金融市场风险溢出对银行理财产品收益的效应研究

doi:10.3969/j.issn.2095-5863.2024.01.002

	金融市场风险溢出对银行理财产品收益的效应研究
其他题名	Research on the Effect of Financial Market Risk Spillover on the Return of Bank Financial Products
	龙林茂; 郑琦; 田亚军
	2024-02-15
发表期刊	财经理论研究
期号	1 页码:12-25
摘要	随着《关于规范金融机构资产管理业务的指导意见》的正式实施,银行理财产品在债券市场与货币市场的投资比重增大,分析投资者所承担的金融市场风险溢出效应,有利于投资者对银行理财产品进行选择.本文运用溢出指数法测度债券市场与货币市场风险溢出对银行理财产品收益率的效应或者风险贡献,并运用GARCH模型检验溢出指数法测度的有效性,继而就《关于规范金融机构资产管理业务的指导意见》实施前后的影响进行对比分析.研究表明:债券市场对银行理财产品投资收益有相对较大的风险溢出效应,货币市场的风险溢出效应相对较小,且债券市场变化对银行理财产品投资收益的影响存在滞后效应.《关于规范金融机构资产管理业务的指导意见》实施前后,债券市场、货币市场对银行理财产品投资收益的风险溢出效应呈现前高后低.《关于规范金融机构资产管理业务的指导意见》实施后,债券市场和货币市场对银行理财产品收益的风险溢出效应并没有因投资比重增加而显著增强.未来,银行理财产品投资者承担的风险主要来源于银行的投资管理.银行需要在债券市场进一步加强投资管理,以降低银行理财产品投资者的风险.
其他摘要	After the implementation of the New Asset Management Regulation,the proportion of bank financial products in the bond market and money market has increased.Analyzing the spillover effect of financial market risks borne by investors is helpful for investors to choose bank financial products.This paper tries to measure the effect of risk spillover in bond market and money market on the yield rate of bank financial products,or the risk contribution to it by adopting spillover index approach,and GARCH model is used to test the effectiveness of the spillover index approach.Furthermore,the influence before and after the implementation of the New Asset Manage-ment Regulation is compared and analyzed.The research shows that:the bond market has a relatively large risk spillover effect on the investment return of bank financial products,the risk spillover effect in money market is rela-tively small,and the bond market changes have a lagging effect on the investment returns of bank financial prod-ucts.Before and after the implementation of the New Asset Management Regulation,the risk spillover effect in bond market and money market on the investment return of bank financial products is higher before and lower after;After the implementation of the New Asset Management Regulation,the risk spillover effect in bond market and money market on the investment return of bank financial products has not significantly enhanced due to an increase in in-vestment proportion.In the future,the risk borne by the investors of bank financial products mainly comes from the investment management of banks.Since the end of the transition period of the New Asset Management Regulations,banks need to further strengthen investment management in the bond market to reduce the risk of in bank financial products.
关键词	金融市场风险溢出资管新规银行理财产品收益
DOI	10.3969/j.issn.2095-5863.2024.01.002
URL	查看原文
收录类别	AMI
ISSN	2095-5863
语种	中文
原始文献类型	Periodical
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/37460
专题	统计与数据科学学院
作者单位	兰州财经大学统计学院,甘肃兰州 730020
第一作者单位	统计与数据科学学院
推荐引用方式 GB/T 7714	龙林茂,郑琦,田亚军. 金融市场风险溢出对银行理财产品收益的效应研究[J]. 财经理论研究,2024(1):12-25.
APA	龙林茂,郑琦,&田亚军.(2024).金融市场风险溢出对银行理财产品收益的效应研究.财经理论研究(1),12-25.
MLA	龙林茂,et al."金融市场风险溢出对银行理财产品收益的效应研究".财经理论研究 .1(2024):12-25.