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Jingyuan MO | 货币经济学术沙龙(第3期)

[发布日期]:2019-11-25  [浏览次数]:

一、主题:PolicyInterventions 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。

三、时间:2019年11月27日(周三),中午12:30-13:30

四、地点:中央财经大学学院南路校区主楼913会议室

五、主持人:黄志刚,中央财经大学金融学院教授、副院长

Abstract : This paper documents the effects of policyinterventions on liquidity in the Chinese interbank and exchange credit bondmarkets. We find that liquidity, measured by an aggregate liquidity proxy,varies across different credit bond segments, and government interventions andregulations exerted a profound influence on the levels of liquidity during thevarious phases of liberalization and regulatory change. Liquidity in the twomarkets responded strongly to the central bank’s open market operations as wellas domestic innovation while, surprisingly, it also improved during the twocrackdowns of spurious trading activities. Moreover, liquidity effects arepriced in all credit bond segments and are more pronounced during morestringent economic conditions and more liberalized phases. In addition, we findthat yield spreads are more sensitive to liquidity effects for bondsapproaching maturity, issued by credit-constrained firms, and rated by privatecredit rating agencies. Last, liquidity effects are stronger for enterprisebonds issued with external guarantees in the interbank market, and are lesspronounced for their exchange counterparts, while post-issuance rating upgradeshad opposite impact on the liquidity effects of enterprise bonds in the twomarkets.



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