摘要
摘要
近年来农村商业银行传统信贷利差空间压缩严重，增收压力增大，将资金用
于金融市场交易逐渐成为农村商业银行重要的获取收益的方式。债券投资是其中
最为重要的资产配置方式和交易方式，DT农商行债券投资起步晚，提速快，逐
步形成了以配置利率债和信用债为主，并以交易利率债为辅的投资特征。但近年
来国家处于新的经济发展阶段，疫情引发的经济新周期，叠加房地产史无前例的
调控等，市场上面临的风险因素日趋复杂，使得债券投资获得超额收益的难度加
大。DT农商行债券投资发展时间较短、投资经验少，在债券投资发展过程中面
临着多重风险。
本文首先通过文献综述阐述农村商业银行的整体风险管理、债券投资风险研
究和债券风险管理的历史研究成果，简单介绍了实际操作过程中的债券的分类以
及债券投资风险概念与分类。其次通过对 DT农商行的业务经营实际情况分析，
得出其主要配置利率债和信用债，且利率债为主要交易券种，在利率债交易中面
临最主要的风险是利率风险。如何应对利率债的利率波动成为日常交易中的重要
工作内容。
针对如何管理利率风险，通过文献综述和历史经验分析得出，宏观经济指标
对债券利率有明显的影响。本文选择了 PMI、固定资产投资完成额、M1-M2增
速差、PPI、CPI等宏观因子。通过实证分析，研究了宏观经济指标对债券利率
的影响程度。通过研究结果制定 DT农商行在实际交易过程中的策略。在向量自
回归模型（VAR）的基础上，本文建立了结构向量自回归模型（SVAR），通过
Cholesky分解分析各变量的关系，通过脉冲响应分析衡量各宏观因子对债券利率
的影响。通过方差分解的方法考察各个宏观变量的相对重要性。最终得出结论，
宏观经济指标对债券利率有重要影响，且影响程度不一。由此，DT农商行需要
加强对宏观经济指标的预测分析，做好行情预判，才能更好的应对利率债的波动。
在日常交易中做好利率风险管理，减小债券投资亏损的可能性。
关键词：债券投资，风险管理，宏观经济，SAVR模型
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ABSTRACT
ABSTRACT
In recent years, the traditional credit spreads of rural commercial banks have
been severely compressed and the pressure of increasing income has increased. Using
funds for financial market transactions has gradually become an important way for
rural commercial banks to obtain income. Bond investment is the most important way
of asset allocation and transaction. DT commercial Bank's bond investment started
late and accelerated rapidly, gradually forming the investment characteristics of
allocating interest rate bonds and credit creditors, and supplemented by trading
interest rate bonds. However, in recent years, the country is in a new stage of
economic development, the new economic cycle caused by the epidemic, coupled
with the unprecedented regulation of real estate, and other risk factors in the market
are increasingly complex, making it more difficult for bond investment to obtain
excess returns. DT Rural Commercial Bank bond investment development time is
short, less investment experience, in the process of bond investment development is
faced with multiple risks.
This paper first expounds the overall risk management, bond investment risk
research and historical research results of bond risk management of rural commercial
banks through a literature review, and briefly introduces the classification of bonds in
the actual operation process and the concept and classification of bond investment risk.
Secondly, through the analysis of the actual situation of dt rural commercial bank's
business operation, it is concluded that its main allocation of interest rate bonds and
credit bonds, and interest rate bonds are the main trading bonds, and the most
important risk faced in interest rate bond transactions is interest rate risk. How to deal
with the interest rate fluctuations of interest rate bonds has become an important part
of daily transactions.
In view of how to manage interest rate risk, through literature review and
historical experience analysis, it is concluded that macroeconomic indicators have
obvious influence on bond interest rate. This paper selected PMI, fixed asset
investment completed amount, M1-M2 growth gap, PPI, CPI and other macro factors.
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ABSTRACT
Through empirical analysis, the influence of macroeconomic indicators on bond
interest rate is studied. Through the research results to formulate DT rural commercial
bank in the actual transaction process strategy. On the basis of vector autoregression
model (VAR), this paper established the structural vector autoregression model
(SVAR),
analyzed
the
relationship
between
variables
through
Cholesky
decomposition, and measured the impact of each macro factor on bond interest rate
through impulse response analysis. The relative importance of each macro variable is
investigated by means of variance decomposition. Finally, it is concluded that
macroeconomic indicators have an important impact on bond interest rates, and the
impact degree is different. Therefore, DT rural Commercial Bank needs to strengthen
the forecast analysis of macroeconomic indicators, do a good job of market prediction,
in order to better deal with the volatility of interest rate debt. Manage interest rate risk
well in daily transactions to reduce the possibility of bond investment losses.
Key words：Bond investment， Risk management， Macroeconomics， SAVR
model
IV
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