摘要
We construct a daily liquidity index of China’s government bond market using transaction data from the national interbank market during 2001–2020.The index is a composite of popular price-based and quantity-based metrics of liquidity.The composite indices,ob-tained by averaging across different metrics and by applying the principal component analysis,respectively,both point to a better liquidity condition after 2010.Market liquidity swings appear to be highly correlated with domestic funding liquidity and financial mar-ket volatility,but display fewer correlations with global macrofinan-cial indicators.Our findings suggest that the further deepening of the government bond market would support domestic financial stability and monetary operations down the road.
