国债收益率协整关系研究

通过对中国国债收益率与央票利率、基准利率和CPI的协整关系研究,揭示出我国国债市场的收益率走势与各宏观经济变量之间的互动关系。研究结果表明:在不施加任何约束的条件下,我国国债市场的风险长期来看是可以规避的,而国债与央票之间具有互动关系,二者的利率风险具有一定的互补性。

Researching on Cointegration Relationship about Government Bond Yield

The research on cointegration of the Chinese govemment bond yield with the central bank note yield, the benchmark interest rate and CPI reveals the interaction between Chinese government bonds market yield and several key macroeconomic vari- ables. The results show that the risk of Chinese government bonds market can be avoided on the long terms. Moreover, it is shown that the government bonds and the central bank notes have a certain degree of complcmentarities in the interest rate risk.