银行间债券市场现券流动性研究

流动性是交易的基本需要。本文以银行间做市商的买卖价差为流动性指标,利用债券交易高频数据,对国债、金融债和企业债市场的周内变化特征和现券流动性影响因素做实证研究。发现:各市场流动性在周内不同交易日差别不大,无周内效应;各类债券既有各自的影响因素,又共同受到价格风险和发行规模的影响,但由于投资者偏好和债券属性等原因,因素的作用方向不同;剔除因素影响后,不同债券的现券买卖价差无显著差异,表明分析中对于影响做市商做市的风险因素考虑较为充分,且做市商行为符合存货模型。     

银行间市场绿色债券流动性研究

流动性是反映债券市场资源配置效率的一个重要指标,目前银行间绿色债券市场的流动性水平较低,“漂绿”风险的降低有助于提升绿色债券流动性。本文根据《共同分类目录》定义深绿债券,使用银行间债券市场2023年2月份的双边报价数据,构建买卖价差指标,对绿色债券和深绿债券的流动性进行分析。研究发现,在不同债券类别中,绿色债券、深绿债券的流动性低于利率债劵和信用债券,深绿债券的流动性也明显低于绿色债券;在同一债券类别中,深绿债券的流动性仍低于绿色债券。实证分析发现,绿色债券的流动性主要与其发行规模有关,债券发行规模越大,发债主体融资能力越强,二级市场交易对手方越多,则流动性越好;绿色债券流动性较差,主要是因为绿色债券尤其是深绿债券本身比较少,并缺乏国内责任投资者群体。基于研究结果,建议从统一国内外绿色债券界定标准、鼓励交易平台和市场成员共同推进绿色债券产品创新、增大绿色债券的国内外推广力度等方面完善中国绿色债券市场。     

发展企业债券市场的关键在于增强企业债券流动性

我国企业债券市场的发展远远滞后于股票市场和国债市场的发展，其原因是企业债券市场缺乏流动性，无法吸引机构投资者，阻碍了企业债券的市场化进程。增强企业债券流动性的有效途径是增加企业债券品种和发债主体，调整债券结构，发展地方企业债券市场，培养机构投资者。     

银行间债券市场现券流动性研究

流动性是交易的基本需要.本文以银行间做市商的买卖价差为流动性指标.利用债券交易高频数据,对围债、金融债和企业债市场的周内变化特征和现券流动性影响因素做实证研究.发现:各市场流动性在周内不同交易日差别不大,无周内效应;各类债券既有各自的影响因素,又共同受到价格风险和发行规模的影响,但由于投资者偏好和债券属性等原因,因素的作用方向不同;剔除因素影响后,不同债券的现券买卖价差无显著差异,表明分析中对于影响做市商做市的风险因素考虑较为充分,且做市商行为符合存货模型.     

债券违约对流动性影响的传染效应研究

2014年以来我国信用债市场违约事件频发,信用风险的积聚可能引发债券市场流动性恶化。本文以2014―2019年交易所和银行间市场信用债为研究对象,实证考察违约事件对债券流动性影响的传染效应。研究发现:违约事件在同一发行主体的债券之间具有流动性传染效应,当公司的某期债券出现违约时,公司其他未到期债券的流动性水平显著下降;违约事件对同行业其他公司债券的流动性具有传染效应,当行业中出现债券违约事件时,行业内其他公司的债券流动性显著降低;违约事件爆发越密集或者违约事件越严重,对债券流动性的负面影响越大,而且民营企业债受到的影响要大于国有企业债,低信用等级债受到的影响要大于高信用等级债;在市场密集爆发违约事件或出现较为严重的违约事件时期,宏观流动性增加能够改善债券流动性。     

我国国债市场流动性研究

目前,我国国债规模迅速膨胀,带动国债市场也发展迅速,2016年4月国债的抢购热潮更是引发了社会各界的关注。但是,需要指出的是,从根本上讲,我国国债市场的流动性问题并没有得到根本性的解决。国债市场的流动性问题是衡量其基本功能和健康发展的重要属性和标志,它不仅关系着债券市场投资能否顺利进行,还影响着我国金融市场的经济秩序和整个国家宏观经济政策的顺利实施。     

