货币流动性与国债交易的相关性——基于中国交易所市场的实证检验

The Correlation between Monetary Liquidity and Bond Trading:Based on an Empirical Test of Chinese Exchange Market

国债市场具有核心金融市场功能,但中国国债市场存在扭曲,尤其交易所国债市场呈现边缘化趋向。货币流动性通过价格机制和替代效应影响国债交易。实证表明,中国货币流动性与国债交易存在负向相关性,货币流动性是国债交易的格兰杰原因,反之则不然。因此,要完善国债市场流通机制,重点是引入交易所债券市场大额交易机制和做市商制度,同时推进国债市场统一化进程。

Although bond market plays the function of core financial market,Chinese bond market is distorted,and especially the exchange market is marginalized.Monetary liquidity affects bond trading through the price mechanism and alternative effect.The empirical study indicates that there is negative correlation between Chinese monetary liquidity and bond trading.Chinese monetary liquidity is the Granger cause of bond trading,but not the case in vice versa.Therefore,it is needed to improve the circulation mechanism of bond market,to focus on the introduction of large exchange mechanism and market maker trading system of exchange bond market,at the same time to promote the unified process of bond market.