,从而收益率降低。从紧的货币政策也将通过上述效应提高政策性银行金融债收益率。说明我国银行间债券市场的传导机制存在一定的连带性。Granger因果检验和脉冲响应结论表明央行的货币政策改变对政策性银行金融债收益率造成了影响,且通货膨胀的预期冲击具有持久性,投资者对央行货币政策持信任态度。
本文使用聚类分析的方法对众多备选的流动性衡量指标进行降维,发现政策性银行金融债流动性总体呈现出平稳上升的态势,从2005年9月份开始,不仅流动性的波动性大大减小了,更呈现出平稳的上升趋势,特别是2007年以后,我国政策性银行的金融债的流动性有了很大的改善,同时发现交易的活跃程度和竞争程度与证券的流动性负相关,信息、风险与流动性正相关。
结合我国金融债市场的具体情况,本文采用情景分析法模拟了政策性银行金融债的信用评级变化债券持有人和金融市场的影响,通过选取一组风险因素作为所需要的测试情景,分析测试对象在该情景下可能受到的最大损失。研究发现下调信用评级,对债券持有人的造成损失,调整幅度越大、期限越长对债券持有者造成的损失越大,还会加剧债券市场价格的波动,增加系统性风险。基于实证研究分析了计算了在不同风险权重下,银行间市场做市商的16家国内商业银行的资本充足率的变化,研究发现在核心资产不变的情况下,商业银行的资本充足率会下降,但是这种冲击造成的影响并不大,即使风险权重增加到最大值20%,16家银行依旧满足巴塞尔资本协议规定的商业银行资本充足率不得低于8%的要求。
Through30years'gradual reforming, our country has successfully changed from Planned Economy Model to Market Economy Model. But in terms of the development of financial market, there is still a long way to go. Policy banks born in a special economic background, whose endogenous power for marketization enhance continuously with the change of the development environment. The national financial work conference has indicated definitely that, China Development Bank, The Export-Import Bank of China, Agricultural Development Bank of China must push forward reform under the principle'One Bank, One Policy'. The main financing of Policy banks is achieved by issuing financial bond. The policy financial bond has been the second largest issuing in bond market, which has traditionally enjoyed a national credit guaranteed by the State and has the same level of risk with treasure bonds. However, with the commercialization reform of the State Development Bank, the risk weighted will increased from zero to20%, which is same with the commercial organizations. During the transition period, the attributes of policy financial bonds will bring out new features. The rate of return, volatility and liquidity are three attributes of financial assets which reflect the return, security and liquidity. In this paper, take the transformation of policy banks as the research background, we start at the return and risk of policy financial bonds, and study of the term structure, market risk, liquidity risk and credit risk systematically. Combined with theoretical and empirical results we put up with the corresponding policy recommendations.
This article researched the return rate of policy financial bond, we researches the return rate curve and the term structure of interest rate using method of Principal Component Analysis(PCA) and GARCH model, and conclude that we can analyze the term structure of interest rate of policy financial bond with few principal component. The return volatility also has the character of clustering, just like the volatility of other interest rate products; with time series VAR model, Granger causality test and Impulse Response analysis methods, we researches the return rate of policy financial bond and the instrument of macroeconomic policy, we conclude that the policy change of central bank does have an impact on the return rate of policy financial bond, moreover, the shock of inflation expectation persists, investors trust the policy of central bank.
This article researches the liquidity of policy bonds exchanged between banks. And analyze the basic liquidity problems of the policy financial bond of our country, then discuss the impacts on the liquidity of policy financial bonds through6aspects: trading system, trade cost, market transparency, trade category, market participant and macro factors. We summarize the measuring methods of bond liquidity, and calculate the liquidity of policy financial bonds of our country with effective methods. With the empirical research of the factors that impact the liquidity of policy financial bond of our country, we concluded that average trade volume, risk, residual maturity and the coupon rate of bond have significant impacts on the liquidity of our country, while trade volume have positive impacts, and information transparency and distribution volume have little impacts. Finally we proposed some actions to smooth the liquidity of policy financial bond of our country from4aspects:product innovation, distribution frequency, market maker and regular construction.