中外国债市场流动性的比较研究

国债市场作为金融市场的一个重要组成部分．是财政政策和货币政策的结合点。然而。我国国债市场尚处于初级阶段．可交易国债品种有限、市场分割、参与者主体限制、市场化程度低．与西方发达国家成熟国债市场相比。还有很大差距。因此。对我国和西方发达国家国债市场流动性进行比较分析．挖掘其中差异的深层次根源．并吸取西方发达国家在长期的经济发展中积累的丰富的国债市场发展管理经验教训．提高我国国债市场流动性．使国债市场走上良性循环．这对我国国债市场的发展具有极其重要的意义。     

审慎推进我国银行间债券市场两类回购改革

债券回购交易兼具融资、融券属性,是金融机构重要的交易工具,与拆借、现券、衍生品市场具有较强联动效应,也是央行货币政策操作的主要工具之一。银行间债券回购作为我国银行间市场的主要组成部分,在调节流动性、传导货币政策、推动利率市场化改革等方面发挥着重要作用。与国际上转移质押物所有权的做法不同,我国债券回购以质押券冻结方式为主。随着银行间债券市场的不断发展,质押式回购冻结的债券越来越多,形成了“流动性越好的债券反而越容易被冻结”的现象,制约了债券二级市场流动性,不利于健全国债收益率曲线与货币政策传导,影响价格发现与债券估值。两类回购利率比价关系不尽合理,易造成不同类型回购利率之间利差走阔。审慎推进银行间债券市场两类回购改革,发挥市场自主选择机制,适度调整回购市场格局,完善现有回购制度逐步与国际接轨,有利于提高债券二级市场流动性,满足金融机构的债券交易型需求,更好发挥债券回购在货币市场中的稳定器和利率锚的作用,推进银行间债券市场对外开放与健康发展。     

基于La-VaR模型的中国国债市场流动性风险研究

本文基于La-VaR模型测度中国国债市场流动性风险,并选取2009—2015年上证国债指数为数据,采用GARCH-VaR模型和La-VaR模型度量国债市场所面临的流动性风险,分析La-VaR模型对我国国债市场流动性风险测度的有效性。结果表明：相对于传统的VaR模型,La-VaR模型能更好的测度国债市场的流动性风险,且La-VaR模型的预测结果与国债市场的表现大致吻合,可对国债市场进行较好的预测。     

交易所国债市场流动性分析

本文分析了目前交易所国债市场流动性的一般状况,并从各角度分析其原因,在此基础上探讨了交易所国债价格和流动性的关系,最后分析了提高国债市场流动性的措施。     

Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union

Spain enacted a number of important debt management initiatives in 1997 to prepare its Treasury bond market for European Monetary Union. We interpret the impacts of these changes through shifts in a bond liquidity “life cycle” function. Furthermore, we highlight the importance of expected average future liquidity in explaining Spanish bond liquidity premiums. We also uncover pricing biases that support the Spanish Treasury’s tactical decision to target high-coupon, premium bonds in its pre-EMU debt exchanges. Finally, we show that EMU has been associated with both a decrease in bond yield volatility and an increase in pricing efficiency.     

Liquidity risk of corporate bond returns: conditional approach

We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973–2007 in a regime-switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices, whereas in another regime, a rise in illiquidity produces significant but conflicting effects: Prices of investment-grade bonds rise while prices of speculative-grade (junk) bonds fall substantially (relative to the market). Relating the probability of these regimes to macroeconomic conditions we find that the second regime can be predicted by economic conditions that are characterized as “stress.” These effects, which are robust to controlling for other systematic risks (term and default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to liquidity. Our model can predict the out-of-sample bond returns for the stress years 2008–2009. We find a similar pattern for stocks classified by high or low book-to-market ratio, where again, liquidity shocks play a special role in periods characterized by adverse economic conditions.     

Are Liquidity and Information Risks Priced in the Treasury Bond Market?

We provide a comprehensive empirical analysis of the effects of liquidity and information risks on expected returns of Treasury bonds. We focus on the systematic liquidity risk of Pastor and Stambaugh as opposed to the traditional microstructure-based measures of liquidity. Information risk is measured by the probability of information-based trading (PIN). We document a strong positive relation between expected Treasury returns and liquidity and information risks, controlling for the effects of other systematic risk factors and bond characteristics. This relation is robust to many empirical specifications and a wide variety of traditional liquidity and informed trading proxies.     

