Liquidity of China’s government bond market: Measures and driving forces
نویسندگان
چکیده
We construct a daily liquidity index of China’s government bond market using transaction data from the national interbank during 2001–2020. The is composite popular price-based and quantity-based metrics liquidity. indices, obtained by averaging across different applying principal component analysis, respectively, both point to better condition after 2010. Market swings appear be highly correlated with domestic funding financial volatility, but display fewer correlations global macrofinancial indicators. Our findings suggest that further deepening would support stability monetary operations down road.
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ژورنال
عنوان ژورنال: Economic and Political Studies
سال: 2022
ISSN: ['2095-4816', '2470-4024']
DOI: https://doi.org/10.1080/20954816.2022.2107783