中国银行间债券市场流动性风险影响因素及其关联性  

The Influencing Factors of Liquidity Risk and Their Correlation in China Inter-bank Bond Market

作　　者：张蕊[1] 王春峰[1] 房振明[1] 梁崴[1] 

机构地区：[1]天津大学管理学院金融工程研究中心,天津300072

出　　处：《系统工程》2010年第3期1-7,共7页Systems Engineering

基　　金：国家自然科学基金资助项目(70771076);国家杰出青年科学基金资助项目(70225002)

摘　　要：在世界经济加速一体化的背景下,深刻理解流动性风险的影响因素及各因素间的关联性,是非常具有现实意义的。从国内与国外两个角度对影响债券市场流动性的因素进行研究,试图对这一问题进行全面系统的分析。建立误差修正模型,考虑各个影响因素与债券市场流动性之间的长短期因果关系。研究发现国内货币供给量是目前债券市场流动性的主动力,国际资本市场风险对债券市场流动性具有负面影响,国际主要汇率波动、国际资金成本通过多种途径长期影响我国债券市场流动性,应将其作为债券市场流动性风险管理的重点监测对象。市场回购利率、标普500指数波动性以及日经225指数波动性的变动是市场流动性短期波动的诱因。Against a background of the world economic integration, a profound understanding of influencing factors of liquidity in bond market and correlation between the factors is the great practical significance. The factors are studied from domestic and foreign perspective in order to get a comprehensive and systematic analysis on the above issue. Using VEC model, the long and short term causality between the factors is researched. The results indicate that money supply is the main power of liquidity in bond market, and the risk in international capital markets have a negative effect on liquidity. Exchange rate fluctuations and International cost of capital effect market liquidity through many channels, so they should be the primary objects monitored in liquidity risk management of bond market. Repo rate, S＆P index volatility and N225 index volatility are the inducement of short-term liquidity fluctuations.

关 键 词：银行间债券市场 流动性风险 协整检验 误差修正模型 

分 类 号：F830[经济管理—金融学]