融资流动性与债券资产流动性的互动特征--基于MS-VAR模型的时变分析  

Funding Liquidity and Asset Liquidity of Bond:Time-varying Characteristics Analysis Based on MS-VAR Model

作　　者：易卓睿 李振 YI Zhuorui;LI Zhen(Postdoctoral Programme of Bank of Communications,Shanghai 200336,China;School of Finance,Renmin University of China,Beijing 100872,China;Yanqi Lake Beijing Institute of Mathematical Sciences and Applications,Beijing 101400,China)

机构地区：[1]交通银行博士后科研工作站,上海200336 [2]中国人民大学财政金融学院,北京100872 [3]北京雁栖湖应用数学研究院,北京101400

出　　处：《财经理论与实践》2022年第6期31-38,共8页The Theory and Practice of Finance and Economics

基　　金：中国博士后科学基金项目(2020M680048);广东省哲学社会科学“十四五”规划青年项目(GD21YYJ07)。

摘　　要：依据2015-2021年货币市场和债券市场的时间序列数据,运用MS-VAR探究了不同违约风险环境下融资流动性与债券资产流动性间的互动关系。研究发现:无论是利率债还是信用债,其资产流动性与货币市场的融资流动性存在互为正反馈的流动性螺旋。此外,两类流动性间的互动特征存在非对称性和异质性,在风险时期,融资流动性与利率债资产流动性互动特征比较明显,而在平稳时期,融资流动性与信用债资产流动性互动特征比较明显。Based on the time series data of the money market and the bond market from 2015 to 2021,a Markov-switching Vector Autoregression is used to explore the interaction between funding liquidity and bond liquidity under different default risk.The results show that there is a positive feedback liquidity spiral between the funding liquidity of the money market and the asset liquidity of the bond market.Whether interest rate debt or credit debt,the asset liquidity is positively related to the funding liquidity.The interaction characteristics between the two types of liquidity are asymmetric and heterogeneous.In the risk period,the interaction characteristics between funding liquidity and asset liquidity of interest rate debt are obvious,while in the stable period,the interaction characteristics between funding liquidity and asset liquidity of credit debt are obvious.

关 键 词：流动性螺旋 融资流动性 资产流动性 

分 类 号：F830.91[经济管理—金融学]