An Empirical Analysis Of The Impact Of Liquidity Shocks On My Country's Treasury Bond Price Volatility

Liquidity is the vitality of the entire stock market.When the cyclical changes and state transitions in liquidity happen,it often causes fluctuations in asset prices.The intense fluctuations of asset prices caused by liquidity shock not only affects the stability of the financial system,but also profoundly affects the effective operation of one country's macro economy even the global.The bond market is the foundation of the financial market,and also an important part of the capital market.As one kind of stabilizers in financial markets,government bonds have a certain significance in studying its price fluctuations.In order to study the impact of liquidity shock on the price fluctuations of government bonds more systematically,this paper proceeds in theoretical analyses and definitions of the liquidity and government bonds price fluctuations in combination with existing research firstly,and clarifies both of the above connotations and measurements,which provides theoretical basis for subsequent research.Secondly,mainly from macro currency liquidity and micro market liquidity,it analyzes the influences of multi-angle liquidity shock on the price fluctuations of government bonds,and introduces corresponding measurements to calculate currency liquidity shock,market liquidity level and market liquidity risk.Finally,this paper takes medium and long-term cross-market government bonds with maturity of more than one year and trading in the spot market as the research object,and the observation period is from January 2015 to December 2017.There are some perspectives of the single trading market and between two trading markets.The basic panel regression model and the panel quantile regression model are constructed to discuss the impact of liquidity shock on the price fluctuation of the government bonds using the panel data collected above.The conclusions show that:(1)Through the dynamic measurements of liquidity level,it finds that the liquidity of the inter-bank bond market during the observation period is greater than that of the SSE government bond market,both of which are fargreater than the Shenzhen Stock Exchange government bond market.Calculated by the ARMA-GARCH model,the conditional variance is used to characterize the liquidity risk that the market does not anticipate.The result indicates that the liquidity risk of the Shenzhen Stock Exchange government bond market is the biggest of all.(2)Both currency liquidity and market liquidity have a significant impact on the yield to maturity of government bonds.From the perspective of average value,the impact of currency liquidity shock is positively correlated with the yield to maturity of government bonds in various markets.The larger the currency liquidity shock is,the higher the yield to maturity of government bonds is.When the market liquidity level is higher,or the market liquidity risk is lower,the yield to maturity of government bonds is lower.From the perspective of different quantile,there are complex dynamic changes between currency liquidity shock,market liquidity level,market liquidity risk and YTM of government bonds respectively.(3)Under the market segmentation,this paper discusses the influence of currency liquidity and market liquidity on the price difference between inter-bank and exchange-based government bonds,and the spread refers to the yield to maturity of the same government bond in the inter-bank and exchange markets.The conclusion shows that when the currency liquidity shock is greater,the spread is smaller;when the market liquidity level is higher,or when the market liquidity risk is lower,the spread is larger.(4)Compared with the basic panel model,the panel quantile regression model is more suitable for describing the liquidity shock impact on the fluctuations of the yield to maturity of the government bonds,and the dynamic impact on the spread of the same government bond.It's more conducive to monitor the abnormal situation of the price fluctuations of the government bonds by panel quantile regression model.Therefore,the close relationship between currency liquidity,market liquidity and government bonds price can be further strengthened,and relevant advice can be offered and corresponding policies can be formulated.