【摘要】 基于2003—2013年间的月度时间序列数据,文章利用马尔科夫区制转移模型,研究不同货币供给状态下银行融资流动性与债券回购市场流动性之间的动态关系。研究结果发现:两者之间存在互为正向反馈的流动性螺旋效应;在货币供给较低区制下,流动性螺旋效应比货币供给较高区制下更为明显,具有时变和非对称性特征;提高债券回购市场流动性能有效缓解银行融资流动性困难问题。更多还原

【Abstract】 The author empirically studies the time-varying characteristics of liquidity fluctuations from 2003 to 2013with MAVAR model.The result shows that the liquidity spiral exists between bank funding risk and bond repo market liquidity with apparently time-varying and asymmetric characteristics.To improve the bond repo market liquidity is good to ease bank funding liquidity effectively.It means that we accelerate the development of bond repo market to avoid the liquidity spiral and maintain financial stability.更多还原