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我国银行间与交易所债券市场,自1997年商业银行退出交易所建立银行间债券市场便形成了分割的格局。随着我国经济金融的发展,政府对银行间与交易所债券市场的融合作出了巨大的努力。目前,银行间与交易所债券市场的联动关系如何、哪个市场更加有效、未来如何提高两债市的联动及有效性,降低价格波动风险,促进利率市场化是学者们关注的问题。本文将采用最新的数据,运用VAR模型从债券市场本身、股市、货币政策、宏观经济环境四个角度全面地对银行间与交易所债券市场的联动关系问题进行分析和讨论,得出了两债券市场存在一定的联动性、银行间债券市场相对交易所债券市场更具有效性、债券市场本身股市波动对两债市的影响是短期的、宏观经济环境货币政策对两债市的影响是长期等结论。并据此提出我国债券市场未来发展的建议。
China’s inter-bank and exchange bond markets, since 1997, commercial banks to exit the exchange to establish an inter-bank bond market will form a fragmented pattern. With the development of China’s economy and finance, the government has made tremendous efforts to integrate the interbank bond market with the exchange. At present, interbank linkage with the exchange bond market, which market is more effective, how to improve the bond market and the effectiveness of the bond market in the future, reduce the risk of price fluctuations, and promote the interest rate market is the issue of concern scholars. This article will use the latest data, the use of VAR model from the bond market itself, the stock market, monetary policy, the macroeconomic environment from four angles comprehensive analysis of the interaction between the inter-bank and exchange bond market issues were analyzed and reached two bonds There is a certain linkage in the market. The bond market of the inter-bank bond market is more effective than the exchange-listed bond market. The stock market volatility of the bond market itself has a short-term impact on the two bond markets. The impact of the macroeconomic environment on the two bond markets is long-term in conclusion. And put forward suggestions on the future development of China’s bond market accordingly.