金融安全、流动性与中国外汇储备风险管理——基于交易价差估计的主权债市场流动性及其风险分析
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摘要
本文基于主权债交易价差估计指标对债券市场流动性进行直接测度,并结合时变COPULA理论对市场之间的流动性风险相依性进行实证检验。研究结果表明,世界主要主权债市场流动性发生明显变化,流动性变差;流动性风险随流动性的降低而加大,但各个市场的流动性风险表现出相对独立特性;各市场之间的流动性风险相依关系保持相对稳定性,且呈现周期性变化。
The authors of this paper present a direct measurement of the liquidity of bond markets based on the estimated indexes of the transaction price spread of sovereign bonds, and use the time-varying Copula theory to test the interdependence between the liquidity risks of markets. The results of analysis show that the world's major sovereign bond markets change greatly, and the liquidity has decreased; the liquidity risk increases with the decrease in liquidity, however, the liquidity risk of each market shows relatively-independent characteristics; the inter-dependence between the liquidity risks of markets remains relatively stable and periodically changes.
The authors of this paper present a direct measurement of the liquidity of bond markets based on the estimated indexes of the transaction price spread of sovereign bonds, and use the time-varying Copula theory to test the interdependence between the liquidity risks of markets. The results of analysis show that the world's major sovereign bond markets change greatly, and the liquidity has decreased; the liquidity risk increases with the decrease in liquidity, however, the liquidity risk of each market shows relatively-independent characteristics; the inter-dependence between the liquidity risks of markets remains relatively stable and periodically changes.
引文
陈筱彦、魏嶷、许勤,2010.流动性与金融危机[J].同济大学学报(社会科学版),(2):36-48.
高波、任若恩,2015.基于时变Copula模型的系统流动性风险研究[J].国际金融研究(12):85-93.
陆磊、杨骏,2016.流动性、一般均衡与金融稳定的“不可能三角”[J].金融研究,(1):1-13.
庞晓波、钱锟,2018.货币政策、流动性监管与银行风险承担[J].金融论坛,(1):27-38.
王博、王开元,2018.汇率改革、短期国际资本流动与资产价格[J].金融论坛,(4):56-68.
韦艳华、张世英、郭焱,2004.金融市场相关程度与相关模式的研究[J].系统工程学报,(4):18-42.
张尧庭,2004.连接函数(Copula)技术与金融风险分析[J].统计研究,(4):24-36.
Abad,P.,Chuliá,H.,and Marta,G.P.,2010.EMU and European Government Bond Market Integration[J].Journal of Banking&Finance,(12):2851-2860.
Abdi,F.,and Ranaldo,A.,2017.A Simple Estimation of Bid-Ask Spreads from Daily Close,High,and Low Prices[J].The Review of Financial Studies,(12):4437-4480.
Amihud,Y.,Mendelson,H.,and Pedersen,L.H.,2005.Liquidity and Asset Prices[J].Foundations and Trends in Finance,(1):269-364.
Amihud,Yakov,2002.Illiquidity and Stock Returns:Cross Section and Time-series Effects[J].Journal of Financial Markets,(5):31-56.
Azis,I.J.,and Shin,H.S.,2015.The Three Phases of Global Liquidity[M].Singapore:Springer.
Bangia,A.,Diebold,F.X.,Schuermann,T.,and Stroughair,J.D.,2001.Modeling Liquidity Risk,with Implications for Traditional Market Risk Measurement and Management[R].The New York University Salomon Center Series on Financial Markets and Institutions,Vol 8.Springer,Boston,MA.
Barberis,N.,Shleifer,A.,and Wurgler,J.,2005.Comovement[J].Journal of Financial Economics,Issue 2:283-317.
Brandt,M.W.,and Kavajecz,K.A.,2004.Price Discovery in the US Treasury Market:The Impact of Orderflow and Liquidity on the Yield Curve[J].The Journal of Finance,(12):132-162.
Broto,C.,and Lamas,M.,2016.Measuring Market Liquidity in US Fixed Income Markets:A New Synthetic Indicator[J].The Spanish Review of Financial Economics,(1):15-22.
Brunnermeier,M.K.,2009.Deciphering the Liquidity and Credit Crunch 2007-2008[J].Journal of Economic Perspectives,(1):77-100.
Brunnermeier,M.K.,and Pedersen,L.H.,2005.Predatory Trading[J].The Journal of Finance,Issue,6,Pages 1825-1863.
Brunnermeier,M.K.,and Pedersen,L.H.,2009.Market Liquidity and Funding Liquidity[J].Review of Financial Studies,(6):2201-2238.
Chordia,T.,Shivakumar,L.,and Subrahmanyam,A.,2004.Liquidity Dynamics Across Small and Large Firms[J].Economic Notes Volume 33,Issue1 Pages 111-143.
