基于结构突变的存货质押融资流动性风险实证研究——以中国东方丝绸市场交易所坯布动产为例

Research on Liquidity Risk for Inventory Impawn Financing under Structural Breaks:Evidence from Greige Market of China Eastern Silk Market

引入非参数ICSS结构变点检测算法,以中国东方丝绸坯布市场为例,研究了存货质物商品市场的结构突变和流动性风险模型,并分析了结构突变、不同持有期、不同风险模型对存货质物的质押率的影响。研究发现:(1)对存货质物进行风险度量时加入流动性风险可以更准确刻画商品市场的总风险,且流动性风险占总风险的比重与持有期限呈反比。(2)存货商品市场的波动性、流动性风险有着显著区制转换特征,且不能忽略。考虑结构突变可以更准确地刻画市场风险、流动性风险,也能更准确地确定合理的动产质物的质押率。

Using nonparametric ICSS algorithm to detect structural breaks of volatility,the author has studied structural breaks and liquidity risk models and provided a detailed comparative analysis of effects of structural breaks,different holding periods,and different risk models on the ratio of inventory impawn financing by taking China＇s eastern silk market as a research object.Two conclusions are drawn：（1） that VaR model added liquidity risk can measure the aggregate risk more precisely for inventory impawn,with the proportion of liquidity risk in aggregate risks inversely correlating with holding periods;（2） that volatility and liquidity risks in inventory commodity market are characterized by significantly regime-switching,which cannot be ignored.These models added the liquidity risks can more precisely measure market risk,liquidity risk and the ratio of inventory impawn financing.