我国宏观经济政策冲击下的跨市场效应研究
|
摘要
宏观经济政策的冲击效应已经得到研究学者的广泛关注。本文在对相关文献进行系统性综述的基础上，发现宏观经济政策冲击的市场内冲击效应研究已经取得了一些有益的成果，但是对宏观经济政策冲击的跨市场效应尚未得到研究学者的重视。因此，本文结合我国股票和债券市场的实际情况以及相关政策的制定和实施，使用金融市场计量经济学的相关理论和方法，通过构建计量经济模型，实证检验了我国宏观经济政策冲击的跨市场效应，重点检验了宏观经济政策的信息含量、宏观经济政策的非对称效应、宏观经济政策冲击下的跨市场投资转移和风险传染等问题。
首先，本文实证检验了宏观经济政策的信息含量。通过构建似不相关（Seemingly Unrelated Regression，简称SUR）模型，不仅分析了宏观经济政策的市场内信息含量，而且分析了宏观经济政策的跨市信息含量。由于宏观经济政策的冲击会影响市场的定单流和流动性，本文同时也分析了定单流和流动性的市场内和跨市场信息含量。实证检验结果表明，宏观经济政策对股票、国债和企业债市场的影响不同。
其次，本文实证检验了宏观经济政策的跨市场非对称效应，分析了扩张性和紧缩性的货币政策对股票、国债和企业债市场产生的跨市场非对称效应，讨论了利率政策对股票、国债和企业债市场产生的两种跨市场非对称效应——跨市场投资转移和跨市场风险传染，并刻画了跨市场非对称效应的时变特征。实证分析结果表明，货币政策冲击不仅存在方向上的非对称效应：紧缩性与扩张性货币政策之间的非对称性，而且存在不同市场之间的非对称性：货币政策冲击对股票、国债和企业债市场产生了非对称效应。利率变动引起股票市场和国债市场、股票市场和企业债市场之间的投资转移以及国债市场和企业债市场之间的风险传染。同时，利率变动的跨市场效应呈现时变特征，利率变动冲击大小随时间而发生变动。
再次，本文实证检验了宏观经济政策冲击下的跨市场投资转移。从微观层面分析流动性和定单流等微观因素对股票、国债和企业债市场的跨市场投资转移的影响，从宏观层面探讨货币供应量和拆借利率等宏观经济政策变量对跨产生投资转移的影响。实证分析结果表明，宏观经济政策变量会影响到投资者的跨市场投资转移行为。在货币供应量和银行间同业拆借利率等宏观因素的影响下，股票和债券市场之间存在显著的投资转移行为。在银行间拆借利率的影响下，国债市场定单流下降，企业债市场定单流、流动性上升（报价较差减小）。银行间拆借利率的影响使得在债券市场上出现显著的市场内投资转移行为。
最后，本文实证检验了宏观经济政策冲击下的跨市场风险传染。通过Copula函数导出的非线性相关系数、非对称上下尾部相关性来分析宏观经济政策冲击下股票、国债和企业债市场间相关结构的变化，并通过相关结构的变化来对不同宏观经济政策冲击下的跨市场效应进行实证检验，实证表明，在利好宏观经济政策的冲击下：股票和国债以及股票和企业债市场之间存在着明显的正向投资转移行为，而国债和企业债之间则表现为正向风险传染；在利空宏观经济政策冲击下：股票、国债和企业债市场间存在明显的跨市场负向风险传染效应。
The shock effects of macroeconomic policies has been widespread concerned bythe research scholars. Based on systematic review of the relevant literatures, this paperfinds that the researches of the shock effects of macroeconomic policies have madesome useful results. However, the cross-market effects of macroeconomic policies’impact have not yet been to the attention of research scholars. Therefore, combiningthe actual situation of China's stock and bond markets and related policy formulationand implementation, this paper uses of the theory and method of financial marketseconometrics, by constructing econometric models, to examine the cross-marketeffects of macroeconomic policies’ impact, such as the information content ofmacroeconomic policies, the asymmetric effect of macroeconomic policies, thecross-market flight and risk contagion under the impact of macroeconomic policies.
Firstly, the information content of macroeconomic policies is empirically tested.By constructing Seemingly Unrelated Regression model, this paper not onlyanalyzes within-market information content of macroeconomic policies, but alsoanalyzes cross-market information content of macroeconomic policies. Becausemacroeconomic policies will affect the order flow and liquidity of the market, thispaper also analyzes the within-market and cross-market information of order flow andliquidity. The empirical test results show that the impacts of macroeconomic policieson stock, Treasury bond and corporate bond markets are different.
Secondly, the cross-market asymmetric effects of the macroeconomic policies areempirically tested. This paper analyzes the cross-market asymmetric effects ofexpansionry and contractionary monetary policies on stock, Treasury bond andcorporate bond markets. Also, this paper analyzes two cross-market asymmetric effectsof interest rate policy on the stock, Treasury bond and corporate bond markets:cross-market flight and cross-market risk contagion. This paper depicts time-varyingcharacteristics of cross-market asymmetric effects. The empirical results show that theimpact of monetary policy not only exists the direction of the asymmetric effect, butalso exists asymmetry effects among stock, Treasury bond and corporate bond markets. Changes in interest rates caused the flight between stock market and Treasurybond market, and between stock market and corporate bond market as well as riskcontagion between Treasury bond and corporate bond market. At the same time, thecross-market effects of changes in interest rates present time-varying characteristics.The size of changes in interest rates’ impact changes over time.
