| 银行间债券市场与交易所债券市场之间的国债价格差异研究 |
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| 引用本文： | 朱鲁秀,胡海鸥.银行间债券市场与交易所债券市场之间的国债价格差异研究[J].软科学,2008,22(10). |
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| 作者姓名： | 朱鲁秀 胡海鸥 |
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| 作者单位： | 上海交通大学,安泰经济与管理学院,上海,200030 |
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| 摘 要： | 引入虚拟变量建构计量模型研究了我国银行间债券市场与交易所债券市场之间的国债价格差异。主要发现:在其他情况不变的条件下,在不同的债券市场交易对国债的无风险收益率有显著影响;流动性变量对到期收益率具有很好的解释能力,两类市场对流动性风险的补偿系数存在显著差异。
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| 关 键 词： | 银行间债券市场 交易所债券市场 价格差异 |
Research on Price Difference between Inter- bank Security Market and Exchange Security Market |
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| ZHU Lu-xiu,HU Hai-ou.Research on Price Difference between Inter- bank Security Market and Exchange Security Market[J].Soft Science,2008,22(10). |
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| Authors: | ZHU Lu-xiu HU Hai-ou |
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| Abstract: | Using cross-market data on yield to maturity,this paper constructed an econometric model to find out the price differences between Inter-bank security market and exchange security market by introducing a dummy variable to capture the effect imposed by different market on yield to maturity.It shows that:(1)different market had a significant effect on risk-free yield rate to maturity;(2)coefficients to Liquidity risk in exchange security market was greater than that in Inter-bank security market. |
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| Keywords: | Inter-bank security market exchange security market price difference |
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