国债指数

国债指数GARCH模型实证研究

An Empirical Research in the National Bonds Index by GARCH Model

相比之下，巴克莱资本（BarclaysCapital）的国债指数在这十年实现了85%的总体回报率（包括资本收益和利息收入）。

By contrast , a Barclays Capital index of Treasury bonds has delivered a total return , including capital gains and interest , of 85 per cent this decade .

运用VAR模型、Granger因果检验、脉冲响应分析及协整检验对证券交易所国债指数和银行间国债指数的关联性进行检验和分析。

The paper tests and analyzes the linkage between bourse and inter-bank treasury bond index by using VAR ( model ,) Granger causal test , impulse response analysis and co-integration test .

相比之下，巴克莱（Barclays）美国国债指数今年累计回升了5.8%，而期限在20年以上的一篮子国债累计上涨了14.2%。

In contrast , Barclays ' index of US Treasuries has returned 5.8 per cent this year , while a basket of bonds with a maturity of more than 20 years has gained 14.2 per cent .

然后，进一步研究不同时间尺度下上证国债指数的波动性。

The volatility of SSE T-Bond Index is also researched on various time scales in this paper .

由于上海证券交易所2003年才颁布了上海国债指数，本文采用类似的方法，编制了一种新的上海国债指数，时间追溯到1997年。

Using a similar method , a new Shanghai bond index which dated from 1997 is compiled .

上证国债指数存在一个易变性变动的平均周期，约为20天。

An average cycle which is about 20 days was discovered in the time series of SSE T-Bond Index .

实证结果表明证券交易所国债指数对银行间国债指数有较强的引导作用，二者之间存在短期相关关系，而不存在协整关系。

The empirical results indicate that the bourse index has a strong guiding effect on the inter-bank index , and there is a shortterm correlation but no significant long-term equilibrium relation between them .

但衡量预期通胀的一个指标传统国债与指数挂钩型国债收益率之间的差距，已下跌至14个基点。

But one measure of expected inflation the gap between yields on conventional and index-linked Treasuries has collapsed to 14 basis points .

如今，约有30%的英国国债为指数化国债，美国的这一比例为10%。

Some 30 per cent of the UK national debt is now in indexed bonds , as is 10 per cent of US debt .

通过对上海证券交易所国债市场指数收益率序列波动特征的研究发现，上交所国债市场指数收益率不但具有非正态性和条件异方差的特点，还具有长记忆性特征。

By the empirical analysis of the national debt market returns and volatilities in the Shanghai stock exchange , the return rates of national debt market price integrated index are found to be abnormal and with long memory properties .

关于常规英国国债和通胀指数挂钩型英国国债的数据显示，通胀预期略有恶化，尽管还不至于为此出台紧缩。

Data on conventional and index-linked gilts suggest a modest worsening of inflation expectations , though not one sufficient to justify a tightening .

实际上，通胀预期不管其衡量工具是消费者调查、专业预测师的调查，还是非指数连动的国债证券和指数连动国债债券之间的利差都指向大幅下滑。

Indeed , inflation expectations whether measured by consumer surveys , surveys of professional forecasters or the difference between interest rates on non-indexed Treasury securities and Treasury indexed bonds all point to a sharp decline .

本文通过线性回归分析了上海证券交易所较活跃国债的全价及净价走势与上交所国债指数走势的关系，指出该指数对于不同类型投资者有不同的参考意义。

This article tries to analyze the relationship between full and net prices of actively-traded treasury bonds and the bond index of Shanghai Stock Exchange ( SSE ) by using linear regression .