Thirdly, the cross-market flight under the macroeconomic policies’ impact isexamined. From the micro-level, this paper analyzes the impacts of microeconomicfactors such as liquidity and order flow on the cross-market flight of stock, Treasurybond and corporate bond markets. From the macro-level, this paper analyzes theimpact of macroeconomic policy variables such as money supply and lending interestrates on cross-market flight. The empirical results show that the macroeconomic policyvariables will affect the investor's cross-market flight behavior. There is a significantflight behavior between stock and bond markets under the influence of money supplyand inter-bank lending interest rates. Under the influence of the inter-bank lending rate,the order flow of Treasury bond market decreases, the order flow and liquidity ofcorporate bond market increases (bid spreads decreases). The impact of inter-banklending interest rates makes a significant within-market flight behavior in the bondmarket.
Lastly, cross-market risk contagion under the impact of macroeconomic policiesis empirically tested. By Copula functions, this paper analysis the changes ofcorrelation structure between stocks market, government bonds market and corporatedebt market, under the impact of macroeconomic policy. Through the changes in thecorrelation structure, we give empirical test of cross-market effects under differentimpact of macroeconomic policy. Evidence shows that under the positive impact ofmacroeconomic policies, there is positive shift investment behavior between stocksmarker and government bonds marker, stock market and corporate debt market as well.There is risk infection between government bonds market and corporate debt market;under the negative impact of macroeconomic policy, there is significant cross-marketrisk contagion among stocks market, government bonds market and corporate debtmarket.
首先，本文实证检验了宏观经济政策的信息含量。通过构建似不相关（Seemingly Unrelated Regression，简称SUR）模型，不仅分析了宏观经济政策的市场内信息含量，而且分析了宏观经济政策的跨市信息含量。由于宏观经济政策的冲击会影响市场的定单流和流动性，本文同时也分析了定单流和流动性的市场内和跨市场信息含量。实证检验结果表明，宏观经济政策对股票、国债和企业债市场的影响不同。
其次，本文实证检验了宏观经济政策的跨市场非对称效应，分析了扩张性和紧缩性的货币政策对股票、国债和企业债市场产生的跨市场非对称效应，讨论了利率政策对股票、国债和企业债市场产生的两种跨市场非对称效应——跨市场投资转移和跨市场风险传染，并刻画了跨市场非对称效应的时变特征。实证分析结果表明，货币政策冲击不仅存在方向上的非对称效应：紧缩性与扩张性货币政策之间的非对称性，而且存在不同市场之间的非对称性：货币政策冲击对股票、国债和企业债市场产生了非对称效应。利率变动引起股票市场和国债市场、股票市场和企业债市场之间的投资转移以及国债市场和企业债市场之间的风险传染。同时，利率变动的跨市场效应呈现时变特征，利率变动冲击大小随时间而发生变动。
再次，本文实证检验了宏观经济政策冲击下的跨市场投资转移。从微观层面分析流动性和定单流等微观因素对股票、国债和企业债市场的跨市场投资转移的影响，从宏观层面探讨货币供应量和拆借利率等宏观经济政策变量对跨产生投资转移的影响。实证分析结果表明，宏观经济政策变量会影响到投资者的跨市场投资转移行为。在货币供应量和银行间同业拆借利率等宏观因素的影响下，股票和债券市场之间存在显著的投资转移行为。在银行间拆借利率的影响下，国债市场定单流下降，企业债市场定单流、流动性上升（报价较差减小）。银行间拆借利率的影响使得在债券市场上出现显著的市场内投资转移行为。
最后，本文实证检验了宏观经济政策冲击下的跨市场风险传染。通过Copula函数导出的非线性相关系数、非对称上下尾部相关性来分析宏观经济政策冲击下股票、国债和企业债市场间相关结构的变化，并通过相关结构的变化来对不同宏观经济政策冲击下的跨市场效应进行实证检验，实证表明，在利好宏观经济政策的冲击下：股票和国债以及股票和企业债市场之间存在着明显的正向投资转移行为，而国债和企业债之间则表现为正向风险传染；在利空宏观经济政策冲击下：股票、国债和企业债市场间存在明显的跨市场负向风险传染效应。
The shock effects of macroeconomic policies has been widespread concerned bythe research scholars. Based on systematic review of the relevant literatures, this paperfinds that the researches of the shock effects of macroeconomic policies have madesome useful results. However, the cross-market effects of macroeconomic policies’impact have not yet been to the attention of research scholars. Therefore, combiningthe actual situation of China's stock and bond markets and related policy formulationand implementation, this paper uses of the theory and method of financial marketseconometrics, by constructing econometric models, to examine the cross-marketeffects of macroeconomic policies’ impact, such as the information content ofmacroeconomic policies, the asymmetric effect of macroeconomic policies, thecross-market flight and risk contagion under the impact of macroeconomic policies.
