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本文对我国银行间国债市场流动性黑洞进行了理论分析和实证检验。理论分析表明,虽然市场参与主体范围不断扩大,但实际参与交易的市场交易成员仍具有较高的同质性。通过建立债券收益与交易量双变量自回归模型,利用银行间国债市场逐笔交易面板数据,对银行间国债市场流动性黑洞进行实证检验。结果表明:债券收益率和交易变化量均呈正向自相关关系,交易量指令流的变化导致债券当期收益率的反向变化,滞后的收益率对当期交易产生负向影响,我国银行间国债市场部分债券存在流动性黑洞。
This paper conducts a theoretical analysis and empirical test on the liquidity black holes in China’s inter-bank bond market. Theoretical analysis shows that although the main body of market participation continues to expand, the members of the market participants actually participating in the transaction still have high homogeneity. By establishing a bivariate autoregressive model of bond yields and trading volume, panel data are used to analyze the liquidity black holes in the interbank bond market. The results show that both the bond yield and the trading volume have a positive autocorrelation. The change of the volume of the trading volume leads to the reverse change of the current bond yield. The lagged return rate has a negative impact on the current transaction. Some of the bonds have liquidity black holes.