Research on Iinkage Effect of China-US Bond Market from the Perspective of Bond Connect
Since the implementation of the Bond Connect policy in July 2017,the internation-alization of China's bond market has continued to increase,and the risk spillover effect of do-mestic and foreign bond markets has become increasingly obvious.From the perspective of the linkage,this paper adopts the DY spillover index method and the DCC-GARCH-Hong method to analyze the correlation between China and the US bond markets before and after the implementa-tion of Bond Connect.The results show that after the implementation of the Bond Connect policy,the linkage between China's bond market and the US bond market has been significantly en-hanced,especially the northbound trading has played a particularly significant role in promoting mean spillover,while the southbound trading has had a relatively weaker effect,which indicates that there are long-term or short-term spillover effects between China and the US markets,and the dynamic correlation coefficients are more volatile and cyclical.Overall,the Bond Connect policy has initially realized the original intention of improving market efficiency and expanding connectivity.Finally,the policy optimization of Bond Connect is proposed to strengthen the regu-latory coordination and risk monitoring between domestic and foreign bond markets,and opti-mize the supporting measures of Bond Connect in order to better meet the needs of investors.
Bond Connectlinkage effectspillover effectDCC-GARCH-Hong Method
万方数据