Firstly, the information content of macroeconomic policies is empirically tested.By constructing Seemingly Unrelated Regression model, this paper not onlyanalyzes within-market information content of macroeconomic policies, but alsoanalyzes cross-market information content of macroeconomic policies. Becausemacroeconomic policies will affect the order flow and liquidity of the market, thispaper also analyzes the within-market and cross-market information of order flow andliquidity. The empirical test results show that the impacts of macroeconomic policieson stock, Treasury bond and corporate bond markets are different.
Secondly, the cross-market asymmetric effects of the macroeconomic policies areempirically tested. This paper analyzes the cross-market asymmetric effects ofexpansionry and contractionary monetary policies on stock, Treasury bond andcorporate bond markets. Also, this paper analyzes two cross-market asymmetric effectsof interest rate policy on the stock, Treasury bond and corporate bond markets:cross-market flight and cross-market risk contagion. This paper depicts time-varyingcharacteristics of cross-market asymmetric effects. The empirical results show that theimpact of monetary policy not only exists the direction of the asymmetric effect, butalso exists asymmetry effects among stock, Treasury bond and corporate bond markets. Changes in interest rates caused the flight between stock market and Treasurybond market, and between stock market and corporate bond market as well as riskcontagion between Treasury bond and corporate bond market. At the same time, thecross-market effects of changes in interest rates present time-varying characteristics.The size of changes in interest rates’ impact changes over time.
Thirdly, the cross-market flight under the macroeconomic policies’ impact isexamined. From the micro-level, this paper analyzes the impacts of microeconomicfactors such as liquidity and order flow on the cross-market flight of stock, Treasurybond and corporate bond markets. From the macro-level, this paper analyzes theimpact of macroeconomic policy variables such as money supply and lending interestrates on cross-market flight. The empirical results show that the macroeconomic policyvariables will affect the investor's cross-market flight behavior. There is a significantflight behavior between stock and bond markets under the influence of money supplyand inter-bank lending interest rates. Under the influence of the inter-bank lending rate,the order flow of Treasury bond market decreases, the order flow and liquidity ofcorporate bond market increases (bid spreads decreases). The impact of inter-banklending interest rates makes a significant within-market flight behavior in the bondmarket.
Lastly, cross-market risk contagion under the impact of macroeconomic policiesis empirically tested. By Copula functions, this paper analysis the changes ofcorrelation structure between stocks market, government bonds market and corporatedebt market, under the impact of macroeconomic policy. Through the changes in thecorrelation structure, we give empirical test of cross-market effects under differentimpact of macroeconomic policy. Evidence shows that under the positive impact ofmacroeconomic policies, there is positive shift investment behavior between stocksmarker and government bonds marker, stock market and corporate debt market as well.There is risk infection between government bonds market and corporate debt market;under the negative impact of macroeconomic policy, there is significant cross-marketrisk contagion among stocks market, government bonds market and corporate debtmarket.
引文
[1] Evans, Lyons. Order flow and exchange rate dynamics [J]. Journal of Political Economy,2002,110(1):170-180.
[2] Underwood. The cross-market information content of stock and bond order flow [J]. Journal ofFinancial Markets,2009,12(2):268-289.
[3]谭地军,田益祥.债券流动性与定单流的信息含量.中国金融评论,2009,3(1):1-17.
[4] Bernanke, Gertler, Gilchrist. The financial accelerator and the flight to quality [J]. The Reviewof Economics and Statistics,1996,78(1):1-15.
[5] Caballero, Krishnamurthy. Collective risk management in a flight to quality episode [J]. TheJournal of Finance,2008,63(5):2195-2230.
[6] Dungey, McKenzie, Tambakis. Flight-to-quality and asymmetric volatility responses in USTreasuries [J]. Global Finance Journal,2009,19(3):252-267.
[7] Amihud, Mendelson. Liquidity and the1987stock market crash [J]. The Journal of PortfolioManagement,1990,16(3):65-69.
[8] Longstaff F. The flight-to-liquidity premium in U.S. Treasury bond prices [J]. Journal ofBusiness,2004,77(3):511-526.
[9] Acharya, Pedersen. Asset pricing with liquidity risk [J]. Journal of Financial Economics,2005,77(2):375-410.
[10] Brunnermeier, Pedersen. Market liquidity and funding liquidity [J]. Review of FinancialStudies,2009,22(6):2201-2238.
[11] Goyenko, Sarkissian. Flight-to-liquidity and glbal equity returns [J]. Working paper, McGillUniversity,2010.
[12] Beber, Brandt, Kavajecz. Flight-to-quality or flight-to-liquidity? Evidence from the Euro-areabond market [J]. Review of Financial Studies,2009,22(3):925-957.
[13] Baig, Goldfajn. Financial market contagion in the Asian crisis [J]. IMF staff papers,1999,46(2):167-195.
[14] Rodriguez. Measuring financial contagion: A Copula approach [J]. Journal of EmpiricalFinance,2007,14(3):401-423.
[15] Longstaff. The subprime credit crisis and contagion in financial markets [J]. Journal ofFinancial Economics,2010,97(3):436-450.
