暨南学报(哲学社会科学版)

作者：陈敏, 方意

单位：山东理工大学经济学院/中国票据研究中心副教授;方意,中央财经大学金融学院/中国票据研究中心副教授。

关键词：票据市场,溢出效应,区域差异,真实贸易

基金：中国票据研究中心“中国票据市场系统性风险研究”(批准号:PJZX201907);山东省社会科学规划数字山东研究专项“大数据助解山东省小微企业融资困境的作用机制与路径设计研究”(批准号:20CSDJ43);国家自然科学基金项目“金融周期视角下的中国银行业系统性风险防范与化解研究”(批准号:71973162);中央财经大学青年科研创新团队项目“中国金融部门系统性风险与金融稳定政策”;中国博士后科学基金项目“银行‘脱实向虚’、系统性风险与宏观审慎政策”(批准号:2020M670558)。

票据市场是与实体经济贸易活动紧密相连的金融子市场之一,这一市场的稳健运作不仅关系到其服务实体经济功能的实际效果,也是我国系统性金融风险防范的重要保障。本文运用LASSO-VAR模型,构建我国票据市场收益率在不同地区的相互溢出网络图,以此探究我国票据市场收益率溢出效应的跨时空特征及其驱动因素。本文的主要结论有:第一,从区域维度看,各地区票据市场的联动性主要是由各地区收益率对外溢出效应水平决定,且对外溢出效应的区域差异性很大;第二,从时间维度看,我国票据市场系统的收益率溢出效应存在较为明显的阶段性特征;第三,从跨时空维度看,不同地区票据市场对票据市场系统的稳定性发挥着不同的作用,区域分化特征比较明显;第四,从驱动因素看,进出口贸易总额增速、贷款增速对票据市场收益率溢出效应具有显著负向影响,而票据利率对票据市场收益率溢出效应具有正向影响,且滞后一阶的正向关系更为显著。基于此,为维护票据市场的稳健性,本文认为确保票据交易的真实贸易背景是关键,且应采取区域差异性监控策略。"/>template{display:none;}.mag-rich-xref-fn { cursor: pointer;}//长视频$(document).ready(function(){if($("#showLongArticleVideo") && $("#showLongArticleVideo").length && $("#showLongArticleVideo").length>0){mag_ajax_update({ele_id:'showLongArticleVideo',url:mag_currentQikanUrl() + "/CN/article/showLongArticleVideo.do?id="+$("#articleId").val()});}});$(document).ready(function(){window.metaData = {"journal":{"issn":"1000-5072","qiKanMingCheng_CN":"暨南学报（哲学社会科学版）","id":2,"qiKanMingCheng_EN":"Jinan Journal"},"fundList_cn":["中国票据研究中心“中国票据市场系统性风险研究”(批准号:PJZX201907);山东省社会科学规划数字山东研究专项“大数据助解山东省小微企业融资困境的作用机制与路径设计研究”(批准号:20CSDJ43);国家自然科学基金项目“金融周期视角下的中国银行业系统性风险防范与化解研究”(批准号:71973162);中央财经大学青年科研创新团队项目“中国金融部门系统性风险与金融稳定政策”;中国博士后科学基金项目“银行‘脱实向虚’、系统性风险与宏观审慎政策”(批准号:2020M670558)。"],"article":{"keywordList_cn":["票据市场","区域差异","溢出效应","真实贸易"],"juan":"42","zhaiyao_cn":"票据市场是与实体经济贸易活动紧密相连的金融子市场之一,这一市场的稳健运作不仅关系到其服务实体经济功能的实际效果,也是我国系统性金融风险防范的重要保障。本文运用LASSO-VAR模型,构建我国票据市场收益率在不同地区的相互溢出网络图,以此探究我国票据市场收益率溢出效应的跨时空特征及其驱动因素。本文的主要结论有:第一,从区域维度看,各地区票据市场的联动性主要是由各地区收益率对外溢出效应水平决定,且对外溢出效应的区域差异性很大;第二,从时间维度看,我国票据市场系统的收益率溢出效应存在较为明显的阶段性特征;第三,从跨时空维度看,不同地区票据市场对票据市场系统的稳定性发挥着不同的作用,区域分化特征比较明显;第四,从驱动因素看,进出口贸易总额增速、贷款增速对票据市场收益率溢出效应具有显著负向影响,而票据利率对票据市场收益率溢出效应具有正向影响,且滞后一阶的正向关系更为显著。基于此,为维护票据市场的稳健性,本文认为确保票据交易的真实贸易背景是关键,且应采取区域差异性监控策略。","endNoteUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=EndNote&id=6508","reference":"","bibtexUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=BibTeX&id=6508","abstractUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2020/V42/I11/116","qi":"11","id":6508,"nian":2020,"bianHao":"2020-11-116","zuoZheEn_L":"CHEN Min, FANG Yi","juanUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2020","shouCiFaBuRiQi":"2020-11-24","qiShiYe":"116","qiUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2020/V42/I11","lanMu_cn":"经济·管理","pdfSize":"2339","zuoZhe_CN":"陈敏, 方意","risUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=Ris&id=6508","title_cn":"我国票据市场收益率溢出效应的跨时空特征及其驱动因素研究:基于LASSO-VAR模型","jieShuYe":"132","keywordList_en":["Bill market","Real trade","Regional difference","Spillover effect"],"endNoteUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=EndNote&id=6508","zhaiyao_en":"The bill market is one of financial markets, which is closely linked with the real economic and trade activities. The stable operation of this market is not only related to the actual effect of its service to the real economy, but also an