金融安全、流动性与中国外汇储备风险管理——基于交易价差估计的主权债市场流动性及其风险分析

Financial Security, Liquidity and Risk Management of China's Foreign Exchange Reserves——An Analysis of the Liquidity and Risks of Sovereign Bond Markets Based on Transaction Price Spread

本文基于主权债交易价差估计指标对债券市场流动性进行直接测度,并结合时变COPULA理论对市场之间的流动性风险相依性进行实证检验。研究结果表明,世界主要主权债市场流动性发生明显变化,流动性变差;流动性风险随流动性的降低而加大,但各个市场的流动性风险表现出相对独立特性;各市场之间的流动性风险相依关系保持相对稳定性,且呈现周期性变化。

The authors of this paper present a direct measurement of the liquidity of bond markets based on the estimated indexes of the transaction price spread of sovereign bonds,and use the time-varying Copula theory to test the interdependence between the liquidity risks of markets.The results of analysis show that the world’s major sovereign bond markets change greatly,and the liquidity has decreased;the liquidity risk increases with the decrease in liquidity,however,the liquidity risk of each market shows relatively-independent characteristics;the inter-dependence between the liquidity risks of markets remains relatively stable and periodically changes.