中国国债发行的价格冲击现象研究

›› 2017, Vol. 29 ›› Issue (10): 34-41.

中国国债发行的价格冲击现象研究

孟庆斌¹, 范为², 吴琮¹, 师倩¹

1. 中国人民大学商学院, 北京 100872;
2. 申万宏源集团股份有限公司, 北京 100033

收稿日期:2016-06-28 出版日期:2017-10-28 发布日期:2017-11-01
通讯作者: 吴琮(通讯作者),中国人民大学商学院硕士研究生
作者简介:孟庆斌,中国人民大学商学院副教授,博士;范为,申万宏源集团股份有限公司经济学家,博士;师倩,中国人民大学商学院硕士研究生
基金资助:
中国人民大学校内项目（2017030185）。

The Impact of Price Shocks on the Issuance of Chinese National Debt

Meng Qingbin¹, Fan Wei², Wu Cong¹, Shi Qian¹

1. School of Business, Renmin University of China, Beijing 100872;
2. Shenwan Hongyuan Group CO., LTD, Beijing 100033

Received:2016-06-28 Online:2017-10-28 Published:2017-11-01

摘要/Abstract

摘要：

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。

关键词: 国债, 发行价格冲击, 银行间市场

Abstract:

In this paper, we select the 7-year and 10-year bonds issued between 2010 and 2014 to study the impact cost generated by the issuance of treasury bonds, and explain its reasons. Firstly, by the event study method we find that there is a "V"-shape price shock in the national debt issuance; then the degree of shock is calculated by constructing arbitrage portfolio; thirdly, through the shock on the bond between the adjacent bonds, we find that the price shock does not exist when the bond is issued, which rules out the "supply shocks" hypothesis; lastly, by studying the relationship between price shocks and repurchase market collateral repo rate changes and bond price volatility, we prove that the shock of bond issuance is mainly derived from the hedging behavior of primary dealers.

Key words: national debt, issuance price shocks, inter-bank market

孟庆斌, 范为, 吴琮, 师倩. 中国国债发行的价格冲击现象研究[J]. , 2017, 29(10): 34-41.

Meng Qingbin, Fan Wei, Wu Cong, Shi Qian. The Impact of Price Shocks on the Issuance of Chinese National Debt[J]. , 2017, 29(10): 34-41.

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