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- W4296998093 abstract "We construct a daily liquidity index of China’s government bond market using transaction data from the national interbank market during 2001–2020. The index is a composite of popular price-based and quantity-based metrics of liquidity. The composite indices, obtained by averaging across different metrics and by applying the principal component analysis, respectively, both point to a better liquidity condition after 2010. Market liquidity swings appear to be highly correlated with domestic funding liquidity and financial market volatility, but display fewer correlations with global macrofinancial indicators. Our findings suggest that the further deepening of the government bond market would support domestic financial stability and monetary operations down the road." @default.
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- W4296998093 date "2022-09-23" @default.
- W4296998093 modified "2023-10-14" @default.
- W4296998093 title "Liquidity of China’s government bond market: Measures and driving forces" @default.
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- W4296998093 doi "https://doi.org/10.1080/20954816.2022.2107783" @default.
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