The article also analyzes the factors that determine the credit risk of policy financial bonds of our country from three aspects:service quality of bank, supports from government and macroeconomic cycle, and conclude these decisive factors. Combing with the existing operation mechanism of Chinese policy banks, we analyzed how credit impact on holders, price and market risk of the policy financial bonds of our country, and how the risk weight of policy financial bank impacts the capital adequacy of commercial bank, our research indicates while the weight of bond increases, the capital adequacy of commercial banks decreases. At last we discusses the innovation and development of the policy financial bond, and analyzes the necessity and feasibility of policy financial bond innovation, and demonstrates from two aspects:exist problems and superiority of innovation. Then we analyze what we can learn from other countries that do well on policy bond.
引文
[1]马君潞、牛凯龙,中国资本市场结构矛盾和系统风险,[J].南开经济研究,2004年02期
[2]马君潞、范小云、曹元涛,中国银行间市场双边传染的风险估测及其系统性特征分析,[J].经济研究,2007年01期
[3]马君潞、于红鑫、魏凤春,财务约束、银行家行为与金融创新研究,[J].国际金融研究,2007年12期
[4]牛凯龙、马君潞、范小云,动态一致、制度耦合与中国金融发展悖论一对转轨时期中国金融发展“麦金农之谜”的解释,[J].中央财经大学学报,2010年09期
[5]巴曙松,中国债券市场的发展及对利率政策、银行风险管理的影响,[J].金融研究,2000年02期
[6]巴曙松、韩明睿,基于SVAR模型的金融形势指数,[J].宏观经济研究,2011年04期
[7]巴曙松、袁平等,商业银行流动性管理研究文献综述,[J].金融教学与研究,2007年12期
[8]袁伟彦、李文溥,中国货币政策的汇率传递效应及形成机制一基于SVAR与动态一般均衡(DGE)模型的分析,[J].管理世界,2010年12期
[9]朱世武、陈健恒,交易所国债利率期限结构实证研究,[J].金融研究,2003年10期
[10]谢海玉,我国债券收益率变动分析,[J].国际金融研究,2004年07期
[11]唐毅亭、韩冬、卢宇荣,公开信息与流动性-基于银行间债券市场的实证研究,[J].金融研究,2006年09期
[12]姚长辉、梁跃军,我国国债收益率曲线的实证研究,[J].金融研究,1998年08期
[13]郭涛、宋德勇,中国利率期限结构的货币政策含义,[J].经济研究,2008年03期
[14]杨大楷、杨勇,关于我国国债收益率曲线的研究,[J].财经研究,1997年07期
[15]周子康、王宁、杨衡,中国国债利率期限结构模型研究与实证分析,[J].金融研究,2008年03期
[16]胡志强、王婷,基于Nelson-Siegel模型的国债利率期限结构预测,[J].经济评论,2009年06期
[17]谭地军、田益祥、黄文光,流动性补偿、市场内及跨市场“流动性转移”行为,[J].金融研究,2008年09期
[18]王一鸣、李剑峰,我国债券市场收益率曲线影响因素的实证分析,[J].金融研究,2005年01期
[19]郭涛、宋德勇,中国利率期限结构的货币政策含义,[J].经济研究,2008年03期
[20]王鸣、李剑峰,我国债券市场收益率曲线影响因素的实证分析,[J].金融研究,2005年01期
[21]杨晔,我国企业债券市场利率环境的实证研究,[J].金融研究,2008年02期
[22]朱世武、许凯,银行间债券市场流动性研究,[J].统计研究,2004年11期
[23]陈雯、陈浪南,国债利率期限结构：建模与实证,[J].世界经济,2000年08期
[24]吕江林、姜光明,交易所债券市场价格波动率特性研究,[J].金融研究2004年12期
[25]何平、金梦,信用评级在中国债券市场的影响力,[J].金融研究2010年04期
[26]刘金全、王勇、张鹤,利率期限结构与宏观经济因素的动态相依性—基于VAR模型的经验研究,[J].财经研究,2007年05期
[27]李宏瑾,我国中期通货膨胀压力预测—基于银行间市场国债收益率曲线的经验研究,[J].经济评论,2011年01期
[28]靳简,干预性事件对国债收益率的影响,[J].证券市场导报,2004年05期
[29]李彪、杨宝臣,我国货币政策对收益率曲线效应关系的实证研究,[J].上海金融,2006年04期
[30]石柱鲜、孙皓、邓创,中国主要宏观经济变量与利率期限结构的关系：基于VAR-ATSM模型的分析,[J].世界经济,2008第3期
[31]宋福铁、陈浪南等,国债收益率曲线坡度的货币政策含义,[J].上海金融,2004年05期
[32]孙皓、石柱鲜,中国利率期限结构中的宏观经济风险因素分析—基于宏观-金融模型的研究途径,[J].经济评论2011年3期
[33]孙皓、石柱鲜,中国的货币政策与利率期限结构：基于宏观—金融模型的研究途径,[J].经济科学,2011年01期
