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        首頁 > 報告講座 > 正文

        【11月27日】【金融學院貨幣經濟學術沙龍(第3期)】Policy Interventions and Liquidity in the Chinese Credit Bond Markets

        發布日期:2019-11-26  點擊數:

        一、主題:Policy Interventions and Liquidity in the Chinese Credit Bond Markets

        二、主講人:Jingyuan MO,美國紐約大學斯特恩商學院金融學博士生。他在劍橋大學獲得數學碩士學位,在帝國理工學院獲得風險管理和金融工程碩士學位,在紐約大學獲得金融學碩士學位。他的研究方向包括期權定價、產業組織和資產定價。目前,主要研究話題是債券市場的流動性、利率期限結構建模和政府隱性擔保等。




        Abstract :This paper documents the effects of policy interventions on liquidity in the Chinese interbank and exchange credit bond markets. We find that liquidity, measured by an aggregate liquidity proxy, varies across different credit bond segments, and government interventions and regulations exerted a profound influence on the levels of liquidity during the various phases of liberalization and regulatory change. Liquidity in the two markets responded strongly to the central bank’s open market operations as well as domestic innovation while, surprisingly, it also improved during the two crackdowns of spurious trading activities. Moreover, liquidity effects are priced in all credit bond segments and are more pronounced during more stringent economic conditions and more liberalized phases. In addition, we find that yield spreads are more sensitive to liquidity effects for bonds approaching maturity, issued by credit-constrained firms, and rated by private credit rating agencies. Last, liquidity effects are stronger for enterprise bonds issued with external guarantees in the interbank market, and are less pronounced for their exchange counterparts, while post-issuance rating upgrades had opposite impact on the liquidity effects of enterprise bonds in the two markets.