货币政策对股票和债券市场流动性影响的差异性研究

以上交所上市的全部股票和银行间债券市场的国债为研究对象,运用Granger因果检验、脉冲响应函数以及方差分解等计量分析方法,分析货币政策对于中国股票市场和银行间债券市场流动性的影响及其差异性。研究发现:货币政策没有对两个市场的流动性产生持久性影响,冲击程度较低,对两个市场流动性影响的差异性较小。     

交易机制与银行间债券市场流动性的实证分析

从理论上说,债券市场的流动性在一定程度上受到交易机制的影响。本文基于银行间债券市场交易的年数据和日数据,分别采用数据和计量的方法来验证不断完善的交易机制对该市场流动性的影响,结果表明做市商,开放式回购,远期交易,债券借贷的实施在一定程度上提高了市场的流动性,但计量结果并不显著。     

对买断式回购风险问题的探讨

买断式回购是指国债持有人将国债卖给买方的同时,交易双方约定在未来的某一时期,卖方(正回购方)再以约定的价格从买方(逆回购方)买回相等数量、同种国债的交易行为。买断式回购表现为一前一后(一即期一远期)两笔事先约定的反向交易,它实质上是一种"实券过户"的回购交易,具有融资和融券双重功能。它对债券市场最本质的影响就是给市场参与者提供了一个融券做空的机会,增强了债券市场的流动性,降低了债券市场的利率风险。     

中国金融行业最新发展报告

按照党中央国务院统一部署,今年年初以来中国金融行业从总体来看,货币信贷增长合理,金融运行平稳,债券发行规模增长较快。央行票据发行量占据绝对优势。其次是国债和政策性金融债,由于市场流动性维持充足局面,银行间债券市场债券回购交易量较好。     

中国金融业宝典：新颖、深度、权威的行业报道——中国金融行业最新发展报告

按照党中央国务院统一部署，今年年初以来中国金融行业从总体来看，货币信贷增长合理，金融运行平稳。债券发行规模增长较快。央行票据发行量占据绝对优势。其次是国债和政策性金融债，由于市场流动性维持充足局面，银行间债券市场债券回购交易量较好。     

开放式回购的交易策略及风险防范

流动性不足是我国债券二级市场的一个重要缺陷 ,开放式回购的推出将大大增强债券市场流动性。任何一个事物都是有利有弊的 ,开放式回购也有着比封闭式回购更大的风险 ,对其风险进行深入分析 ,并结合我国债券市场的实际并借鉴发达国家的经验提出风险防范措施     

做市商制度对银行间债券市场质量的提升分析

根据市场微观结构理论的框架,分析了做市商制度对银行间债券市场质量的影响.做市商制度有利于提高银行间市场的流动性,可以增强债券价格发现的有效性和减缓市场价格的渡动性.研究结果表明,引入做市商制度后银行间市场的有效价差显著下降,流动性改善,并且通过Granger因果检验方法,证实做市商制度的双边报价对于债券价格具有显著的引导作用,做市商制度的引进有利于提高资产的价格发现效率.     

经济变量对市场分割下我国债券市场的动态影响--基于银行间债券市场和交易所债券市场的比较

本文分别对银行间债券市场和交易所债券市场建立了VAR模型和进行脉冲响应分析、方差分解分析，研究了经济变量对两个债券市场的动态影响。结果显示，通货膨胀率和市场利率的上扬会带来两个市场收益率的升高，而货币供应量、股票市场收益率的提高则会使债券市场收益率产生反方向变化，并且交易所债券市场对于经济变量的冲击更为敏感，但银行间债券市场受冲击的影响更持久。     

国债买断式回购的会计问题初探

国债买断式回购业务在我国银行间债券市场和交易所债券市场已推出,对于买断式回购业务应该如何认识、理解?如何进行会计上的确认、计量和披露?是现行实务中亟待解决的问题。本文在简单介绍国债买断式回购业务的基础上, 进一步分析指出,应该将国债买断式回购业务视为一项融资活动,并探讨了与之相关的会计确认、计量和披露问题。     

