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本文选取2010-2014年间发行频率最高的7年和10年期国债作为研究对象对国债发行过程中所产生的冲击成本进行了研究,并对其原因进行了解释。本文首先通过事件研究发现在新国债发行前后的确存在“V”型价格冲击;在此基础上,通过构建套利组合,对冲击程度进行了测算;接下来,本文通过对相邻期限债券彼此之间的冲击进行检验,发现当债券发行时相邻债券并不存在价格冲击,由此排除了“供给冲击”假说;最后通过考察价格冲击与回购市场质押回购利率变化以及债券价格波动性的关系,证明了我国债券的发行冲击主要来源于一级交易商有限风险承担能力下的套保行为。
This paper selects the 7-year and 10-year treasury bonds with the highest frequency of issuance in 2010-2014 as the research object and studies the impact costs incurred during the issuance of government bonds, and explains the reasons. In this paper, we first find out through the event study that the “V” type price shock does exist before and after the issuance of the new national debt. On this basis, we construct the arbitrage portfolio to measure the degree of impact. Next, It is found that there is no price shock on the adjacent bonds when the bonds are issued, thus eliminating the “supply shock” hypothesis. Finally, by examining the impact of price shocks and repo market on the changes in the repo rate and the bond prices The relationship between volatility shows that the issuance of bonds in China mainly comes from the hedging behavior of the primary dealers under the limited risk appetite.