Research On Influencing Factors Of China's Inter-bank Bond Market Liquidity

After 20 years of development,the inter-bank bond market has become the main body of the China's bond market.The inter-bank bond market plays an important role in promoting the transformation of economic structure adjustment and optimization of the structure of social financing.Liquidity is the basis of a market,bacause higher liquidity can reduce trading and financing costs,promoting the completion of the bond trading.At present,China's bond market is facing multiple pressures,including leveraging pressure.,increased market risk appetitede and strong supervision.In such an environment,the bond market liquidity is facing greater uncertainty.The traditional VAR model requires the data used has the same frequency.When the data has different frequency,the only way is to trsanlate the high frequency data into the low frequency data.However we may lose implicit information in the high frequency data,reducing the accuracy and reliability of the model.So this paper uses MF-VAR model including weekly data and monthly data to analysis the influence factors of liquidity in inter-bank bond market.The main contents of this paper include:Firstly,this paper expatiates the theory of the bond market liquidity,including the definition and main measuring method of liquidity,the influence factors and the measures of increasing the liquidity of China's bond market liquidity.Secondly,this paper analyzes the development and liquidity situation of the China's inter-bank bond market.The inter-bank bond market has shown a strong momentum of development since its inception,and its market size,number and types of investors has achieved significant growth.Finally,this paper analyses the factors that influence the liquidity from the aspects of macro economy,monetary policy and liquidity of financial institutions by means of MF-VAR model.Results show that the macroeconomic factors are key determinants of liquidity in a tight liquidity environment.And the monetary policy and liquidity of financial institutions has a smaller effect.