2007一季度中国金融市场运行分析

2007年1季度,金融市场总体运行平稳,交易活跃。3月份,银行间市场债券发行量大幅增加,发行期限结构以中短期债券为主;货币市场流动性总体充足,市场交易活跃,拆借交易量和回购交易量均大幅增加,货币市场利率有     

Sovereign defaults and liquidity crises

Sovereign debt crises in emerging markets are usually associated with liquidity and banking crises. The conventional view is that the domestic turmoil is the consequence of foreign retaliation, although there is no clear empirical evidence on “classic” default penalties. This paper emphasizes, instead, a direct link between sovereign defaults and liquidity crises building on two natural assumptions: (i) government bonds represent a source of liquidity for the domestic private sector and (ii) the government cannot discriminate between domestic and foreign creditors in the event of default. In this context, external debt emerges even in the absence of classic penalties, and government default is countercyclical, triggers a liquidity crunch, and amplifies output volatility. In addition, a reform that involves a substitution of government bonds with privately-sourced liquidity instruments could backfire by restricting governments' access to foreign credit.     

Liquidity and macroeconomic management in emerging markets

Emerging markets have received considerable attention for foreign investment and international diversification due to the possibility of higher earnings and a low level of integration with global equity markets. These high returns often need to be balanced by the high liquidity costs of trading in illiquid emerging markets. Several studies have shown that central bank and government policies are significant determinants of market liquidity. We investigate the influence of monetary and fiscal policy variables on the market and firm level liquidity of eight emerging stock markets of Asia. Using four different (il)liquidity measures and nine macroeconomic variables, we find that changes in the money supply, government expenditure and private borrowing significantly affect stock market liquidity. Illiquidity is also strongly affected by the bank rate, short-term interest rate and government borrowing. We demonstrate that ‘crowding out’ and ‘cost of funds’ effects exist in these markets. Other major findings are that some markets are more sensitive to local macroeconomic news than world factors, the impact on size based portfolios largely depends on the instruments used by the central banks and government, the liquidity of the manufacturing sector is affected by changes in any policy variables, financial institutions are only influenced by monetary policy variables, and the service sector is least affected.     

Are Gold and Government Bond Safe‐Haven Assets? An Extremal Quantile Regression Analysis

This study reexamines gold and government bonds as potential safe‐haven assets (SHAs) during market turmoil from daily data in 16 international markets over the past 20 years. We apply the extremal quantile regression model by Chernozhukov and Chernozhukov and Fernandez‐Val for empirical investigation. The outcomes indicate that a government bond is more likely to be qualified an active SHA, which can increase in value during market turmoil. Gold can be generally evaluated as a passive SHA, which is uncorrelated with market slumps. However, at the extremal 0.001 quantile level, neither asset can be qualified as a SHA. Since both assets exhibit a similar number of cases of being qualified as SHAs, we cannot significantly differentiate the “flight‐to‐liquidity” and “flight‐to‐quality” hypotheses. In terms of market selection, United States and Singapore are the top two choices while France and Hungary are the least commended markets to invest their local gold market as SHA.     

Liquidity and stock returns in emerging equity markets

Using data for 27 emerging equity markets for the period January 1992 through December 1999, we document the behavior of liquidity in emerging markets. We find that stock returns in emerging countries are positively correlated with aggregate market liquidity as measured by turnover ratio, trading value and the turnover–volatility multiple. The results hold in both cross-sectional and time-series analyses, and are quite robust even after we control for world market beta, market capitalization and price-to-book ratio. The positive correlation between stock returns and market liquidity in a time-series analysis is consistent with the findings in developed markets. However, the positive correlation in a cross-sectional analysis appears to be at odds with market microstructure theory that has been empirically supported by studies on developed markets. Our findings regarding the cross-sectional relation between stock returns and liquidity is consistent with the view that emerging equity markets have a lower degree of integration with the global economy.     

Long-duration bonds and sovereign defaults

This paper extends the baseline framework used in recent quantitative studies of sovereign default by assuming that the government can borrow using long-duration bonds. This contrasts with previous studies, which assume the government can borrow using bonds that mature after one quarter. We show that, when we assume that the government issues bonds with a duration similar to the average duration of sovereign bonds in emerging economies, the model generates an interest rate that is substantially higher and more volatile than the one obtained assuming one-quarter bonds. This narrows the gap between the predictions of the model and the data, which indicates that the introduction of long-duration bonds may be a useful tool for future research about emerging economies. Our analysis is also relevant for the study of other credit markets.     

