我国金融市场与流动性关联研究——基于VAR模型的实证分析

Studies on the Interconnectedness of Financial Market and Liquidity in China based on the VAR Models

本文运用结构型多向量自回归模型SVAR揭示了M2的变动对金融子市场的整体影响,结果显示M2的变动能在约7个月后对各金融子市场达到影响最大化。脉冲模拟则显示M2的变动容易造成股票市场短期波动而长期影响却不明显,对银行间债券市场的流动性则影响显著,其预测误差贡献率达到28%,从侧面证明银行间债券市场流动性风险易集聚。进一步的模型检验证明:银行间债券市场存在正反馈交易情况最为强烈,发生流动性黑洞可能性大于其它市场。最后,本文对实证结果作了原因分析并提出建议。

This paper uses structural type multi vector auto regression model （SVAR） in order to find out the elfect to financial sub-markets when M2 fluctuate. The research shows that impact of the changes of M2 on the financial sub-markets will reach maximum after about seven months. While the changes of M2 can significantly affect on the liquidity of inter-bank bond market, because, the optimal forecast error of the contribution rate reachs 28% through the overall analysis of the variance decomposition. Therefore, liquidity risk of the inter-bank bond market is easy to assemble. To further validate and quantify the risk, we further proof by model： phenomenon of positive feedback trading in the inter-bank bond market is most strong, therefore the possibility to occur liquidity black holes in the inter-bank bond market is higher than other markets. Finally, this paper analyzes the reasons for the empirical results and makes some suggestions.