[16] Eric Girardin, D. Tan, W. Wong. Information content of order flow and cross-market portfoliorebalancing [J]. Working paper, HKIMR,2010.
[17] Cover. Asymmetric effects of positive and negative money-supply shocks [J]. The QuarterlyJournal of Economics,1992,107(4):1621-1282.
[18]陈建斌.政策方向、经济周期与货币政策效力非对称性[J].管理世界,2006,(9):6-12.
[19] Chordia, Sarkar, Subrahmanyam. An empirical analysis of stock and bond market liquidity [J].Review of Financial Studies,2005,18(1):85-129.
[20] Goyenko, Ukhov. Stock and bond market liquidity: A long-run empirical analysis [J]. JournalFinancial and Quantitative Analysis,2009,44(1):189-212.
[21] Bagehot. The only game in town [J]. Financial Analysts Journal,1971,27(6):12-24.
[22] Martin. Analysis of the impact of competitive rates on the liquidity of NYSE stock [J].Economic Staff Papers75-3, Securities and Exchange Commission,1975.
[23] Kyle. Continuous auctions and insider trading [J]. Econometrica,1985,53(6):1315-1365.
[24] Harris. Transaction data tests of the mixture of distributions hypothesis [J]. Journal ofFinancial Quantitative Analysis,1987,22(2):127-142.
[25] Chordia, Roll, Subrahmanyam. Commonality in liquidity [J]. Journal of Financial Economics,2000,56(1):3-28.
[26] Amihud. Illiquidity and stock returns: Cross-section and time series effects [J]. Journal ofFinancial Markets,2002,5(1):31-56.
[27] Houweling, Mentink, Vorst. Comparing possible proxies of corporate bond liquidity [J].Journal of Banking&Finance,2005,29(6):1331-1358.
[28] Mahanti, Nashikkar, Subrahmanyam, et al. Latent liquidity: A new measure of liquidity, withan application to corporate bonds [J]. Journal of Financial Economics,2008,88(2):272-298.
[29] Hasbrouck. Assessing the quality of a security market: A new approach to transaction costmeasurement [J]. The Review of Financial Studies,1993,6(6):191-212.
[30] Handa, Schwartz. Liquidity and execution costs in equity markets [J]. Journal of PortfolioManagement,1988,14(3):10-16.
[31] Glostern, Harris. Estimating the components of the bid-ask spread [J]. Journal of FinancialEconomics,1988,21(1):123-142.
[32] Engle, Lange. Predicting VENT: A model of the dynamics of market depth [J]. Journal ofFinancial Markets,2001,4(2):113-142.
[33] Pastor, Stambaugh. Liquidity risk and expected stock returns [J]. Journal of Political Economy,2003,111(3):642-685.
[34] Mike, Farmer. An empirical behavioral model of liquidity and volatility [J]. Journal ofEconomic Dynamics and Control,2008,32(1):200-234.
[35] Gromb, Vayanos. A model of financial market liquidity based on intermediary capital [J].Journal of the European Economic Association,2010,8(2):456-466.
[36]刘海龙,仲黎明,吴冲锋.股票流动性的度量方法[J].系统工程理论与实践,2003,(1):16-21.
[37]万树平,涂菶生.价量分布下的股票流动性深度的度量[J].系统工程,2004,22(10):40-46.
[38]谢赤,张太原,曾志坚.中国股票市场存在流动性溢价吗?——股票市场流动性对预期收益率影响的实证研究[J].管理世界,2007,(11):36-47.
[39]郑锴.度量股票流动性风险的一种新方法——基于Kyle四维理论的流动性风险指标体系的构建[J].当代经济,2008,(7):160-161.
[40]张金清,李徐.流动性风险与市场风险的集成度量方法研究[J].系统工程学报,2009,24(2):164-172.
[41]周芳,张维,周兵.基于鞅测度的流动性风险溢价的测算[J].数学的实践与认识,2011,41(1):38-46.
[42]朱小斌,江晓东.股票日内流动性度量及其风险调整——基于上海股票市场高频数据的实证研究[J].上海管理科学,2005,(3):21-24.
[43]曹迎春,刘善存,邱苑华.证券市场日内流动性的综合度量、特征与信息含量[J].系统工程,2007,25(3):1-9.
[44]刘衡郁.中国股市日内流动性效应分析——基于高频数据的流动性度量、特征及其影响因素[J].财会通讯(学术版),2008,(5):11-15.
[45]刘晓星.流动性调整地风险价值度量：基于金融高频数据的实证分析[J].系统工程理论与实践,2009,29(7):16-26.
[46]刘昊.金融市场流动性波动溢出效应的实证分析[J].南方金融,2011,(1):20-25.
[47]宋逢明,谭慧. VaR模型中流动性风险的度量[J].数量经济技术经济研究,2004,(6):114-123.
[48]蒋学雷,陈敏,王国明,等.股票市场的流动性度量的动态ACD模型[J].统计研究,2004,(4):42-44.
[49]补冯林,张卫国,何伟.基于超高频数据的股票流动性度量研究[J].统计与决策,2005,(2):24-26.
