摘要
为研究国际金融危机后，国际投资者风险偏好变化对中国国债收益率的影响，本文选取了2009年3月16日至2016年12月23日的一年期、三年期、五年期的中债国债到期收益率以美国及标准普尔500波动率指数（VIX）的全部数据为研究对象。利用时间序列分析法，构建能够衡量影响特征的VAR模型，并对结果进行AR根检验和脉冲响应分析，重点探究我国不同期限国债收益率受国际投资者风险偏好变化程度影响的特征。实证分析表明，VIX指数确实是中债国债1年期到期收益率的格兰杰原因，国际投资者的风险偏好程度的改变会在一段时期内对中债国债1年期到期收益率产生一个正向影响，且这种影响具有一定的滞后性，但该影响会随期限的拉长逐渐减弱，不会产生持续性的影响。
In order to study the influence of international investors＂ risk preference on the yield of China＇s national debt after the international financial crisis, this paper selected the one-year, three-year and five-year period from March 16, 2009 to December 23, 2016, The maturity of the bonds in the maturity of the debt to the United States and the S ＆ P 500 volatility index （VIX） of all the data for the study. The time series analysis method is used to construct the VAR model which can measure the influence characteristics, and the AR root test and the impulse response analysis are carried out. The characteristics of the influence of the different national debt yields on the change of the risk preference of the international investors are mainly discussed. Empirical analysis shows that the V1X index is indeed the Granger cause of the 1 -year yield due in the Treasury bond, and the change in the risk appetite of the international investor will occur over a period of one year on the one-year yield A positive effect, and this effect has a certain lag, but the effect will gradually weaken with the extension of the term, will not have a lasting impact.