Corwin,S.A.,and Schultz,P.,2012.A Simple Way to Estimate Bid-ask Spreads from Daily High and Low Prices[J].The Journal of Finance,(4):719-760.
Diebold,F.X.,and Kamil,Y.,2009.Measuring Financial Asset Return and Volatility Spillovers,with Application to Global Equity Markets[J].The Economic Journal,(1):158-171.
Elton,E.J.,Balduzzi,P.,and Green,T.C.,2001.Economic News and Bond Prices:Evidence from the US Treasury Market[J].Journal of Financial and Quantitative,(9):142-173.
Engsted,T.,and Tanggaard,C.,2007.The Comovement of US and German Bond Markets[J].International Review of Financial Analysis,Volume 16(2):172-182.
Ernst,C.,and Stangey,S.,and Kasererz,C.,2012.Accounting for Non-normality in Liquidity Risk[J].The Journal of Risk,Volume 14,Number 3:3-21.
Farshid,Abdi,and Ranaldo,A.,2017.A Simple Estimation of Bid-ask Spreads from Daily Close,High,and Low Prices[R].SIBFWorking Papers on Finance,No.04.
Fleming,J.,Kirby,C.,and Ostdiek,B.,1998.Information and Volatility Linkages in the Stock,Bond and Money Markets[J].Journal of Financial Economics,49:111-137.
Fleming,M.J.,2001.Measuring Treasury Market Liquidity[R].Staff Report,Federal Reserve Bank of New York,No.133.
Glosten,L,and Harris,L.,1988.Estimating the Components of the Bid/Ask Spread[J].Journal of Financial Economics,(5):123-142.
Goyenko,R.Y.,Holden,C.W.,and Trzcinka,C.A.,2009.Do Liquidity Measures Measure Lliquid Dity?[J].Journal of Financial Economics,(5):153-181.
Gravelle,T.,Grieder,T.,and Lavoie,S.,2013.Monitoring and Assessing Risks in Canada’s Shadow Banking Sector[J].Financial System Review,55.
Hasbrouck,J.,2004.Liquidity in the Futures Pits:Inferring Market Dynamics from Incomplete Data[J].Journal of Financial and Quantitative Analysis,(6):165-196.
Holden,C.W.,2009.New Low-frequency Spread Measures[J].Journal of Financial Markets,(4):778-813.
Huang,R.D.,and Stoll,H.R.,1997.The Components of the Bid-ask Spread:A General Approach[J].The Review of Financial Studies,(10):995-1034.
Kyle,A.,1985.Continuous Auctions and Insider Trading[J].Econometrica,(11):1315-1335.
Laopodis,N.T.,2008.Government Bond Market Integration within European Union[J].International Research Journal of Finance and Economics,(19):56-76.
Lesmond,D.A.,Ogden,J.P.,and Trzcinka,C.A.,1999.A New Estimate of Transaction Costs[J].The Review of Financial Studies,(10):1113-1141.
Li,Zhiyong Lambe,B.,and Adegbite,E.,2017.New Bid-ask Spread Estimators from Daily High and Low Prices[N].
Nelsen,R.B.,2000.An Introduction to Copulas[M].Springer Science&Business Media.
Patton,A.J.,2006.Modelling Asymmetric Exchange Rate Dependence[J].International Economic Review,Volume 47(2):527-556.
Roll,R.,1984.A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market[J].Journal of Finance,(9):1127-1139.
Schestag,R.,Schuster,P.,and Uhrig-Homburg,M.,2016.Measuring Liquidity in Bond Markets[J].The Review of Financial Studies,(5):1170-1219.
Skintzi,V.D.,and Refenes,A.N.,2006,Volatility Spillovers and Dynamic Correlation in European Bond Markets[J].Journal of International Financial Markets,Institutions and Money,(2):23-40.
Sklar,A.,1959.Fonctions de Répartitionàn Dimensions et Leurs Marges[M].Pub Inst Stat Univ Paris.
Stoll,H.R.,1989.Inferring the Components of the Bid-ask Spread:Theory and Empirical Tests[J].The Journal of Finance,1:115-134.
Wei,J.,and Zheng,J.,2010.Trading Activity and Bid-ask Spreads of Individual Equity Options[J].Journal of Banking&Finance,Volume 34(12):2897-291.
Yang,J.,2005.International Bond Market Linkages:A Structural VAR Analysis[J].Journal of International Financial Markets,Institutions and Money,Volume 15(1):39-54.