[34]徐小华、何佳,利率期限结构中的货币政策信息,[J].上海金融,2007年01期
[35]李宏瑾、钟正生、李晓嘉,利率期限结构、通货膨胀预测与实际利率,[J].世界经济,2010年10期
[36]刘斌,我国DSGE模型的开发及在货币政策分析中的应用,[J].金融研究,2008年10期
[37]王云升、杨柳,宏观经济统计数据公布对中国金融市场影响的实证研究,[J].上海金融,2008年07期
[38]时文朝、张强,透明度对银行间债券市场流动性变化趋势的影响,[J].金融研究,2008年12期
[39]王茵田,中国股票市场风险溢价研究,[J].金融研究,2011第7期
[40]陈秀梅,我国债券市场信用风险管理的现状及对策建议,[J].宏观经济研究,2012年02期
[41]《商业银行资本管理办法(试行)》,中国银行业监督管理委员会,2012年6月7日
[42]杨童舒,中国政策性银行股份制改革战略选择--基于业务模式视角,[J].中国流通经济,2012年03期
[43]王兰军、张合金,我国政策性银行的经营风险及其防范研究,[J].财经研究,2001年05期
[44]许良,对我国政策性银行商业化运作问题的探析与展望,[J].经济学动态,2010年09期
[45]于炳华,当前金融危机背景下政策性银行转型与职能重构,[J].财经科学,2009年05期
[46]刘克崮,借鉴国际经验加快推进我国政策性银行发展—哈、俄、德发展政策性银行的经验与启示,[J].管理世界,2006年03期
[47]王伟,当代国外政策性银行发展战略的调整及对我国的启示,[J].上海金融,2007年06期
[48]蔡国辉,论我国政策性银行改革,[J].财政金融,2011年05期
[49]白钦先、王伟,政策性金融可持续发展必须实现的“六大协调均衡”,[J].金融研究,2004年07期
[50]陈元,发挥开发性金融作用促进中国经济社会可持续发展,[J].管理世界,2004年07期
[51]白静,银行间债券市场发展与货币政策传导机制研究,[D].博士学位论文,2008,西南财经大学
[52]康书隆,国债利率的风险特征、变化规律及风险管理研究,[D].博士学位论文,2010,东北财经大学
[53]曾志坚,股票与债券市场间收益率及流动性联动关系研究,[D].博士学位论文,2006,湖南大学
[54]赵丽琴,基于Coupla函数的金融风险度量研究,[D].博士学位论文,2009,厦门大学
[55]高铁梅等,计量经济分析方法与建模：EViews应用及实例,[M].清华大学出版社,2009
[56]巴曙松、孙隆新、牛播坤,政策性银行商业化改革对债券市场的影响研究,[M].经济科学出版社,2010
[57]杨玉明,信用风险评估—方法、模型、应用,[M].清华大学出版社,2004
[58]法博齐,债券市场：分析与策略(第七版)(金融学译丛),[M].中国人民大学出版社,2011
[59]曹海珍,中国债券市场发展的理论与实践,[M].中国金融出版社,2006
[60]白钦先、曲昭光,各国政策性金融机构比较,[M].中国金融出版社,1993
[61]瞿强,经济发展中的政策金融—若干案例研究,[M].中国人民大学出版社,2000
[62]时文朝,中国债券市场：发展与创新,[M].中国金融出版社,2011
[63]孙泽蕤,公司债券价格与信用风险研究,[M].上海人民出版社,2009
[64]国家开发银行、中国人民大学联合课题组,开发性金融与中国债券市场创新,[M].中国人民大学出版社,2007
[65]Arinaminpathy Nimalan, Kapadia Sujit, May Robert M, Size and complexity in model financial systems, [J].Proceedings of the National Academy of Sciences of the United States of America,2012, Vol.109 (45), pp.18338-43
[66]Alan. Olmstead, Investment Constraints and New York City Mutual Saving Bank Financing of Antebellum Development, [J].The Journal of Economic History, Vol.32.No.4(Dce.,1972):811-840
[67]Antonio Vives and Kim Staking, Policy-Based and Market Alternatives:East Asian Lessons for Latin America and the Caribbean, Section Four,Junel 997:163-182
[68]Levine R., Loavza N.,2000, Finance and the sources of growth, [J] Journal of Financial Economics 58,261-300
[69]Calomiris, Charles W, and Charles P. Hinunelberg(1994), Directed Credit Programs for Agriculture and Industry:Arguments from Theory and Fact, Proceedings of the world Bank Annual Conference on Development Economics,1993:113-137
[70]Ang A., Piazzesi M. A no-arbitrage vector autoregression of term structure dynamics with macroecomic and latent variables, [J] Journal of Monetary Economics,2003,50:745-787
[71]Diebold Francis X., Monika Piazzesi, Genn D. Rudebusch. Modeling bond yields in finance and macroeconomics, [J].The American Economic Review, 2005,5:415-420
