银行间国债市场流动性黑洞的诱导因素

The Inducing Factors of the Liquidity Black Holes in the Chinese Inter-Bank Treasury Bond Market

本文将诱导因素作为调节变量引入债券收益与交易变化量双变量自回归模型,利用银行间国债市场逐笔交易面板数据,对诱导因素的影响进行实证检验,结果表明:中国银行间国债市场确实存在流动性黑洞;双边报价商数量对国债收益与交易指令流之间的双向关系产生了正向影响,双边报价商数量较少,市场交易主体多样性不足,是导致市场流动性黑洞产生的重要原因之一。为了增加银行间国债市场的流动性,避免流动性黑洞的发生,应该增加市场交易主体的多样性;鼓励多样性的风险管理方法;增加国债品种的多样性并扩大国债流通范围。

In this paper, the inducing factors, as the moderators, are introduced in the VAR model of the bond yields and trading volume. Based on the panel data in each transaction of the inter-bank treasury bond market, the paper empirically examines the impacts of the inducing factors. The results show that, in the Chinese inter-bank treasury bond market do exist the liquidity black holes; the number of the buying-sale price providers has a positive effect on the two-way relationship between the revenue of the treasury bond and the stream of the transaction orders; the small number of the purchase-sale price providers and the insufficient diversity of the traders are one of the important reasons of the liquidity black holes. In order to increase the liquidity in the inter- bank treasury bond market and to avoid the occurrence of the liquidity black holes, it＇s necessary to increase the diversity of the market traders, encourage the diverse approaches of risk management, increase the diversity of the treasury bond species and expand the circulation range of the treasury bond.