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    【11月27日】【金融学院货币经济学术沙龙(第3期)】Policy Interventions and Liquidity in the Chinese Credit Bond Markets

    发布日期:2019-11-26  点击数:

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

    二、主讲人:Jingyuan MO,美国纽约大学斯特恩商学院金融学博士生。他在剑桥大学获得数学硕士学位,在帝国理工学院获得风险管理和金融工程硕士学位,在纽约大学获得金融学硕士学位。他的研究方向包括期权定价、产业组织和资产定价。目前,主要研究话题是债券市场的流动性、利率期限结构建模和政府隐性担保等。




    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.