(1)根据国际清算银行(BIS)和美国财政部国际资本系统(TIC)数据测算。
(2)Brunnermeier(Brunnermeier,2009;Brunnermeier and Pedersen,2009)在分析当时的流动性与信贷危机时,提出“流动性螺旋”是美国股市流动性与金融危机间的重要特征,流动性螺旋具体是指流动性螺旋式的上升或者紧缩的过程,在资本市场主要表现为:当市场流动性良好时推升资产价格,金融市场状况转好将提高金融机构融资能力,两者交互作用导致流动性不断上升,甚至导致资产泡沫发生;反之,当市场流动性降低时,往往会导致资产价格下跌,由此影响金融机构融资能力,融资流动性和市场流动性相互作用,最终呈现为螺旋式紧缩。
(1)此处推导参考Corwin和Schultz(2012),更为详细推导过程可参看相关文献。
(1)当该指标根据样本计算为负值时,取值为0。
(1)Azis和Shin(2015)提出的全球流动性的三个阶段是针对2008年全球金融危机而言的,三阶段具体指:危机前全球流动性泛滥的阶段、危机后中心国家采取量化宽松货币政策的阶段和量化宽松货币政策开始退出的阶段。
高波、任若恩,2015.基于时变Copula模型的系统流动性风险研究[J].国际金融研究(12):85-93.
陆磊、杨骏,2016.流动性、一般均衡与金融稳定的“不可能三角”[J].金融研究,(1):1-13.
庞晓波、钱锟,2018.货币政策、流动性监管与银行风险承担[J].金融论坛,(1):27-38.
王博、王开元,2018.汇率改革、短期国际资本流动与资产价格[J].金融论坛,(4):56-68.
韦艳华、张世英、郭焱,2004.金融市场相关程度与相关模式的研究[J].系统工程学报,(4):18-42.
张尧庭,2004.连接函数(Copula)技术与金融风险分析[J].统计研究,(4):24-36.
Abad,P.,Chuliá,H.,and Marta,G.P.,2010.EMU and European Government Bond Market Integration[J].Journal of Banking&Finance,(12):2851-2860.
Abdi,F.,and Ranaldo,A.,2017.A Simple Estimation of Bid-Ask Spreads from Daily Close,High,and Low Prices[J].The Review of Financial Studies,(12):4437-4480.
Amihud,Y.,Mendelson,H.,and Pedersen,L.H.,2005.Liquidity and Asset Prices[J].Foundations and Trends in Finance,(1):269-364.
Amihud,Yakov,2002.Illiquidity and Stock Returns:Cross Section and Time-series Effects[J].Journal of Financial Markets,(5):31-56.
Azis,I.J.,and Shin,H.S.,2015.The Three Phases of Global Liquidity[M].Singapore:Springer.
Bangia,A.,Diebold,F.X.,Schuermann,T.,and Stroughair,J.D.,2001.Modeling Liquidity Risk,with Implications for Traditional Market Risk Measurement and Management[R].The New York University Salomon Center Series on Financial Markets and Institutions,Vol 8.Springer,Boston,MA.
Barberis,N.,Shleifer,A.,and Wurgler,J.,2005.Comovement[J].Journal of Financial Economics,Issue 2:283-317.
Brandt,M.W.,and Kavajecz,K.A.,2004.Price Discovery in the US Treasury Market:The Impact of Orderflow and Liquidity on the Yield Curve[J].The Journal of Finance,(12):132-162.
Broto,C.,and Lamas,M.,2016.Measuring Market Liquidity in US Fixed Income Markets:A New Synthetic Indicator[J].The Spanish Review of Financial Economics,(1):15-22.
Brunnermeier,M.K.,2009.Deciphering the Liquidity and Credit Crunch 2007-2008[J].Journal of Economic Perspectives,(1):77-100.
Brunnermeier,M.K.,and Pedersen,L.H.,2005.Predatory Trading[J].The Journal of Finance,Issue,6,Pages 1825-1863.
Brunnermeier,M.K.,and Pedersen,L.H.,2009.Market Liquidity and Funding Liquidity[J].Review of Financial Studies,(6):2201-2238.
Chordia,T.,Shivakumar,L.,and Subrahmanyam,A.,2004.Liquidity Dynamics Across Small and Large Firms[J].Economic Notes Volume 33,Issue1 Pages 111-143.
Corwin,S.A.,and Schultz,P.,2012.A Simple Way to Estimate Bid-ask Spreads from Daily High and Low Prices[J].The Journal of Finance,(4):719-760.
Diebold,F.X.,and Kamil,Y.,2009.Measuring Financial Asset Return and Volatility Spillovers,with Application to Global Equity Markets[J].The Economic Journal,(1):158-171.
Elton,E.J.,Balduzzi,P.,and Green,T.C.,2001.Economic News and Bond Prices:Evidence from the US Treasury Market[J].Journal of Financial and Quantitative,(9):142-173.
Engsted,T.,and Tanggaard,C.,2007.The Comovement of US and German Bond Markets[J].International Review of Financial Analysis,Volume 16(2):172-182.
Ernst,C.,and Stangey,S.,and Kasererz,C.,2012.Accounting for Non-normality in Liquidity Risk[J].The Journal of Risk,Volume 14,Number 3:3-21.
