本文以绿色债券和传统债券市场收益率的波动性为研究主题,首先通过构建GARCH模型来度量债券收益率的波动性,其次通过DCC-GARCH模型来研究分析传统债券市场收益率波动性与绿色债券市场收益率波动性之间的联动关系,结果发现两者之间存在正向相关关系。政府等决策部门在制定政策时应关注传统债券市场与绿色债券市场间的联动关系,以促进市场的稳定和健康发展。推动绿色债券市场的信息披露透明化,有助于投资者更好地理解两类市场的风险和收益波动性。投资者应密切关注影响两类市场的宏观经济和市场因素,以便在波动性增加时迅速调整投资组合。This paper takes the volatility of green bond and traditional bond market as the research theme. Firstly, GARCH model is constructed to measure the volatility of bond yield. Secondly, DCC-GARCH model is used to study and analyze the linkage relationship between the volatility of traditional bond market and the volatility of green bond market. The results show that there is a positive correlation between the two. The government and other decision-making departments should pay attention to the linkage between the traditional bond market and the green bond market when formulating policies, so as to promote the stable and healthy development of the market. Promoting transparency in the green bond market will help investors better understand the risk and return volatility of both markets. Investors should pay close attention to macroeconomic and market factors affecting both types of markets so that they can quickly adjust their portfolios when volatility increases.
我国金融的市场变化日新月异,其所面临的各种风险也在日益增加。利率市场化的发展使利率风险成为商业银行面临的主要风险之一。目前,学者们迫切需要探索和研究利率风险的重要问题,从而制定科学有效的各方面防范措施。本文将以上海银行间同业拆借理论为分析对象,运用GARCH族模型及VaR方法研究商业银行目前所面临的利率风险,进行风险衡量以及管理研究。本文以2020年初至2024年5月底Shibor O/N作为本文实证研究的基础数据。进行GARCH(1, 1)模型拟合数据,得出收益率序列相应的均值方程与条件方差方程,计算VaR预测值。结果显示,对目前中国商业银行的隔夜拆借利率业务而言,该文章选取90%、95%、99%三个不同的置信度,所得到的最大损失分别为11.60%、13.30%和15.43%的资产市场价值。基于目前我国利率的波动性,商业银行预防利率风险可以从以下几个方面入手:提高风险意识、完善金融产品的定价机制、注重人才培养、增加表外业务比重等。The financial market in China is undergoing rapid changes, and the various risks it faces are also increasing day by day. The development of the interest rate market has made interest rate risk one of the main risks faced by commercial banks. At present, scholars urgently need to explore and research the important issues of interest rate risk, to formulate scientific and effective preventive measures in all aspects. This article will take the theoretical basis of Shanghai Interbank Offerings as the analysis object and use the GARCH family model and VaR method to study the current interest rate risk faced by commercial banks for risk measurement and management research. This article takes Shibor O/N from early 2020 to the end of May 2024 as the basic data for empirical research. A GARCH(1, 1) model is conducted to fit the data, and the corresponding mean equation and conditional variance equation of the return rate sequence are d