[72]Estrella A., Mishkin F.S.The Predictive Power of the Term Structure of Interest Rates in Europe and the United States:Implications for the European Central Bank, [J].European Economics Review,1997,41:1375-1401
[73]Evans, C.L., Marshall, D.A. Monetary policy and the term structure of nominal interest rates:evidence and theory, [J].Carnegie-Rochester Conference Series on Public Policy,1998,49:53-111
[74]Fama, E.,1990, Term structure forecasts of interest rates, inflation, and real returns, [J] Journal of Monetary Economics,25:59-76
[75]Goodfriend,Marvin,1997, Monetary Policy comes of Age:A 20th Century Odyssey, Federal Reserve Bank of Richmond Economic Quarterly,Vol.83:1-22
[76]Jack Carr and Lawrence B.Smith, Money Supply, Interest Rates, and the Yield Curve, [J] Journal of Money, Credit and Banking, Vol.4,No.3(Aug.,1972),PP.582-594
[77]Mishkin,F.S., What Does the Term Structure Tell Us About Future Inflation? [J] Journal of Monetary Economics,25(January),1990:77-95
[78]Mishkin,F.S., The Information in the Longer-Maturity Term Structure About Future Inflation, [J].Quarterly Journal Of Economics,55(August), 1990,:815-828
[79]Amihud Y.,Mendelson H., Liquidity,Volatility,and Exchange Automation, [J] Journal of Accounting,Auditing,and Finance,1988,Vol.3, Fall, pp.369-395
[80]Amihud Y.,2002, Liquidity and stock returns:cross-section and time series effects, [J] Journal of Financial Markets, VO1.5, pp.31-56
[81]Black, Fischer, Toward a Fully Automated Stock Exchange, [J].Financial Analysts Journal,1971, Vol.27, pp.24-30
[82]BIS,1999, Market Liquidity:Research Findings and Selected Policy Implications,CGFS study group,Basel,Switzerland
[83]Chordia T.,Sarkar A.,Subrahmanyam A.,2003, An Empirical Analysis of Stock and Bond Market Liquidity, Federal Reserve Bank of New York Staff Reports, March,2003,No.164
[84]Dothan U. L., On the term structure of interest rates. [J] Journal of Financial Economics,1978,Vol.6, pp.59-69
[85]Goyenko R.,2005, Stock and Bond Pricing with Liquidity Risk,working paper, Sep.21, Indiana University
[86]GravelleT.,1998, Buying back government bonds:mechanics and other considerations, Working Paper,No.98-99,Bank of Canada, June
[87]Grossman S., further result on the informational efficiency of competitive stock markets, [J] Journal of economic theory,1988, Vol.18:pp.81-101
[88]Hasbrouck, J.and D.J.Seppi,2000, Common Factors in prices, Order flows and Liquidity, working paper
[89]Harris, Lawrence and Joel Hasbrouck,1996, Market Vs. Limit Orders:The Super Evidence on Order Submission Strategy, [J]. Journal of Financial &Quantitative Analysis, Vol.31, pp:213-231
