基于结构突变的存货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

Empirical Study on Liquidity Risk of Inventory under Structural Breaks——Evidence of Greige Cloth Chattel from the Exchange 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,并分析了结构突变和不同持有期的存货流动性风险。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刻画市场风险和流动性风险。

Using nonparametric ICSS algorithm to detect structural breaks of volatility,the author made a research on structure-break and liquidity-risk models in inventory pledge commodity market and provided an analysis of structural break and liquidity risks of inventory in different holding periods with greige cloth from China Eastern Silk Market as research object.The research found,firstly,when measuring the risk of stock based pledge,liquidity risk can depict aggregate risk more precisely.The proportion of liquidity risk in aggregate risks is reversely correlated with the period inventories are held for.Secondly,the volatility in inventories commodity market and liquidity risk are significantly featured with regime switch,so cannot be ignored.These structure-break added models can measure market risk and liquidity risk more precisely.