透明度对银行间债券市场流动性变化趋势的影响

为检验透明度制度变化对我国银行间债券市场流动性变化趋势是否有影响,本文将突变理论引入债券市场研究,并对我国银行间债券市场的综合流动性、国债流动性、政策性金融债券和短期融资券流动性进行突变检验。结果表明,我国银行间债券市场流动性数据的生成过程没有出现结构突变,整体上观察,我国银行间债券市场流动性呈平稳上升趋势。我们又使用非参数检验方法检验了透明度变化对流动性的影响,结果表明,透明度对流动性的影响因债券而各异,对整个银行间债券市场的流动性也因各种债券受到透明度的影响强度不同而不同。

The Effect of Transparency on the Liquidity of Inter-bank Bond Market

In the paper,the authors introduce the catastrophe theory to study the comprehensive liquidity in the inter-bank bond market in China.The result shows that there is no structural catastrophe in the formative process of the liquidity data in the inter-bank bond market and the liquidity in the inter-bank bond market goes up reposefully in general.Finally,the authors use nonparametric test method to test the effect of transparency on the liquidity of the market and find that there have various effects accordin...