[50]张金清,梁勇.流动性风险度量：最优出清策略下的La_RVaR模型[J].统计与决策,2007,(13):40-42.
[51]韩国文,杨威.股票流动性风险测度模型的构建与实证分析[J].中国管理科学,2008,16(2):1-6.
[52]胡晖,王琰. La-VaR模型在股票市场流动性风险度量中的应用[J].商业时代,2009,(31):91-93
[53] Amihud, Mendelson. Asset pricing and the bid–ask spread [J]. Journal of FinancialEconomics,1986,17(2):223–249.
[54] Huang. Liquidity shocks and equilibrium liquidity premia [J]. Journal of Economic Theory,2003,109(1):104-129.
[55] O’Hara. Presidential address: Liquidity and price discovery [J]. The Journal of Finance,2003,58(4):1335-1354.
[56] Sadka. Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk[J]. Journal of Financial Economics,2006,80(2):309-349.
[57] Chuang, Lee. The impact of short-sales constraints on liquidity and the liquidity-returnrelations [J]. Pacific-Basin Finance Journal,2010,18(5):521-535.
[58] Brennan, Subrahmanyam. Market microstructure and asset pricing: On the compensation forilliquidity in stock return [J]. Journal of Financial Economics,1996,41(3):441-464.
[59] Brennan, Chordia, Subrahmanyam. Alternative factor specifications, security characteristics,and the cross-section of expected stock returns [J]. Journal of Financial Economics,1998,49(3):345-373.
[60] Datar, Naik, Radcliffe. Liquidity and stock returns: An alternative test [J]. Journal of FinancialMarkets,1998,1(2):203-219.
[61] Korajczyk, Sadka. Pricing the commonality across alternative measures of liquidity [J].Journal of Financial Economics,2007,87(1):45-72.
[62] W. Liu. A liquidity-augmented capital asset pricing model [J]. Journal of Financial Economics,2006,82(3):631-671.
[63] Bekaert, Harvey, Lundblad. Liquidity and expected returns: Lessons from emerging markets[J]. Review of Financial Studies,2007,20(6):1783-1831.
[64] Asparouhova, Bessembinder, Kalcheva. Liquidity biases in asset pricing tests [J]. Journal ofFinancial Economics,2010,96(2):215-237.
[65] Lam, Tam. Liquidity and asset pricing: Evidence from the Hong Kong stock market [J].Journal of Banking&Finance,2011,35(9):2217-2230.
[66] H. Lin, J. Wangh, C. Wu, et al. Are liquidity and information risks priced in the Treasury bondmarket?[J] The Journal of Finance,2009,64(1):467-503.
[67] Favero, Pagano, Thadden. How does liquidity affect government bond yields?[J] Journal ofFinancial and Quantitative Analysis,2010,45(1):107-134.
[68] Goyenko, Subrahmanyam, Ukhov. The term structure of bond market liquidity and itsimplications for expected bond returns [J]. Journal of Financial and Quantitative Analysis,2011,46(1):111-139.
[69] Longstaff, Mithal, Neis. Corporate yield spreads: Default risk or liquidity? New evidence fromthe credit default swap market [J]. The Journal of Finance,2005,60(5):2213-2253.
[70] Chen, Lesmond, Wei. Corporate yield spreads and bond liquidity [J]. The Journal of Finance,2007,62(1):119-149.
[71] H. Lin, J. Wangh, C. Wu. Liquidity risk and the cross-section of expected corporate bondreturns [J]. Journal of Financial Economics,2010,99(3):628-650.
[72] J. Bao, J. Pan, J. Wang. The illiquidity of corporate bonds [J]. The Journal of Finance,2011,66(3):911-946.
[73] Agrarwal, Fung, Loon, et al. Risk and return in convertible arbitrage: Evidence from theconvertible bond market [J]. Journal of Empirical Finance,2011,18(2):175-194.
[74]王春峰,韩冬,蒋样林.流动性与股票回报：基于上海股市的实证研究[J].经济管理,2002,(24):58-67.
[75]吴文锋,芮萌,陈工孟.中国股票收益的非流动性补偿[J].世界经济,2003,(7)：54-60.
[76]李一红,吴世农.中国股市流动性溢价的实证研究[J].管理评论,2003,15(11):34-42.
[77]梁丽珍,孔东明.中国股市的流动性指标定价研究[J].管理科学,2008,21(3):85-93.
[78]苏冬蔚,麦元勋.流动性与资产定价：基于我国股市资产换手率与预期收益的实证研究[J].经济研究,2004,(2):95-105.
[79]丁晖,谢赤.外汇市场微观结构理论中的订单流与价差研究[J].求索,2008,(1):27-29.
[80]邹小芃,黄峰,杨朝军.流动性风险、投资者流动性需求与资产定价[J].管理科学学报,2009,12(6):139-149.
[81]王元月,梁翠翠.基于变参数模型的流动性与上证综指收益率关系研究[J].中国管理科学,2010,18(2):25-31.
[82]张雪莹.国债风险溢价预测模型在债券投资中的应用[J].证券市场导报,2008,(2):16-21.
[83]朱世武,许凯.银行间债券市场流动性研究[J].统计研究,2004,(11):41-46.