[90]Kamara A., Liquidity, Taxes, and Short-Term Treasury Yields, [J].Journal of Financial and Quantitative Analysis,1994, Vol.29, pp.403-417
[91]Kyle, Albert S., Continuous Auctions and Insider Trading, [J].Econometrical, 1985,Nov 1985, Vol.53, pp.1315-1335
[92]Lassak G,1991 Liquiditut am deutschen Rentenmarkt,in:Zeitschrift fur Betriebswirtschaft, Vol.61,75-86
[93]Muranaga J, Shimizu T., Market microstructure and market liquidity. BIS,1999, Working Paper
[94]Charles F. Kramer, World Economy in Transition:Explaining the Dividend Yield in the United States, IMF, December 1997
[95]O'Hara, Maureen, Market Microstructure Theory, Cambridge, Mass.:Blackwell Publishers,1997
[96]Scalia A.,Vacca V.,(1999), Does Market Transparency Matter?A case Study, BIS, Basle, Switzerland
[97]Schwart Z., Robert A. Equity Markets:Structure, Trading, and Performance: New York, Harper and Row,1988
[98]Altman, E.I, Saunders, A., Credit risk measurement:Developments over the last 20 years, [J].Jounral of Banking&Finanee,1997,21 (11), PP1721-1742
[99]Robert A. Jarrow, Credit Risk Models, [J].Annual Review of Financial Economics,2009, Vol.1, pp.37-68
[100]Ron Alquist, How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange, [J] Journal of International Economics,2010, Vol.82 (2), pp.219-229
[101]Lyn C. Thomas, David E. Allen, Nigel Morkel-Kingsbury, A hidden Markov chain model for the term structure of bond credit risk spreads, [J].International Review of Financial Analysis,2002, Vol.11 (3), pp.311-329
[102]Frank K. Reilly, David J. Wright, James A. Gentry, An analysis of credit risk spreads for high yield bonds, [J].Review of Quantitative Finance and Accounting,2010, Vol.35 (2)
[103]Norbert J. Jobst, Stavros A. Zenios, Tracking bond indices in an integrated market and credit risk environment, [J].Quantitative Finance,2003, Vol.3(2), pp.117-135.
[2]马君潞、范小云、曹元涛,中国银行间市场双边传染的风险估测及其系统性特征分析,[J].经济研究,2007年01期
[3]马君潞、于红鑫、魏凤春,财务约束、银行家行为与金融创新研究,[J].国际金融研究,2007年12期
[4]牛凯龙、马君潞、范小云,动态一致、制度耦合与中国金融发展悖论一对转轨时期中国金融发展“麦金农之谜”的解释,[J].中央财经大学学报,2010年09期
[5]巴曙松,中国债券市场的发展及对利率政策、银行风险管理的影响,[J].金融研究,2000年02期
[6]巴曙松、韩明睿,基于SVAR模型的金融形势指数,[J].宏观经济研究,2011年04期
[7]巴曙松、袁平等,商业银行流动性管理研究文献综述,[J].金融教学与研究,2007年12期
[8]袁伟彦、李文溥,中国货币政策的汇率传递效应及形成机制一基于SVAR与动态一般均衡(DGE)模型的分析,[J].管理世界,2010年12期
[9]朱世武、陈健恒,交易所国债利率期限结构实证研究,[J].金融研究,2003年10期
[10]谢海玉,我国债券收益率变动分析,[J].国际金融研究,2004年07期
[11]唐毅亭、韩冬、卢宇荣,公开信息与流动性-基于银行间债券市场的实证研究,[J].金融研究,2006年09期
[12]姚长辉、梁跃军,我国国债收益率曲线的实证研究,[J].金融研究,1998年08期
[13]郭涛、宋德勇,中国利率期限结构的货币政策含义,[J].经济研究,2008年03期
[14]杨大楷、杨勇,关于我国国债收益率曲线的研究,[J].财经研究,1997年07期
[15]周子康、王宁、杨衡,中国国债利率期限结构模型研究与实证分析,[J].金融研究,2008年03期
[16]胡志强、王婷,基于Nelson-Siegel模型的国债利率期限结构预测,[J].经济评论,2009年06期
[17]谭地军、田益祥、黄文光,流动性补偿、市场内及跨市场“流动性转移”行为,[J].金融研究,2008年09期
