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利率市场化和债券市场的快速发展使得投资者面临着更多的投资风险。本文选取四大类七个经济指标来量化研究宏观经济变量对国债指数的动态影响。实证结果表明:通货膨胀因素对债券价格产生的影响在长短期不同;货币供应量和利率会在较长时间内对国债指数有反向影响;汇率在长期会对国债指数有反向影响;而经济增长则会带动国债指数的上涨。
Interest rate liberalization and the rapid development of the bond market make investors face more investment risk. This paper selects four major categories of seven economic indicators to quantify the dynamic impact of macroeconomic variables on the national debt index. The empirical results show that inflation has different effects on the bond prices in the short and long term; the money supply and interest rates will have an opposite effect on the national debt index over a long period of time; the exchange rate will have an opposite effect on the national debt index in the long run; Economic growth will drive the rise of the national debt index.