我国中期票据市场的流动性研究.pdfVIP

中国科技论文在线 我国中期票据市场的流动性研究# 张强，张万超* （湖南大学金融与统计学院，长沙 410006 ） 5 摘要：随着经济全球化进程的加速和国内发展多层次资本市场体系的要求，我国中期票据市 场面临众多资本市场参与者的投融资需求。在这种背景下，开展对我国中期票据市场流动性 的研究，对于提高我国中期票据市场的质量和竞争力具有重要的意义，从而更好地发挥中期 票据市场在完善资本市场结构、分散金融体系风险中的作用。本文对我国中期票据市场流动 10 性的度量采取的是宏观和微观层面相结合，考察目前的流动性状况及其影响因素。在流动性 研究的基础上，对我国中期票据市场流动性风险进行了测度。采取的是 VaR 方法，将传统 VaR 与引入流动性风险的VaR 进行对比，比较两种方法测度市场风险的准确度，同时测度流 动性风险在市场风险中占有的比重。 关键词：中期票据市场；流动性；流动性风险 15 中图分类号：F830.91 The research on Chinas medium-term notes market liquidity ZHANG Qiang, ZHANG Wanchao 20 (College of Finance and Statistics,Hunan University,Changsha 410006) Abstract: With the process of economic globalization accelerating and the requirements of domestic multi-system financial markets developing, the medium-term bonds market will satisfy the needs of a number of domestic participants and participants from capital market. Within this situation, conducting on research liquidity of china’s medium-term bonds is significant for 25 improving the quality and international competitiveness of china’s medium-term bonds market. Thus, medium-term bonds market has been taken full effect in terms of improving the structure of capital market and decentralizing financial system risk.the measurement research illustrates that the measurement that medium-term bonds applied is combining micro and macro level. In addition, with taking government bonds and corporate bonds as reference, this paper investigates 30 the current liquidity position and its influencing factors. Furthermore, liquidity risk is measured by Value-at-Risk (VaR) model. This paper also investigates t