[18]王一鸣、李剑峰,我国债券市场收益率曲线影响因素的实证分析,[J].金融研究,2005年01期
[19]郭涛、宋德勇,中国利率期限结构的货币政策含义,[J].经济研究,2008年03期
[20]王鸣、李剑峰,我国债券市场收益率曲线影响因素的实证分析,[J].金融研究,2005年01期
[21]杨晔,我国企业债券市场利率环境的实证研究,[J].金融研究,2008年02期
[22]朱世武、许凯,银行间债券市场流动性研究,[J].统计研究,2004年11期
[23]陈雯、陈浪南,国债利率期限结构：建模与实证,[J].世界经济,2000年08期
[24]吕江林、姜光明,交易所债券市场价格波动率特性研究,[J].金融研究2004年12期
[25]何平、金梦,信用评级在中国债券市场的影响力,[J].金融研究2010年04期
[26]刘金全、王勇、张鹤,利率期限结构与宏观经济因素的动态相依性—基于VAR模型的经验研究,[J].财经研究,2007年05期
[27]李宏瑾,我国中期通货膨胀压力预测—基于银行间市场国债收益率曲线的经验研究,[J].经济评论,2011年01期
[28]靳简,干预性事件对国债收益率的影响,[J].证券市场导报,2004年05期
[29]李彪、杨宝臣,我国货币政策对收益率曲线效应关系的实证研究,[J].上海金融,2006年04期
[30]石柱鲜、孙皓、邓创,中国主要宏观经济变量与利率期限结构的关系：基于VAR-ATSM模型的分析,[J].世界经济,2008第3期
[31]宋福铁、陈浪南等,国债收益率曲线坡度的货币政策含义,[J].上海金融,2004年05期
[32]孙皓、石柱鲜,中国利率期限结构中的宏观经济风险因素分析—基于宏观-金融模型的研究途径,[J].经济评论2011年3期
[33]孙皓、石柱鲜,中国的货币政策与利率期限结构：基于宏观—金融模型的研究途径,[J].经济科学,2011年01期
[34]徐小华、何佳,利率期限结构中的货币政策信息,[J].上海金融,2007年01期
[35]李宏瑾、钟正生、李晓嘉,利率期限结构、通货膨胀预测与实际利率,[J].世界经济,2010年10期
[36]刘斌,我国DSGE模型的开发及在货币政策分析中的应用,[J].金融研究,2008年10期
[37]王云升、杨柳,宏观经济统计数据公布对中国金融市场影响的实证研究,[J].上海金融,2008年07期
[38]时文朝、张强,透明度对银行间债券市场流动性变化趋势的影响,[J].金融研究,2008年12期
[39]王茵田,中国股票市场风险溢价研究,[J].金融研究,2011第7期
[40]陈秀梅,我国债券市场信用风险管理的现状及对策建议,[J].宏观经济研究,2012年02期
[41]《商业银行资本管理办法(试行)》,中国银行业监督管理委员会,2012年6月7日
[42]杨童舒,中国政策性银行股份制改革战略选择--基于业务模式视角,[J].中国流通经济,2012年03期
[43]王兰军、张合金,我国政策性银行的经营风险及其防范研究,[J].财经研究,2001年05期
[44]许良,对我国政策性银行商业化运作问题的探析与展望,[J].经济学动态,2010年09期
[45]于炳华,当前金融危机背景下政策性银行转型与职能重构,[J].财经科学,2009年05期
[46]刘克崮,借鉴国际经验加快推进我国政策性银行发展—哈、俄、德发展政策性银行的经验与启示,[J].管理世界,2006年03期
[47]王伟,当代国外政策性银行发展战略的调整及对我国的启示,[J].上海金融,2007年06期
[48]蔡国辉,论我国政策性银行改革,[J].财政金融,2011年05期
[49]白钦先、王伟,政策性金融可持续发展必须实现的“六大协调均衡”,[J].金融研究,2004年07期
[50]陈元,发挥开发性金融作用促进中国经济社会可持续发展,[J].管理世界,2004年07期
[51]白静,银行间债券市场发展与货币政策传导机制研究,[D].博士学位论文,2008,西南财经大学
[52]康书隆,国债利率的风险特征、变化规律及风险管理研究,[D].博士学位论文,2010,东北财经大学
[53]曾志坚,股票与债券市场间收益率及流动性联动关系研究,[D].博士学位论文,2006,湖南大学
[54]赵丽琴,基于Coupla函数的金融风险度量研究,[D].博士学位论文,2009,厦门大学
[55]高铁梅等,计量经济分析方法与建模：EViews应用及实例,[M].清华大学出版社,2009
[56]巴曙松、孙隆新、牛播坤,政策性银行商业化改革对债券市场的影响研究,[M].经济科学出版社,2010
[57]杨玉明,信用风险评估—方法、模型、应用,[M].清华大学出版社,2004
[58]法博齐,债券市场：分析与策略(第七版)(金融学译丛),[M].中国人民大学出版社,2011
[59]曹海珍,中国债券市场发展的理论与实践,[M].中国金融出版社,2006
[60]白钦先、曲昭光,各国政策性金融机构比较,[M].中国金融出版社,1993
[61]瞿强,经济发展中的政策金融—若干案例研究,[M].中国人民大学出版社,2000
[62]时文朝,中国债券市场：发展与创新,[M].中国金融出版社,2011
[63]孙泽蕤,公司债券价格与信用风险研究,[M].上海人民出版社,2009
[64]国家开发银行、中国人民大学联合课题组,开发性金融与中国债券市场创新,[M].中国人民大学出版社,2007
[65]Arinaminpathy Nimalan, Kapadia Sujit, May Robert M, Size and complexity in model financial systems, [J].Proceedings of the National Academy of Sciences of the United States of America,2012, Vol.109 (45), pp.18338-43
[66]Alan. Olmstead, Investment Constraints and New York City Mutual Saving Bank Financing of Antebellum Development, [J].The Journal of Economic History, Vol.32.No.4(Dce.,1972):811-840
