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《Finance & Trade Economics》 2005-09
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A Study on Liquidity of China' s Government Bond Market

LI Yan, CAO Jinwen ( Remin University of China, Beijing 100872)  
In this paper we investigated the liquidity of the government bonds traded in the Inter - bank Market of China and Stock Exchange of Shanghai. We estimate the width and depth of the two markets using serial covariance model, Amivest liquidity ratio and turnover ratio. We find that 1) there are structured differences of liquidity between the two markets;2) in all kinds of government bond repurchases, the 7 days Repo is the most liquid. It is reasonable to use 7 - day Repo rate as the benchmark rate;3) there is substitute effect between on - the - run bonds and off - the - run bonds.
【Fund】: 本报告得到教育部人文社会科学研究专项任务项目资助
【CateGory Index】: F832.51
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