基于DCC-GARCH模型的我国利率债和利率互换之间波动溢出效应研究

Research on the Volatility Spillover Effects between China’s Interest Rate Bonds and Interest Rate Swaps Based on the DCC-GARCH Model

摘要: 伴随着人民币国际化和国内金融市场深层次建设的加速，债券市场和利率互换市场都越来越受到多元主体的关注。利率债市场是公开利率的风向标之一，利率互换市场则是金融机构风险管理的重要抓手，两个市场受同样的因素影响具有相似的反应机制，彼此之间存在着复杂的动态相依关系，刻画这种关系对于完善金融市场、丰富政策工具和强化风险管理都有重要意义。本文采用t-Copula模型和DCC-GARCH模型，基于一年期和五年期国债收益率、互换利率收益率数据讨论了我国利率债和利率互换之间的动态相依关系和波动溢出效应。本文发现两者之间不仅存在着动态相依关系，还具有显著的交互影响和波动溢出效应。

Abstract: With the acceleration of the internationalization of the Renminbi and the deepening construction of domestic financial markets, both the bond market and the interest rate swap market are increasingly garnering attention from diverse entities. The interest rate bond market serves as one of the barometers for public interest rates, while the interest rate swap market is a crucial mechanism for risk management in financial institutions. Both markets, influenced by similar factors, exhibit akin reaction mechanisms and share a complex dynamic interdependence. Characterizing this interdependence is vital for the refinement of financial markets, the enrichment of policy tools, and the strengthening of risk management. This paper employs the t-Copula model and the DCC-GARCH model to discuss the dynamic interdependence and volatility spillover effects between China’s interest rate bonds and interest rate swaps, using data on one-year and five-year government bond yields and swap rate returns. The findings reveal not only a dynamic interdependence between the two but also significant mutual influences and volatility spillover effects.