[84]董乐.银行间债券市场流动性溢价问题研究[J].运筹与管理,2007,16(4):79-88.
[85]张蕊，王春峰，房振明,等.中国银行间债券市场流动性风险影响因素及其关联性[J].系统工程,2010,28(3):1-7.
[86]谭地军,田益祥,黄文光.中国企业债券的流动性及其定价[J].中国金融评论,2007,1(4):43-66.
[87]谭地军,田益祥,黄文光.中国企业债券特征与风险补偿[J].数量经济技术经济研究,2008,(2):74-87.
[88]闵晓平,严武,桂荷发,等.公司债券流动性溢价研究进展[J].经济学动态,2009,(6):103-108.
[89]李杰群,齐新宇,赵庆,等.我国公司债券信用溢价的实证研究[J].上海财经大学学报,2010,12(5):57-64.
[90]谭地军.债券市场流动性：资产定价与流动性转移行为[D].成都:电子科技大学,2010,20-82.
[91] Campbell, Ammer. What moves the stock and bond markets? A variance-decomposition forLong-Term asset returns [J]. The Journal of Finance,1993,48(1):3-37.
[92]郑振龙,陈志英.中国股票市场和债券市场收益率动态相关性分析[J].当代财经,2011,(2):45-53.
[93] Fleming, Kirby, Ostdiek. Information and volatility linkage in the stock, bond and moneymarkets [J]. Journal of Financial Economics,1998,49(1):111-137.
[94]张秀艳,张敏.可转换债券市场与股票市场的波动关系——基于二元GARCH模型的实证研究[J].吉林大学社会科学学报,2009,49(4):133-140.
[95]褚昊.可转换债券与股票市场波动关系研究[J].经济师,2009(11):85-88.
[96] Goyenko. Stock and bond pricing with liquidity risk [J]. Working paper, Indiana University,2006.
[97]曾志坚,罗长青.股票与债券市场流动性联动的实证研究[J].财经理论与实践,2008,(4):45-49.
[98]王茵田,文志瑛.股票市场和债券市场的流动性溢出效应研究[J].金融研究,2010,(3):155-166.
[99] Hasbrouck, Seppi. Common factors in prices, order flows, and liquidity [J]. Journal ofFinancial Economics,2001,59(3):384-411.
[100] Chordia, Roll, Subrahmanyam. Order imbalance, liquidity and market returns [J]. Journal ofFinancial Economics,2002,65(1):111-130.
[101] Harford, Kaul. Correlated order flow: Pervasiveness, sources, and pricing effects [J]. Journalof Financial and Quantitative Analysis,2005,40(1):29–55.
[102] Bailey, J. Cai, Chueng, et al. Stock returns, order imbalances, and commonality: Evidence onindividual institutional and proprietary investors in China [J]. Journal of Banking&Finance,2009,33(1):9-19.
[103] Brandt, Kavajecz. Price discovery in the US Treasury market: The impact of orderflow andliquidity on the yield curve [J]. Journal of Finance,2004,59(6):2623-2654.
[104] Pasquariello, Vega. Informed and strategic order flow in the bond markets [J]. Review ofFinancial Studies,2007,20(6):1975-2019.
[105] Evans, Lyons. Infromational integration and FX trading [J]. Journal of International Moneyand Finance,2002,21(6):807-831.
[106] Breedon, Vitale. An empirical study of portfolio-balance and information effects of orderflow on exchange rates [J]. Journal of International Money and Finance,2010,29(3):504-524.
[107] Rime, Sarno, Sojli. Exchange rate forecasting, order flow and macroeconomic information[J]. Journal of International Economics,2010,80(1):72-88.
[108] Griffiths, Smith, Turnbull, et al. The cost and determinants of order aggressiveness [J].Journal of Financial Economics,2000,56(1):65-88.
[109] Guohua Mu, Weixing Zhou, Wei Chen, J. Kertesz. Order flow dynamics around extremeprice changes on an emerging stock market [J]. New Journal of Physics,2010,12(3):102-126.
[110] Berger, Chaboud, Chernenko. Order flow and exchange rate dynamics in electronicbrokerage system data [J]. Journal of International Economics,2008,75(1):93-109.
[111] Bacchetta, Wincoop. Incomplete information processing: A solution to the forward discountpuzzle [J]. CEPR discussion papers,2006.
[112] Breedon, Vitale. An empirical study of portfolio-balance and information effects of orderflow on exchange rates [J]. Journal of International Money and Finance,2010,29(3):504-524.
[113] Rime, Sarno, Sojli. Exchange rate forecasting, order flow and macroeconomic information[J]. Journal of International Economics,2010,80(1):72-88.
[114]姜波克,伍戈,唐建伟.外汇市场的微观结构理论综述[J].国际金融研究,2002,(7):19-24.
[115]丁剑平,曾芳琴.“指令流”的再“分解”研究——外汇市场微观结构理论的新发展[J].国际金融研究,2005,(11):48-54.
[116]许罕多.汇率理论中的定单流研究[J].工业技术经济,2006,25(4):119-121.
[117]陈浪南,林伟斌,欧阳永卫.人民币汇率决定的市场微观结构分析[J].经济学(季刊),2007,7(1):255-282.