[67]Antonio Vives and Kim Staking, Policy-Based and Market Alternatives:East Asian Lessons for Latin America and the Caribbean, Section Four,Junel 997:163-182
[68]Levine R., Loavza N.,2000, Finance and the sources of growth, [J] Journal of Financial Economics 58,261-300
[69]Calomiris, Charles W, and Charles P. Hinunelberg(1994), Directed Credit Programs for Agriculture and Industry:Arguments from Theory and Fact, Proceedings of the world Bank Annual Conference on Development Economics,1993:113-137
[70]Ang A., Piazzesi M. A no-arbitrage vector autoregression of term structure dynamics with macroecomic and latent variables, [J] Journal of Monetary Economics,2003,50:745-787
[71]Diebold Francis X., Monika Piazzesi, Genn D. Rudebusch. Modeling bond yields in finance and macroeconomics, [J].The American Economic Review, 2005,5:415-420
[72]Estrella A., Mishkin F.S.The Predictive Power of the Term Structure of Interest Rates in Europe and the United States:Implications for the European Central Bank, [J].European Economics Review,1997,41:1375-1401
[73]Evans, C.L., Marshall, D.A. Monetary policy and the term structure of nominal interest rates:evidence and theory, [J].Carnegie-Rochester Conference Series on Public Policy,1998,49:53-111
[74]Fama, E.,1990, Term structure forecasts of interest rates, inflation, and real returns, [J] Journal of Monetary Economics,25:59-76
[75]Goodfriend,Marvin,1997, Monetary Policy comes of Age:A 20th Century Odyssey, Federal Reserve Bank of Richmond Economic Quarterly,Vol.83:1-22
[76]Jack Carr and Lawrence B.Smith, Money Supply, Interest Rates, and the Yield Curve, [J] Journal of Money, Credit and Banking, Vol.4,No.3(Aug.,1972),PP.582-594
[77]Mishkin,F.S., What Does the Term Structure Tell Us About Future Inflation? [J] Journal of Monetary Economics,25(January),1990:77-95
[78]Mishkin,F.S., The Information in the Longer-Maturity Term Structure About Future Inflation, [J].Quarterly Journal Of Economics,55(August), 1990,:815-828
[79]Amihud Y.,Mendelson H., Liquidity,Volatility,and Exchange Automation, [J] Journal of Accounting,Auditing,and Finance,1988,Vol.3, Fall, pp.369-395
[80]Amihud Y.,2002, Liquidity and stock returns:cross-section and time series effects, [J] Journal of Financial Markets, VO1.5, pp.31-56
[81]Black, Fischer, Toward a Fully Automated Stock Exchange, [J].Financial Analysts Journal,1971, Vol.27, pp.24-30
[82]BIS,1999, Market Liquidity:Research Findings and Selected Policy Implications,CGFS study group,Basel,Switzerland
[83]Chordia T.,Sarkar A.,Subrahmanyam A.,2003, An Empirical Analysis of Stock and Bond Market Liquidity, Federal Reserve Bank of New York Staff Reports, March,2003,No.164
