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长期以来,大多数研究国债的学者主要关注国债发行市场及其宏观影响,如国债的使用方向,适度规模研究,国债挤出效应及与财政货币政策关系等,而对国债二级市场的发展未能得到足够的重视。本文利用VaR-GARCH方法对国债二级市场风险进行实证分析,希望能够对投资者在风险控制和投资管理上有较好的借鉴意义。
For a long time, most of the scholars who studied government bonds focused on the issue of the national debt market and its macroeconomic impact, such as the direction of the government bonds, the research on the proper scale, the crowding out effect of the national debt and its relationship with the fiscal and monetary policies. However, the development of the secondary market Can get enough attention. This article uses the VaR-GARCH method to carry on the empirical analysis to the secondary market risk of the national debt, hoping to have the good reference significance to the investor in the risk control and the investment management.