[118]郑重.指令流：外汇市场研究的重要变量[J].海南金融,2007,(11):40-43.
[119]靳飞,田益祥,谭地军.股票之间的风险传染和投资转移[J].系统工程,2009,27(7):14-21.
[120]王雅杰,陈立国,曹道胜.外汇市场的定单流决定和影响汇率的理论与实证分析[J].财务与金融,2009,(2):14-23.
[121] Lyons. The microstructure approach to exchange rate [M]. London: MIT Press, Cambridge,2001,16-30.
[122] Evans, Lyons. Exchange rate fundamentals and order flow [J]. Working Paper, GeorgetownUniversity,2007.
[123] Subrahmanyam. Liquidity, return and order flow linkages between REITs and the stockmarket [J]. Real Estate Economics,2007,35(3):383-408.
[124] Thorbecke. On stock market returns and monetary policy [J]. Journal of Finance,1997,52(2):635-654.
[125] Miyao. The role of monetary policy in Japan: A break in the1990s [J]. Journal of theJapanese and International Economies,2000,14(4):366-384.
[126] Gilchris, Leahy. Monetary policy and asset prices [J]. Journal of Monetary Economics,2002,49(1):75-97.
[127] Bomfim. Pre-announcement effects, news effects, and volatility: Monetary policy and thestock market [J]. Journal of Banking&Finance,2003,34(4):834-839.
[128] Ehrmann. Taking stock: Monetary policy transmission to equity markets [J]. Journal ofMoney, Credit&Banking,2004,36(4):719-737.
[129] Ehrmann, Fratzscher. Taking stock: monetary policy transmission to equity markets [J].Journal of Money, Credit and Banking,2004,36(4):719-737.
[130] Bernanke, Kuttner. What explains the stock market's reaction to Federal Reserve policy?[J]The Journal of Finance,2005,60(3):1221-1257.
[131] Campbell, Ammer. What moves the stock and bond markets? A variance decomposition forlong-term asset returns [J]. Journal of Finance,1993,48(1):3-37.
[132] Henry. Regime switching in the relationship between equity returns and short-term interestrates in the UK [J]. Journal of Banking&Finance,2009,32(2):405-414.
[133] Bj rnland, Leitemo. Identifying the interdependence between US monetary policy and thestock market [J]. Journal of Monetary Economics,2009, Journal of Monetary Economics,2009,56(2):275-282.
[134] Jansen, Tsai. Monetary policy and stock returns: Financing constraints and asymmetries inbull and bear markets [J]. Journal of Empirical Finance,2010,17(5):981-990.
[135] Kurov. Investor sentiment and the stock market's reaction to monetary policy [J]. Journal ofBanking&Finance,2010,34(1):139-149.
[136] Chetveryk. Asymmetric effects of monetary policy transmission to stock markets [J].Working paper, Central European University,2010.
[137]沈小炜.充分发挥股市在货币政策传导中的作用[J].宏观经济管理,2007,(7):48-49.
[138]倪黉.浅析中国货币政策的股市传导机制[J].时代金融,2008,(3):4-6.
[139]张蕙显.我国股市传导货币政策的效果分析[J].华东经济管理,2009,23(11):73-76.
[140]周运兰,阮梦琦.我国股票市场“政策市”现象剖析[J].财会月刊,2011,(4):21-23.
[141]封婷.我国货币政策对股票市场的影响分析[J].财会通讯,2011,(5):62-63.
[142]孙华妤,马跃.中国货币政策与股票市场的关系[J].经济研究,2003,(7):44-53.
[143]陈平,张宗成.股票市场对货币政策传导机制影响的实证研究[J].南方金融,2008,(6):13-15.
[144]李苗,毛加强,杜思霖.货币政策变动对股市行业冲击的信息传导分析[J].统计与决策,2009,(5):123-125.
[145]易传和,刘波.基于误差修正模型的股市逆向干预政策时效分析[J].系统工程,2009,27(6):38-41.
[146]郑鸣,倪玉娟.货币政策和股票收益率的动态相关性研究——基于DCC-MGARCH和MS-VAR的实证分析[J].厦门大学学报(哲学社会科学版),2011,(2):34-41.
[147]肖耿,李金迎,刘睿.实际利率与股票价格：实证分析与探讨[J].金融理论与实践,2009,(7):15-18.
[148]王辉亮,袁雯.短期利率与股票价格相关性的实证研究[J].经营管理者,2010,(24):422-423.
[149]叶德磊,陈欣.利率水平、股票指数与资本的国际流动——理论模型与实证检验[J].世界经济研究,2011,(4):20-23.
[150]孙巍.中国货币政策传导的股市渠道——基于宏微观视角的实证分析[J].上海金融,2010,(5):43-48.
[151]寇明婷,卢新生.货币政策调整的股票价格瞬时效应[J].山西财经大学学报,2011,33(1):40-48.
[152] Dai, Qiang, Singleton. Expectations puzzles, time-varying risk premia and affine models ofthe term structure [J]. Journal of Financial Economics,2002,63(3):415-441.
