CAJ | 학술논문

基于2003—2013年间的月度时间序列数据，文章利用马尔科夫区制转移模型，研究不同货币供给状态下银行融资流动性与债券回购市场流动性之间的动态关系。研究结果发现：两者之间存在互为正向反馈的流动性螺旋效应；在货币供给较低区制下，流动性螺旋效应比货币供给较高区制下更为明显，具有时变和非对称性特征；提高债券回购市场流动性能有效缓解银行融资流动性困难问题。
기우2003—2013년간적월도시간서렬수거，문장이용마이과부구제전이모형，연구불동화폐공급상태하은행융자류동성여채권회구시장류동성지간적동태관계。연구결과발현：량자지간존재호위정향반궤적류동성라선효응；재화폐공급교저구제하，류동성라선효응비화폐공급교고구제하경위명현，구유시변화비대칭성특정；제고채권회구시장류동성능유효완해은행융자류동성곤난문제。
T he author empirically studies the time‐varying characteristics of liquidity fluctuations from 2003 to 2013 with MAVAR model .The result shows that the liquidity spiral exists between bank funding risk and bond repo market liquidity with apparently time‐varying and asymmetric characteristics .To improve the bond repo market liquidity is good to ease bank funding liquidity effectively .It means that we accelerate the development of bond repo market to avoid the liquidity spiral and maintain financial stability .