[84]Dothan U. L., On the term structure of interest rates. [J] Journal of Financial Economics,1978,Vol.6, pp.59-69
[85]Goyenko R.,2005, Stock and Bond Pricing with Liquidity Risk,working paper, Sep.21, Indiana University
[86]GravelleT.,1998, Buying back government bonds:mechanics and other considerations, Working Paper,No.98-99,Bank of Canada, June
[87]Grossman S., further result on the informational efficiency of competitive stock markets, [J] Journal of economic theory,1988, Vol.18:pp.81-101
[88]Hasbrouck, J.and D.J.Seppi,2000, Common Factors in prices, Order flows and Liquidity, working paper
[89]Harris, Lawrence and Joel Hasbrouck,1996, Market Vs. Limit Orders:The Super Evidence on Order Submission Strategy, [J]. Journal of Financial &Quantitative Analysis, Vol.31, pp:213-231
[90]Kamara A., Liquidity, Taxes, and Short-Term Treasury Yields, [J].Journal of Financial and Quantitative Analysis,1994, Vol.29, pp.403-417
[91]Kyle, Albert S., Continuous Auctions and Insider Trading, [J].Econometrical, 1985,Nov 1985, Vol.53, pp.1315-1335
[92]Lassak G,1991 Liquiditut am deutschen Rentenmarkt,in:Zeitschrift fur Betriebswirtschaft, Vol.61,75-86
[93]Muranaga J, Shimizu T., Market microstructure and market liquidity. BIS,1999, Working Paper
[94]Charles F. Kramer, World Economy in Transition:Explaining the Dividend Yield in the United States, IMF, December 1997
[95]O'Hara, Maureen, Market Microstructure Theory, Cambridge, Mass.:Blackwell Publishers,1997
[96]Scalia A.,Vacca V.,(1999), Does Market Transparency Matter?A case Study, BIS, Basle, Switzerland
[97]Schwart Z., Robert A. Equity Markets:Structure, Trading, and Performance: New York, Harper and Row,1988
[98]Altman, E.I, Saunders, A., Credit risk measurement:Developments over the last 20 years, [J].Jounral of Banking&Finanee,1997,21 (11), PP1721-1742
[99]Robert A. Jarrow, Credit Risk Models, [J].Annual Review of Financial Economics,2009, Vol.1, pp.37-68
[100]Ron Alquist, How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange, [J] Journal of International Economics,2010, Vol.82 (2), pp.219-229
[101]Lyn C. Thomas, David E. Allen, Nigel Morkel-Kingsbury, A hidden Markov chain model for the term structure of bond credit risk spreads, [J].International Review of Financial Analysis,2002, Vol.11 (3), pp.311-329
[102]Frank K. Reilly, David J. Wright, James A. Gentry, An analysis of credit risk spreads for high yield bonds, [J].Review of Quantitative Finance and Accounting,2010, Vol.35 (2)
[103]Norbert J. Jobst, Stavros A. Zenios, Tracking bond indices in an integrated market and credit risk environment, [J].Quantitative Finance,2003, Vol.3(2), pp.117-135.
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |