上海证券交易所国债市场流动性与收益率的动态关系

根据上证国债指数近年来的走势,将上海证券交易所国债市场(以下简称"上交所国债市场")划分为下跌和上涨两个时期.构造了多个流动性测度指标表达流动性状态,使用上证国债指数表达收益率水平.无论在下跌还是上涨时期,运用增强的Dickey-Fuller检验验证了流动性测度指标与国债指数所构成的时间序列均为1阶单整序列.随后借助Johansen检验验证了两类时间序列之间存在协整关系.通过建立向量误差修正模型,绘制脉冲响应曲线和进行Granger因果检验,发现来自流动性的短期冲击对收益率变化的影响在下跌和上涨时期存在差异,仅下跌时期可以观察到流动性溢价现象,同时,来自收益率的短期冲击对流动性变化的影响在两个时期均一致.

Dynamic Relationship between the Liquidity and Yield: Evidence from the Treasury Market of Shanghai Exchange

The treasury market of Shanghai Stock Exchange is divided into two stages according to the trend of treasury index.One is the falling stage,the other is the rising stage.Several liquidity measures are designed to show the status of liquidity,and the treasury index represents the yield.During the both stages,all the liquidity measures and the treasury index are 1 order integration process,which is testified by the Advanced Dickey-Fuller Test.Then the Johansen Test indicates the cointegration relationship between the liquidity measures and the treasury index.Through the Vector Error Correction Model,the impulse response curve and the Granger Causality Test,it is showed that the influence on the yield from the impulse of liquidity is different between the falling and rising stage.The phenomenon of liquidity premium can only be observed in the falling stage.In the meanwhile,the influence on liquidity from the impulse of yield is consistent.