| In recent years,"preventing and resolving systemic financial risks" has appeared frequently in various policy documents.The Central Economic Conference in December 2016,the annual meeting of the National People’s Congress in March 2017,and the National Financial Work Conference in July2017 all made ensuring that systemic risks do not occur as the current economic policy priorities.On this basis,the 19 th National Congress of the Communist Party of China further proposed a key measure to deal with systemic financial risks-"improving the dual-pillar regulatory framework of monetary policy and macroprudential policy".On December 31,2021,the People’s Bank of China issued the "Macroprudential Policy Guidelines(Trial)",clarifying that the goal of macroprudential policy is to prevent systemic financial risks."Liquidity is everything in the market." As the basic element of the financial market,liquidity plays an important role in ensuring the normal operation of the financial market,price discovery and efficient resource allocation.The outbreak of the global financial crisis in 2008 prompted people to pay more attention to the deeper root of the crisis-liquidity risk.Liquidity shocks are highly contagious and can easily evolve into systemic financial risks.When the liquidity of a single market fluctuates violently or is seriously unbalanced,it will spread among various markets or levels through the liquidity linkage mechanism,resulting in a Liquidity Spiral,which will further lead to financial crises.Therefore,it is of great significance to study the liquidity risk spillover effect between China’s financial markets for preventing systemic financial risks.This paper aims to study the liquidity risk spillover effect between China’s financial markets,and on this basis,deeply study the characteristics of liquidity risk.This paper sorts out the research results of the existing literature from the aspects of liquidity measurement method,liquidity risk spillover effect phenomenon,liquidity risk spillover effect transmission mechanism,and spillover effect measurement method.Risk and research methods based on quantile regression and partial t distribution provide theoretical support.In the empirical part,this paper uses the Aimhud index to construct the illiquidity of five portfolio assets of CSI 300 stocks,CSI 500 stocks,government bonds,corporate bonds and corporate bonds as their liquidity risk indicators.Then,taking the illiquidity of each market with a one-week lag as the explanatory variable,and the illiquidity of each market in the next week as the explained variable,using quantile regression to study the liquidity risk spillover effect among the five markets,it is found that treasury bonds There is a positive spillover effect of liquidity risk between the market and the stock market,but there is no liquidity risk spillover effect between the stock market and the corporate/corporate bond market.There is a significant positive liquidity risk spillover effect between large and small-cap stocks within the stock market.There is a significant "flight-to-liquidity" behavior within bonds.The liquidity risk spillover effect between China’s financial markets is obviously asymmetrical,and the liquidity risk spillover effect increases with the deterioration of liquidity risk.In addition,based on the estimation results of quantile regression,this paper further uses partial t distribution to estimate the probability density of conditional distribution of illiquidity in each market,and finds that the distribution of conditional illiquidity in each market presents obvious asymmetry,that is,Liquidity risk is significantly asymmetric.Finally,based on the estimated illiquid conditional distribution of each market,this paper uses the Upside Entropy and Downside Entropy of the illiquid conditional distribution relative to the illiquid distribution and the 5% tail expectation to measure the future market.Downside and upside risks of liquidity,it is found that the risk characteristics of the stock market have changed significantly around 2014 due to the implementation of the circuit breaker mechanism.The liquidity risk in the treasury bond market is obviously asymmetric,and the downside risk of liquidity is significantly higher than the risk of liquidity improvement.Finally,this paper tests the robustness of the two-step method based on quantile regression and partial t distribution with out-of-sample data.The contributions and innovations of this paper are:(1)it is the first research that uses quantile and partial t distribution to study the liquidity risk spillover effect and liquidity risk characteristics between China’s stock and bond markets,and accurately describe the liquidity risk between markets Asymmetry of spillovers and extreme tail downside risks.(2)Based on the conditional probability density distribution of market illiquidity risk,this paper analyzes from the deviation of the conditional probability density relative to the unconditional probability density and the 5% tail expectation,the probability of future liquidity risk and the extreme risk level of future liquidity.This paper constructs a liquidity risk prediction index and verifies its effectiveness.(3)On the basis of systematically sorting out the theoretical mechanism of liquidity cross-market spillover effect,the research scope of liquidity risk spillover effect is extended from the existing stock market and bonds to the internal stock and the bond.It is found that the liquidity risk spillover effect between my country’s stock market and bond market is only reflected in the stock market and the treasury bond market.At present,there is no significant liquidity risk spillover effect between China’s stock market and corporate bonds.There is a significant positive spillover effect of liquidity risk in the stock market,and there is a significant "liquidity transfer" in the bond market. |
