Liquidity of China’s government bond market: Measures and driving forces  

作　　者：Gaofeng Han Hui Miao Yabin Wang 

机构地区：[1]Hong Kong Institute for Monetary and Financial Research,Hong Kong,China [2]International Monetary Fund,Washington,D.C.,USA [3]Hong Kong Monetary Authority,Hong Kong,China [4]Department of Economics,Norwegian University of Science and Technology,Trondheim,Norway

出　　处：《Economic and Political Studies》2023年第1期99-122,共24页经济与政治研究（英文版）

摘　　要：We construct a daily liquidity index of China’s government bond market using transaction data from the national interbank market during 2001–2020.The index is a composite of popular price-based and quantity-based metrics of liquidity.The composite indices,ob-tained by averaging across different metrics and by applying the principal component analysis,respectively,both point to a better liquidity condition after 2010.Market liquidity swings appear to be highly correlated with domestic funding liquidity and financial mar-ket volatility,but display fewer correlations with global macrofinan-cial indicators.Our findings suggest that the further deepening of the government bond market would support domestic financial stability and monetary operations down the road.

关 键 词：Government bond bond liquidity principal component analysis regime switching model 

分 类 号：F812.5[经济管理—财政学]