制度变迁中的国债流通市场一体化研究
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摘要
发达债券市场的实践证明,国债市场的发展不仅取决于发行市场,更取决于流通市场。如果没有一个发达的流通市场,就不可能建立一个有效和市场化的发行市场,国债市场应有的功能和作用也就难以有效发挥。银行间债券市场成立后,我国国债流通市场就形成了场外市场与场内市场分割的格局。这种分割的格局降低了国债市场的流动性,增加了国债筹集成本,也削弱了中央银行公开市场操作的实施效果。为了促进我国国债流通市场的统一,相关部门采取了一系列措施如扩大银行间债券市场参与主体的类型、增加跨市场产品的品种等等。这些政策措施对于债券市场间的融合具有十分重要的意义,但这些政策出台后,分割的格局是否得到了明显改变,这些政策的实际效果如何,是什么因素影响了这些政策的实际效果,以及如何进一步促进市场之间的统一?这些问题的研究对于深入了解我国目前的国债流通市场状况具有重大意义。
本文首先回顾了我国国债流通市场的制度变迁过程,从新制度经济学的角度来分析我国国债流通市场分割局面的形成过程和一体化过程。在此基础上,笔者采用协整检验、格兰杰因果检验、脉冲响应函数和方差分解等实证分析方法考察了我国银行间国债市场与交易所国债市场之间的联系。鉴于我国国债市场处于一个不断发展融合的过程,不同时期的分割市场具有不同的特征,因此本文将2003年至2008年分为三个时间段来考察市场一体化的过程。协整检验和格兰杰因果检验等实证结果表明银行间国债市场和交易所国债市场的一体化程度得到了很大提高。最后,根据实证结果,本文从市场交易主体、债券托管结算、市场监管和交易机制四个方面提出进一步促进我国国债市场一体化的政策建议。
The practice of developed bond markets proves that the development of national debt market not only depends on issue market but also depends on circulation market. If there is no developed circulation market, the effective and market-oriented issue market can't be established and the national debt market can't function effectively. As an essential circulation place for national debt, the secondary market of China' s national debt is playing a more important role in the whole national debt market and financial market. But its development has been hindered by market partition. The two national debt markets, one is inter-bank and the other is the exchange bond market, each of which has its own transaction principals, transaction mechanisms and market regulator. The foresaid three issues create the segment of the two markets. The two markets can't have coordinated development, and sometimes even develop in the opposite direction, which seriously hamper the growth of a healthy national debt market. The segment of market reduces national debt market's liquidity and increases national debt's financing cost. At the same time, it also weakens the performance effect of central bank' s open market operation. In order to accelerate the integration of our national debt market, some departments take a series of action such as enlarging main participation types of the inter-bank bond market and adding variety of cross market's national debt. These policies and actions play an important role on the integration of national debt markets. But after these policies are published, could the segment situation be changed evidently; what are these policies' effect; what factor influents the real effect of these policies and how to accelerate the integration of these bond markets? The research of these problems plays a great important role on finding out the condition of our national bond's circulation market. With the impulse of trying to resolve these problems, comes out the original motivation of writing this thesis.
This paper reviews the history of our national bond's circulation market. With the institution analytical method, this paper analyzes the formation and merging process of the segment of the national debt market. On basis of this, this paper uses co-integration test, Granger causality test, impulse response function and variable decomposition to analyze co-integration relation and short-run dynamic relationship between inter-bank national debt market and exchange national debt market from 2003 to 2008. Considering that our national bond market is in the process of continuous development and merging situation, different characteristics appear in different period, this article divides the full sample into three sub-periods. The results of EG co-integration test and Granger test suggest that the interdependence between the inter-bank bond market and exchange bond market is increasing and the integration trend is more obvious in the third sub-period. And short-run dynamic relationship suggests that the inter-bank bond market has more effect on exchange bond market, after the rapid development of inter-bank market. At the end of this paper, relevant policy suggestions are given. According to the situation of our national debt market, we put forward corresponding suggestions from four aspects: transaction participants, depository trust and settlement system, supervision system and trading mechanism.
本文首先回顾了我国国债流通市场的制度变迁过程,从新制度经济学的角度来分析我国国债流通市场分割局面的形成过程和一体化过程。在此基础上,笔者采用协整检验、格兰杰因果检验、脉冲响应函数和方差分解等实证分析方法考察了我国银行间国债市场与交易所国债市场之间的联系。鉴于我国国债市场处于一个不断发展融合的过程,不同时期的分割市场具有不同的特征,因此本文将2003年至2008年分为三个时间段来考察市场一体化的过程。协整检验和格兰杰因果检验等实证结果表明银行间国债市场和交易所国债市场的一体化程度得到了很大提高。最后,根据实证结果,本文从市场交易主体、债券托管结算、市场监管和交易机制四个方面提出进一步促进我国国债市场一体化的政策建议。
The practice of developed bond markets proves that the development of national debt market not only depends on issue market but also depends on circulation market. If there is no developed circulation market, the effective and market-oriented issue market can't be established and the national debt market can't function effectively. As an essential circulation place for national debt, the secondary market of China' s national debt is playing a more important role in the whole national debt market and financial market. But its development has been hindered by market partition. The two national debt markets, one is inter-bank and the other is the exchange bond market, each of which has its own transaction principals, transaction mechanisms and market regulator. The foresaid three issues create the segment of the two markets. The two markets can't have coordinated development, and sometimes even develop in the opposite direction, which seriously hamper the growth of a healthy national debt market. The segment of market reduces national debt market's liquidity and increases national debt's financing cost. At the same time, it also weakens the performance effect of central bank' s open market operation. In order to accelerate the integration of our national debt market, some departments take a series of action such as enlarging main participation types of the inter-bank bond market and adding variety of cross market's national debt. These policies and actions play an important role on the integration of national debt markets. But after these policies are published, could the segment situation be changed evidently; what are these policies' effect; what factor influents the real effect of these policies and how to accelerate the integration of these bond markets? The research of these problems plays a great important role on finding out the condition of our national bond's circulation market. With the impulse of trying to resolve these problems, comes out the original motivation of writing this thesis.
This paper reviews the history of our national bond's circulation market. With the institution analytical method, this paper analyzes the formation and merging process of the segment of the national debt market. On basis of this, this paper uses co-integration test, Granger causality test, impulse response function and variable decomposition to analyze co-integration relation and short-run dynamic relationship between inter-bank national debt market and exchange national debt market from 2003 to 2008. Considering that our national bond market is in the process of continuous development and merging situation, different characteristics appear in different period, this article divides the full sample into three sub-periods. The results of EG co-integration test and Granger test suggest that the interdependence between the inter-bank bond market and exchange bond market is increasing and the integration trend is more obvious in the third sub-period. And short-run dynamic relationship suggests that the inter-bank bond market has more effect on exchange bond market, after the rapid development of inter-bank market. At the end of this paper, relevant policy suggestions are given. According to the situation of our national debt market, we put forward corresponding suggestions from four aspects: transaction participants, depository trust and settlement system, supervision system and trading mechanism.
引文
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[2]Clare A.,Lekkos I.An analysis of the relationship between international bond markets[R].Working Paper.2000.
[3]Yang J.International bond market linkages:a structural VAR analysis[J].Int.Fin.Markets,Inst.and Money,2005,(15):39-54.
[4]Ciner C.Dynamic linkages between international bond markets[J].J.of Multi.Fin.Manag.2007,(17):290-303.
[5]Skintzi V.D.,Refenes A.N.Volatility spillovers and dynamic correlation in European bond markets[J].Int.Fin.Markets,Inst.and Money2006,(16):23-40.
[6]Vinh V.X.International financial integration in Asian bond markets[J].Research in International Business and Finance.2009,(23):90-106.
[7]Patanapakorn O.,Sharma S.C.Interrelationships among regional stock indices[J].Rewiew of Financial Economics.2002,(11):91-108.
[8]Eun C.S.,Shim S.International Transmission of Stock Market Movements[J].Jouranl of Financial and Quantitative Analysis.1989,(24):241-256.
[9]Friedman J.,Shachmurove Y.Co-movement of major European comunity stock markets:a vector autoregression analysis[J].Global finance journal.1997,(8):252-277.
[I0]Leong S.C.,Felmingham B.The interdependence of share markets in the developed economies of East Asia[J].Pacific-Basin Finance Journal,2003,(11),219-237.
