我国银行间国债市场流动性黑洞的存在性与诱导因素研究.pdf

南京航空航天大学
硕士学位论文
我国银行间国债市场流动性黑洞的存在性与诱导因素研究
姓名:马俐丽
申请学位级别:硕士
专业:金融学
指导教师:顾金宏
2011-03
南京航空航天大学硕士学位论文
摘要
金融危机的发生常常伴随着市场流动性黑洞的发生,这使得国内外学者开始关注流动性黑
洞这一现象。我国银行间国债市场的高同质性使其具备了流动性黑洞存在的现实基础,这也使
得国内学者进一步关注银行间国债市场流动性黑洞问题。
本文对我国银行间国债市场流动性黑洞的存在性与诱导因素进行了理论分析和实证检验。
理论分析结果表明,虽然我国银行间国债市场流动性有所改善,市场参与主体范围不断扩大,
但实际参与交易的市场交易成员仍具有较高的同质性,流动性黑洞存在的可能性较大;导致我
国银行间国债市场流动性黑洞存在的因素主要包括市场多样性、市场风险和宏观政策调整三个
因素。通过建立债券收益与交易变化量双变量自回归模型,利用银行间国债市场逐笔交易面板
数据,对银行间国债市场流动性黑洞的存在性进行实证检验,结果表明:债券收益率和交易变
化量均呈正向自相关关系,交易量指令流的变化导致债券当期收益率的反向变化,前一期的收
益率对当期交易产生负向影响,我国银行间国债市场存在流动性黑洞。在此基础上进一步引入
调节变量,对流动性黑洞的诱导因素进行实证检验,结果表明:市场多样性、宏观政策的调整
和市场风险因素对我国银行间国债市场流动性黑洞的诱导作用显著,其中,市场交易主体多样
性不足是导致银行间国债市场流动性黑洞存在的核心因素。最后从四个方面对防范流动性黑洞
的发生提出了相应的政策建议。


关键词:银行间国债市场,流动性黑洞,诱导因素,双变量自回归模型,调节变量











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我国银行间国债市场流动性黑洞的存在性与诱导因素研究
Abstract
The financial crisis is often associated with the occurrence of liquidity black holes, which makes
the academic circles start to pay attention to this phenomenon. The high homogeneity of China’s
interbank bond market provide the realistic basis of the liquidity black hole, which also makes the
domestic scholars further their concerns of the liquidity black hole problem in the inter-bank bond
market.
In this paper, the existence of liquidity black holes and induced factors in China’s inter-bank bond
market has been theoretical analyzed and empirical tested. The theoretical analysis shows that,
although China’s inter-bank bond market liquidity has improved, the scope of market participants
have been expanded, the actual market trading members has a higher homogeneity; the possibility of
liquidity black holes in this market is very large, the induced factors may include market
diversification, market risk and macroeconomic policy adjustment. Through the establishment of
two-variable regression model with the change in bond yield and transaction, using the panel data in
China’s inter-bank bond market, the empirical test ha