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本文将结构突变理论引入微观市场研究领域,分别对中国银行间债券市场的综合流动性、国债流动性、政策性金融债券流动性、短期融资券流动性的数据生成过程进行了经验研究。研究结果表明,1999年10月到2008年2月期间,政策性金融债券流动性基本保持平稳,综合流动性、国债流动性、短期融资券流动性均服从单位根过程,流动性的数据生成过程没有出现结构突变,考虑到经济变量数据具有“路径依赖”特征,从整体上看,中国银行间债券市场流动性呈现平稳上升趋势。
This dissertation introduces the theory of structural mutation into the micro-market research field, and conducts empirical research on the data generation process of the comprehensive liquidity, bond liquidity, policy financial bond liquidity and short-term liquidity liquidity in China’s inter-bank bond market respectively. The results show that during the period from October 1999 to February 2008, the liquidity of policy-oriented financial bonds basically remained stable. The liquidity of comprehensive liquidity, national debt and short-term financing bills all followed the unit root process and the liquidity data generation process No structural changes have taken place. Taking into account the fact that the economic variables have the characteristics of “path dependence,” the overall liquidity of the inter-bank bond market in China shows a steady upward trend.