[11]Gilmore C.G.,McManus G.M.International portfolio diversification:US and Central European equity markets[J].Emerging Market Rewiew.2002,(3):69-83.
[12]Syriopoulos T.Dynamic linkages between emerging European and developed stock market:Has the EMU any impact?[J].International Review of Financial Analysis.2007,(16):41-60.
[13]Laurence M.,Cai F.and Qian S.Weak-form efficiency and causality test in Chinese stock markets[J].Multinational Finance Journal,1997,(1):91-207.
[14]Zhu H.,Lu Z.and Wang S..Causal Linkages among Shanghai,Shenzhen,and Hong Kong Stock Markets[J].International Journal of Theoretical and Applied Finance,2004,7(2):135-149.
[15]李裕,梁婷.银行间市场和交易所市场国债价格相关性的实证研究[J].统计与决策,2005(1):82-83.
[16]潘婉彬,缪柏其,靳韬.银行间国债市场与交易所国债市场相关性研究[J].数量统计与管理,2007(3):528-534.
[17]向鹏飞,罗幼强,冉飞.中国国债市场的内部联动性[J].统计与决策,2006(7):78-81.
[18]郭泓,杨之曙.交易所和银行间市场债券交易价格发现实证研究[J].金融研究,2007(12):142-153.
[19]马庆泉.中国证券市场发展前沿问题研究[M].北京:中国金融出版社,2001.
[20]汤亮.公开信息与国债市场价格的发现过程-基于中国的经验实证分析[J].南开经济研究.2005,(5):100-105
[21]徐小华.市场分割与国债市场的价格反应差异[J].上海经济研究,2006(10):76-84.
[22]楼小飞.国债价格引导机制实证研究—交易所国债市场何去何从[J].上海经济研究,2007(4):42-49.
[23]蔡国喜.我国债券市场统一方案构想[J].证券市场导报.2004,(5):4-10.
[24]袁东.中国债券市场托管结算系统的问题及改进途径分析[J].财贸经济.2006,(1):29-33.
[25]陈岱松,魏华文.论我国统一互联债券市场之制度构建[J].南京社会科学.2008,(11):30-35.
[26]王一萱,屈文州.我国货币市场和资本市场连通程度的动态分析[J].金融研究.2005,(8):112-122.
[27]袁东.交易所债券市场与银行间债券市场波动性比较研究[J].世界经济,2004,(5):63-69.
[28]郑长德,刘丽雪.中国债券市场分割的理论探讨[J].西南民族大学学报,人文社科版,2005,(5):48-54.
[29]黄玮强,庄新田.中国证券交易所国债和银行间国债指数的关联性分析[J].系统工程.2006,(7):62-66.
[30]侯艳蕾.我国国债指数的实证研究[J].金融教学与研究,2007(6):45-46,49.
[31]徐小华,何佳,吴冲锋.我国债券市场价格非对称性波动研究[J].金融研究.2006,(12):14-22.
[32]于鑫,龚仰树.基于二元GARCH方法对我国国债市场的分割性检验[J].数量经济技术经济研究,2007年(12):94-95.
[33]张志英.基于ARCH类模型的国债市场波动率研究[J].财会月刊,2008(10):23-25.
[34]蒋治平.我国国债市场分割下的波动溢出效应研究[J].统计与决策,2009(1):82-84.
[35]周爱民.金融计量学[M].北京:经济管理出版社,2006.
[36]高铁梅.计量经济分析方法与建模Eviews应用与实例[M].北京:清华大学出版社,2008.
[37]张晓峒.Eviews使用指南与案例[M].北京,机械工业出版社,2006.
[38]江曙霞.金融制度供给学[M].北京:中国金融出版社,2007.
[39]中国国债协会《国债市场化》课题组.国债的流通性与增发空间[J].经济研究.2002,(5):32-38.
[40]站松.制度与效率:基于中国债券市场的思考[D].成都:西南财经大学博士论文,2006.
[41]曹海珍.中国债券市场发展的理论与实践[M].北京:中国金融出版社,2006.
[42]马庆泉.中国证券史:1978-1998[M].北京:中信出版社,2003.
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