对我国国债市场流动性的实证研究

A Study on Liquidity of China' s Government Bond Market

本文从流动性的宽度和深度两个角度,对上海交易所和银行间债券市场的流动性进行量化分析,分析中使用一阶序列自协方差模拟估计有效价差(宽度),用换手率和Amivest流动性比率估计深度及宽度。经研究发现:两个市场的流动性具有结构性特征,不能简单比较,得出孰高孰低的结论;在回购交易品种中,银行间市场的7天回购流动性最佳,其价格可以作为基准利率;债券市场存在新券和旧券之间的流动性替代效应。

In this paper we investigated the liquidity of the government bonds traded in the Inter - bank Market of China and Stock Exchange of Shanghai. We estimate the width and depth of the two markets using serial covariance model, Amivest liquidity ratio and turnover ratio. We find that 1) there are structured differences of liquidity between the two markets;2) in all kinds of government bond repurchases, the 7 days Repo is the most liquid. It is reasonable to use 7 - day Repo rate as the benchmark rate;3) there is substitute effect between on - the - run bonds and off - the - run bonds.