融资流动性与债券资产流动性的互动特征——基于MS-VAR模型的时变分析

易卓睿1; 2; 李 振3

融资流动性与债券资产流动性的互动特征——基于MS-VAR模型的时变分析

引用本文：易卓睿1，2，李振3.融资流动性与债券资产流动性的互动特征——基于MS-VAR模型的时变分析[J].财经理论与实践,2022,(6):31-38

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作者	单位
易卓睿1，2，李振3	(1.交通银行博士后科研工作站，上海 200336； 2.中国人民大学财政金融学院，北京 100872；3.北京雁栖湖应用数学研究院，北京 101400)

中文摘要:依据2015-2021年货币市场和债券市场的时间序列数据，运用MS-VAR探究了不同违约风险环境下融资流动性与债券资产流动性间的互动关系。研究发现：无论是利率债还是信用债，其资产流动性与货币市场的融资流动性存在互为正反馈的流动性螺旋。此外，两类流动性间的互动特征存在非对称性和异质性，在风险时期，融资流动性与利率债资产流动性互动特征比较明显，而在平稳时期，融资流动性与信用债资产流动性互动特征比较明显。

中文关键词:流动性螺旋融资流动性资产流动性

Funding Liquidity and Asset Liquidity of Bond：Time-varying Characteristics Analysis Based on MS-VAR Model

Abstract:Based on the time series data of the money market and the bond market from 2015 to 2021, a Markov-switching Vector Autoregression is used to explore the interaction between funding liquidity and bond liquidity under different default risk. The results show that there is a positive feedback liquidity spiral between the funding liquidity of the money market and the asset liquidity of the bond market. Whether interest rate debt or credit debt, the asset liquidity is positively related to the funding liquidity. The interaction characteristics between the two types of liquidity are asymmetric and heterogeneous. In the risk period, the interaction characteristics between funding liquidity and asset liquidity of interest rate debt are obvious, while in the stable period, the interaction characteristics between funding liquidity and asset liquidity of credit debt are obvious.

keywords:liquidity spiral funding liquidity asset liquidity

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