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近年来,随着我国金融对外开放步伐的加快以及国内债券市场的深入发展,我国债券市场国际化的趋势越来越明显。本文通过建立VAR模型,应用格兰杰因果检验、脉冲响应函数和方差分解方法,对我国债券市场与国际债券市场的联动性进行了实证分析。结果表明,我国债券市场与国际他国债券市场之间几乎不存在联动关系,我国债券市场的国际化程度仍然十分有限。
In recent years, with the acceleration of China’s financial opening up and the further development of the domestic bond market, the internationalization of China’s bond market has become more and more obvious. This paper empirically analyzes the linkage between China’s bond market and international bond market through the establishment of VAR model, Granger causality test, impulse response function and variance decomposition method. The results show that there is almost no linkage between China’s bond market and the international bond market in other countries, and the degree of internationalization of China’s bond market is still very limited.