Integration, Risk and Its Factors in Chinese Government Bond Market

摘要：

This paper constructs indices reflecting the degree of segmentation and risk caused by the segment in Chinese government bond market. Both the degree of segmentation and risk are decreased. In addition, we also analyze the roles of monetary and fiscal policies on the segment and risk. Monetary policy has a much great effect on the segment and its effect on the risk can be offset by the one of fiscal policy. At last, we make some suggestions in detail.

关键词： Segment and risk in government bond market VaR CVaR Copula Monetary and fiscal policies

作者: 蒋贤锋 史永东

作者单位: 大连东北财经大学金融学院,116025 东北财经大学应用金融研究中心和金融学院

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）