中国银行间国债市场流动性及其影响因素

On Liquidity of China's Interbank Bond Market and the Potential Driven Factors

摘要：本文采用2002-2012年由债券现券双边报价计算出的买卖价差作为衡量流动性的指标。首先，将国债按期限分为长期、中期和短期三类，再依据发行日期分为新券和旧券，文章具体分析了以上六类债券的流动性。其次，采用VAR模型分析了多个宏观经济变量对流动性指标的影响。研究表明：现券交易流动性水平与宏观经济走势相背离，且随着债券期限延长，流动性下降；在经济增长时期，短期国债旧券的流动性高于新券。此外，债券违约溢价对各期限债券的流动性有显著影响。格兰杰因果检验发现，中期和长期债券流动性分别是短／长期、短／中期债券流动性的格兰杰原因。

This paper uses the bid-ask spreads,which are calculated by now securities bilateral quotations issued by market makers from 2002 to 2012,as a liquidity indicator of China's interbank bond market.Firstly,the paper divides the sample by terms(long term,medium term and short term)and dates of issue,then studies the liquidity of these 6types.Secondly,VAR model is used to study the impact of possible driven factors on the liquidity fluctuation.The result shows that liquidity decreases with the terms and within the non-recession period,the liquidity of off-the-run bonds is higher than that of on-the-run ones.Besides,the liquidity of medium-term bonds Granger causes that of short or long-term bonds.