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在全面加强金融监管和有效防范化解金融风险背景下，基于2015—2023年我国各子市场利率水平与基准参考利率利差构造系统流动性风险指数，分析测度了金融市场系统流动性风险，并研究了其对国债收益率的影响。研究发现：第一，构建的系统流动性风险指数警示结果与历史流动性压力区间匹配良好，能够有效跟踪金融市场流动性状况；第二，基于动态Nelson-Siegel利率期限结构模型的动态乘子分析显示，流动性风险上升会推高短期国债利率，但对于中长期国债收益率没有显著影响，因此我国国债长短期利差收窄，国债收益率曲线变得更为平坦。研究结果对于利率期限结构建模、投资者资产配置、风险管理和宏观政策制定具有一定参考价值。
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②Brunnermeier M.K.,Pedersen L.H.,“Market Liquidity and Funding Liquidity”,The Review of Financial Studies,2009,22(6),pp.2201—2238.
③该数据源于Wind数据库。
④易纲：《中国的利率体系与利率市场化改革》,《金融研究》,2021年第9期。
⑤易纲：《货币政策的自主性、有效性与经济金融稳定》,《经济研究》,2023年第6期。
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(23)指系统流动性风险指数与各期限国债收益率的相关性系数。
(24)Diebold F.X.,Li C.,“Forecasting the Term Structure of Government Bond Yields”,Journal of Econometrics,2006,130(2),pp.337—364.
(25)Diebold F.X.,Rudebusch G.D.,Aruoba S.B.,“The Macroeconomy and the Yield Curve:A Dynamic Latent Factor Approach”,Journal of Econometrics,2006,131(1-2),pp.309—338.
(26)Hamilton J.D.,Time Series Analysis,Princeton:Princeton University Press,2020.
(27)状态空间表达中误差方差矩阵H和Q中的参数估计值非本文的重点,故不作详述。
(28)动态乘子及其标准误的计算方法采用解析法,完整的推导过程和计算表达式非本文重点,故不作详述。
基本信息:
DOI：10.15981/j.cnki.dongyueluncong.2025.11.019
中图分类号:F832.5
引用信息:
[1]张英博,李广俊.金融市场系统流动性风险测度及其对国债收益率的影响研究[J].东岳论丛,2025,46(11):158-169.DOI:10.15981/j.cnki.dongyueluncong.2025.11.019.
基金信息:
国家社科基金项目“关联图谱视角下资本市场系统性风险传导及预警研究”(项目编号：19CJL041)
2025-12-11
2025-12-11
2025-12-11