Overdeterminacy and Endogenous Cycles: Trygve Haavelmo's Business Cycle Model

The econometrician Trygve Haavelmo pursued a research programme in macroeconomic theory that was highly original for its time. We present his macro model for an economy with deregulated financial markets and a policy determined interest rate path. Disequilibria arise in the interface between asset markets and the real economy. A mismatch between the marginal return to capital and investors' required rate generates endogenous switching between recession and full employment regimes. Haavelmo regarded the ‘switching mechanism’ as a substitute for liquidity constraints, and together with his ideas of price dynamics, there is a clear Keynesian and Wicksellian influence on his macroeconomic theorizing.     

Frontier and emerging government bond markets

We investigate correlation dynamics and diversification properties of US dollar-denominated debt issued by governments of frontier markets. Our analysis is on the aggregate, regional, and country level, with a sample covering 29 countries over the period 2001–2013. We show that the correlation between the returns of frontier government bond markets and US government bonds is time-varying, but on average close to zero. Correlations with US investment grade corporate bonds, US corporate high yield bonds, and US dollar-denominated debt issued by governments of emerging markets are substantially higher, which limits diversification benefits for investors who already own these asset classes.     

Turnover and return in global stock markets

I study how growth affects liquidity of global stock exchanges and how liquidity determines cross-sectional returns on those stock exchange index portfolios. I measure portfolio liquidity by turnover ratio computed as value of shares traded over the market capitalization. I obtain data from FIBV, an association of global stock exchanges. In a multiple regression model for turnover ratio, I find age, size, type of exchange, competition for order flow, and growth rate to be significant determinants of portfolio liquidity; however, exchange- and time-specific effects are more appropriate for modeling portfolio liquidity. The time effects yield to three distinct regimes, while the exchange-specific effects are surrogates for the legal systems, English common law, and Civil laws of the countries. I estimate the parameters of a multiple regression model in a two-stage GLS framework in which index return is a function of turnover. The GLS method is preferable since a turnover ratio may have a non-stationary, random component. The significant determinants of index return are turnover and volatility, although some of the volatility effect may be a spillover from a January effect. Investors expect higher return from high turnover markets. However, the positive turnover expected return relation is true only in emerging markets; in developed markets expected return is a function of volatility. This result confirms existing empirical evidence that high turnover stock portfolios generate superior returns and further the sources and pricing of risk in emerging and developed markets are different.     

Liquidity shocks,commodity financialization,and market comovements

We explore whether and how liquidity factors influence risk transfers between commodity and stock markets using a composite liquidity index and five different types of liquidity measures. We find that liquidity shocks, including both funding liquidity and market liquidity, are positively associated with comovements between commodity and stock markets after 2000, although the relationship is insignificant before 2000. The structural change indicates that financialization creates a role for adverse liquidity shocks to increase cross-market correlations. Further evidence shows that the effect of liquidity on cross-market correlations is state-dependent and intensifies when liquidity conditions deteriorate and asset returns sustain substantial declines. Our findings are not explained by business cycles.     

Quantitative Easing and Liquidity in the Japanese Government Bond Market

The “Quantitative and Qualitative Monetary Easing” enacted immediately after the inauguration of Bank of Japan Governor Kuroda brought violent fluctuations in the prices of government bonds and deteriorated market liquidity. Does a central bank's government bond purchasing policy generally reduce market liquidity? Do conditions exist that can prevent such a decrease? This study analyzes how the Bank of Japan's purchasing policy changes influenced market liquidity. The results reveal that three specific policy changes contributed significantly to improving market liquidity: (i) increased purchasing frequency; (ii) a decrease in the purchase amount per auction; and (iii) reduced variability in the purchase amounts. These policy changes facilitated investors' purchase schedule expectations and helped reduce market uncertainty. The evidence supports the theory that the effect of government bond purchasing policy on market liquidity depends on the market's informational environment.