Farshid,Abdi,and Ranaldo,A.,2017.A Simple Estimation of Bid-ask Spreads from Daily Close,High,and Low Prices[R].SIBFWorking Papers on Finance,No.04.
Fleming,J.,Kirby,C.,and Ostdiek,B.,1998.Information and Volatility Linkages in the Stock,Bond and Money Markets[J].Journal of Financial Economics,49:111-137.
Fleming,M.J.,2001.Measuring Treasury Market Liquidity[R].Staff Report,Federal Reserve Bank of New York,No.133.
Glosten,L,and Harris,L.,1988.Estimating the Components of the Bid/Ask Spread[J].Journal of Financial Economics,(5):123-142.
Goyenko,R.Y.,Holden,C.W.,and Trzcinka,C.A.,2009.Do Liquidity Measures Measure Lliquid Dity?[J].Journal of Financial Economics,(5):153-181.
Gravelle,T.,Grieder,T.,and Lavoie,S.,2013.Monitoring and Assessing Risks in Canada’s Shadow Banking Sector[J].Financial System Review,55.
Hasbrouck,J.,2004.Liquidity in the Futures Pits:Inferring Market Dynamics from Incomplete Data[J].Journal of Financial and Quantitative Analysis,(6):165-196.
Holden,C.W.,2009.New Low-frequency Spread Measures[J].Journal of Financial Markets,(4):778-813.
Huang,R.D.,and Stoll,H.R.,1997.The Components of the Bid-ask Spread:A General Approach[J].The Review of Financial Studies,(10):995-1034.
Kyle,A.,1985.Continuous Auctions and Insider Trading[J].Econometrica,(11):1315-1335.
Laopodis,N.T.,2008.Government Bond Market Integration within European Union[J].International Research Journal of Finance and Economics,(19):56-76.
Lesmond,D.A.,Ogden,J.P.,and Trzcinka,C.A.,1999.A New Estimate of Transaction Costs[J].The Review of Financial Studies,(10):1113-1141.
Li,Zhiyong Lambe,B.,and Adegbite,E.,2017.New Bid-ask Spread Estimators from Daily High and Low Prices[N].
Nelsen,R.B.,2000.An Introduction to Copulas[M].Springer Science&Business Media.
Patton,A.J.,2006.Modelling Asymmetric Exchange Rate Dependence[J].International Economic Review,Volume 47(2):527-556.
Roll,R.,1984.A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market[J].Journal of Finance,(9):1127-1139.
Schestag,R.,Schuster,P.,and Uhrig-Homburg,M.,2016.Measuring Liquidity in Bond Markets[J].The Review of Financial Studies,(5):1170-1219.
Skintzi,V.D.,and Refenes,A.N.,2006,Volatility Spillovers and Dynamic Correlation in European Bond Markets[J].Journal of International Financial Markets,Institutions and Money,(2):23-40.
Sklar,A.,1959.Fonctions de Répartitionàn Dimensions et Leurs Marges[M].Pub Inst Stat Univ Paris.
Stoll,H.R.,1989.Inferring the Components of the Bid-ask Spread:Theory and Empirical Tests[J].The Journal of Finance,1:115-134.
Wei,J.,and Zheng,J.,2010.Trading Activity and Bid-ask Spreads of Individual Equity Options[J].Journal of Banking&Finance,Volume 34(12):2897-291.
Yang,J.,2005.International Bond Market Linkages:A Structural VAR Analysis[J].Journal of International Financial Markets,Institutions and Money,Volume 15(1):39-54.
(1)根据国际清算银行(BIS)和美国财政部国际资本系统(TIC)数据测算。
(2)Brunnermeier(Brunnermeier,2009;Brunnermeier and Pedersen,2009)在分析当时的流动性与信贷危机时,提出“流动性螺旋”是美国股市流动性与金融危机间的重要特征,流动性螺旋具体是指流动性螺旋式的上升或者紧缩的过程,在资本市场主要表现为:当市场流动性良好时推升资产价格,金融市场状况转好将提高金融机构融资能力,两者交互作用导致流动性不断上升,甚至导致资产泡沫发生;反之,当市场流动性降低时,往往会导致资产价格下跌,由此影响金融机构融资能力,融资流动性和市场流动性相互作用,最终呈现为螺旋式紧缩。
(1)此处推导参考Corwin和Schultz(2012),更为详细推导过程可参看相关文献。
(1)当该指标根据样本计算为负值时,取值为0。
(1)Azis和Shin(2015)提出的全球流动性的三个阶段是针对2008年全球金融危机而言的,三阶段具体指:危机前全球流动性泛滥的阶段、危机后中心国家采取量化宽松货币政策的阶段和量化宽松货币政策开始退出的阶段。