important guarantee for the prevention and resolution of systematic financial risks in China. In this paper, the LASSO-VAR model is used to construct the return spillover effect network of China's bill market in different regions, and to explore the cross time-space characteristics of the return spillover effect of China's bill market and its driving factors. The main conclusions of this paper are as follows: firstly, from the perspective of regional dimension, the linkage of regional bill market is mainly determined by the level of external spillover effect of regional yield, and the regional difference of external spillover effect is huge; secondly, from the perspective of time dimension, the spillover effect of China's bill market system has obvious stage characteristics; thirdly, from the perspective of cross time-space dimension, there are different relations between the return spillover of regional bill market and the system spillover, and the characteristics of regional differentiation are quite obvious; fourthly, from the perspective of driving factors, the changes of import and export trade and loan growth have a significant negative impact on the rate of return spillover effect of the bill market, while the bill interest rate has a positive impact on the rate of return spillover effect of the bill market, and the positive relationship lagging behind the first order is more significant. Based on this, this paper argues that the key lies in ensuring the real trade background of bill transaction and adopting the strategy of different regional monitoring in order to maintain the stability of the bill market.","bibtexUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=BibTeX&id=6508","abstractUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2020/V42/I11/116","zuoZheCn_L":"陈敏, 方意","juanUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2020","lanMu_en":"","qiUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2020/V42/I11","zuoZhe_EN":"CHEN Min, FANG Yi","risUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=Ris&id=6508","title_en":"A Study on the Cross Time-Space Characteristics and the Driving Factors of the Spillover Effect of the Yield in China's Bill Market: Based on LASSO-VAR Model","hasPdf":"true"},"authorNotes_cn":["陈敏,山东理工大学经济学院/中国票据研究中心副教授;方意,中央财经大学金融学院/中国票据研究中心副教授。"]};if(window.metaData && (!window.metaData.authorNotesCommon_cn && !window.metaData.authorNotesCorresp_cn && window.metaData.authorNotes_cn)){window.metaData.authorNotesCommon_cn = window.metaData.authorNotes_cn;}if(window.metaData && (!window.metaData.authorNotesCommon_en && !window.metaData.authorNotesCorresp_en && window.metaData.authorNotes_en)){window.metaData.authorNotesCommon_en = window.metaData.authorNotes_en;}var _nlmdtdXml = $("#article_nlmdtdXml").val();var magDir = _nlmdtdXml.replace(/\/[^\/]+$/,'');window.metaData.magDir = magDir;new mag_vue({ el: '#metaVue', //dataUrl: mag_currentQikanUrl() + '/EN/article/getRichHtmlJson.do?articleId='+$("#articleId").val(), data:window.metaData, loading:true, doTextFun:function(text){ return doDataJsonText(text); 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来源：2020年第11期

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