An Empirical Analysis of Stock and Bond Market Liquidity

This article explores cross-market liquidity dynamics by estimatinga vector autoregressive model for liquidity (bid-ask spreadand depth, returns, volatility, and order flow in the stockand Treasury bond markets). Innovations to stock and bond marketliquidity and volatility are significantly correlated, implyingthat common factors drive liquidity and volatility in thesemarkets. Volatility shocks are informative in predicting shiftsin liquidity. During crisis periods, monetary expansions areassociated with increased liquidity. Moreover, money flows togovernment bond funds forecast bond market liquidity. The resultsestablish a link between "macro" liquidity, or money flows,and "micro" or transactions liquidity.     

引入国债期货合约能否发挥现货市场稳定效应?——基于中国金融周期的研究视角

我国国债期货市场能否发挥稳定现货市场功能,金融周期风险是否会改变国债期货市场对现货市场波动的影响,是投资者实施风险管理和监管部门构建市场稳定机制的重要依据。本文通过信息传递机制和交易者行为两个维度探析国债期货市场发挥稳定功能的微观机理,分析金融周期风险对衍生工具稳定功能的影响,解析引入国债期货合约能否缓解金融周期波动对国债市场冲击,同时关注我国国债期货交易机制改进与现券波动关系。研究发现:(1)我国国债期货市场已实现抑制现货市场波动的功能,金融周期风险会引发现货价格波动,国债期货市场能够降低金融周期的波动冲击;(2)改善现货市场深度和套保交易是国债期货市场发挥稳定功能的微观路径,国债期货市场增进国债预期交易量流动性、减弱非预期交易量干扰,金融周期低波动区间套保交易稳定作用受到抑制;(3)国债期货投机交易和波动溢出效应助长现货市场波动,正负期现基差对国债波动影响具有非对称特征。     

国外通胀指数债券的发展、运作机理及借鉴

政府通胀指数债券作为债券市场的一种债券品种创新,具有能够帮助投资者规避长期国债投资的购买力风险、降低国债发行成本并有利于国债的顺利发行、为宏观经济调控提供有用信息等优势,我国应适时推出通胀指数债券以促进国债市场的发展。     

The Relation Between Treasury Yields and Corporate Bond Yield Spreads

Because the option to call a corporate bond should rise in value when bond yields fall, the relation between noncallable Treasury yields and spreads of corporate bond yields over Treasury yields should depend on the callability of the corporate bond. I confirm this hypothesis for investment-grade corporate bonds. Although yield spreads on both callable and noncallable corporate bonds fall when Treasury yields rise, this relation is much stronger for callable bonds. This result has important implications for interpreting the behavior of yields on commonly used corporate bond indexes, which are composed primarily of callable bonds.     

Noise as Information for Illiquidity

We propose a market‐wide liquidity measure by exploiting the connection between the amount of arbitrage capital in the market and observed “noise” in U.S. Treasury bonds—the shortage of arbitrage capital allows yields to deviate more freely from the curve, resulting in more noise in prices. Our noise measure captures episodes of liquidity crises of different origins across the financial market, providing information beyond existing liquidity proxies. Moreover, as a priced risk factor, it helps to explain cross‐sectional returns on hedge funds and currency carry trades, both known to be sensitive to the general liquidity conditions of the market.     

Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach

In this study, we use a factor model in order to decompose sovereign Credit Default Swaps (CDS) spreads into default, liquidity, systematic liquidity and correlation components. By calibrating the model to sovereign CDSs and bonds we are able to present a better decomposition and a more accurate measure of spread components. Our analysis reveals that sovereign CDS spreads are highly driven by liquidity (55.6% of default risk and 44.32% of liquidity) and that sovereign bond spreads are less subject to liquidity frictions and therefore could represent a better proxy for sovereign default risk (73% of default risk and 26.86% of liquidity). Furthermore, our model enables us to directly study the effect of systematic liquidity and flight-to-liquidity risks on bond and CDS spreads through the factor sensitivity matrix. We find that these risks do have an influence on the default intensity and they contribute significantly to spread movements. Finally, our empirical results advance the idea that the increase in the CDS spreads observed during the crisis period was mainly due to a surge in liquidity rather than to an increase in the default intensity.