公开信息与流动性——基于银行问债券市场的实证研究

Information Disclosure and Liquidity: An Empirical Study of Interbank Bond Market

本文运用事件研究法研究了不规则货币政策信息和资金管理政策对于我国银行间债券市场流动性的影响,验证是否存在货币政策的宣告效应,进而探讨了公开信息对于银行间债券市场的价格行为及流动性的影响。结果表明,利率调整政策与资金管理政策的信息公告会对银行间债券市场流动性产生显著影响,但每次政策宣告对市场流动性的影响会有不同。

The paper utilized event - study method to research the influence of unscheduled monetary policy announcements and the fund regulatory policy on Chinese interbank bond market liquidity. The paper confirmed whether the market had the monetary policy s pre - announcement effect and also discussed the influence of public information on price behavior and liquidity of interbank bond market. The results indicated that the interest rate adjustment policy and the fund regulatory policy information announced had th...