[153] Duffee. Term premia and interest rate forecasts in affine models [J]. The Journal of Finance,2002,57(1):405-443.
[154] Kuttner. Monetary surprises and interest rates: evidence from the Fed funds futures market[J]. Journal of Monetary Economics,2001,47(3):523-544.
[155] Haldane. American Philosophy:‘Scotch’ or ‘Teutonic’?[J] Philosophy,2002,77(3):311-329.
[156] Palomino. Bond risk premiums and optimal monetary policy [J]. Review of EconomicDynamics,2010,15(1):19-40.
[157] Hsu. Implications of fiscal policy risk on time-varying bond risk premia in a DSGE model[J]. Working paper, University of Michigan,2011.
[158] Andersson, Hansen, Sebestyen. Which news moves the euro area bond market?[J] GermanEconomic Review,2009,10(1):1-31.
[159] Bredin, Hyde, Reilly. Monetary policy surprises and international bond markets [J]. Journalof International Money and Finance,2010,29(6):988-1002.
[160] Engsted, Tanggaard. The Danish stock and bond markets: Comovement, return predictabilityand variance decomposition [J]. Journal of Empirical Finance,2001,8(3):243-271.
[161] Barr, Pesaran. An assessment of the relative importance of real interest rates, inflation andterm premia in determining the prices of real and nominal UK bonds [J]. Review ofEconomics and Statistics,1997,79(3):362-366.
[162]纪志宏.货币政策与国债收益率曲线[J].中国社会科学院研究生院学报,2003,(3):42-46.
[163]管圣义.货币政策对债券市场的影响[J].银行家,2005,(4):35-37.
[164]沈凡.货币政策影响下的银行间债券市场走势分析[J].经济师,2006,(4):231-232.
[165]邓洪.我国货币政策调整对债券市场及其参与者的影响分析[J].金融论坛,2006,(2):55-59.
[166]白静.债券市场、商业银行行为与货币政策传导[J].西南金融,2007,(8):54-55.
[167]安国俊,刘劲松,刘晓萍.近期货币政策对债券市场的影响及对策[J].中国货币市场,2007,(3):26-29.
[168]蒋柱斌.我国债券市场货币政策传导效应实证分析[J].经济论坛,2006,(14):44-47.
[169]郭涛,宋德勇.中国利率期限结构的货币政策含义[J].经济研究,2008,(3):39-47.
[170]沈根祥.货币政策对利率期限结构的影响——基于动态Nelson-Siegel模型的实证分析[J].当代财经,2011,(3):59-66.
[171] Hammed, Kang, Viswanathan. Stock market declines and liquidity [J]. Journal of Finance,2010,65(1):257-293.
[172] Neas, Skjeltorp, Degaard. Stock market liquidity and the business cycle [J]. Journal ofFinance,2011,66(1):139-176.
[173]罗明华.定单流、流动性与股票市场的投资转移[J].管理评论,2011,23(7):131-137.
[174] Vayanos. Flight to quality, flight to liquidity, and the pricing of risk [J]. NBER workingpaper10327,2004.
[175] Guler, Ozlale. Is there a flight to quality due to inflation uncertainty?[J] Physica A:Statistical Mechanics and its Applications,2005,245(3):603-607.
[176] Baur, D, Lucey, B. Flights and contagion-An empirical analysis of stock-bond correlations[J]. Journal of Financial Stability,2009,5(4):339-352.
[177] Dungey, McKenzie, Tambakis. Flight-to-quality and asymmetric volatility responses in USTreasuries [J]. Global Finance Journal,2009,19(3):49-59.
[178]谭地军,田益祥,黄文光.流动性补偿、市场内及跨市场“流动性转移”行为[J].金融研究,2008,(9):23-43.
[179]肖悼,郭彦峰.黄金现货价格和黄金矿业股价格的动态关联性[J].系统工程,2009,27(3):29-35.
[180]袁晨,傅强.我国金融市场间投资转移和市场传染的阶段时变特征——股票与债券、黄金间关联性的实证分析[J].系统工程,2010,28(5):1-7.
[181]漆泉.我国房地产市场的跨市场投资转移研究[D].成都:电子科技大学,2011:37-49.
[182] Engle, Ito, Lin. Meteor showers or heat waves? Heteroskedastics intra-daily volatility in theforeign exchange market [J]. Econometrica,1990,58(3),525-542.
[183] Bekaert, Hodrick. Characterising predictable components in excess returns on equity andforeign exchange markets [J]. Journal of Finance,1992,47(2),467-509.
[184] Forbes, Rigobon. No contagion, only interdependence, measuring stock marketcovmovements [J]. Journal of Finance,2002,57(5):2223-2261.
[185] Chan-Lau, Mathieson, Yao. Extreme contagion in equity markets [J]. IMF Staff Paper,2004,51(2):386-408.
[186] Jorion, Zhang. Good and bad credit contagion: Evidence from Credit Default Swaps [J].Journal of Financial Economics,2007,84(3):860-883.
[187] Li, Jeon, Cho, et al. The impact of sovereign rating changes and financial contagion on stockmarket returns: Evidence from five Asian countries [J]. Global Finance Journal,2008,19(1):46-55.
[188] Kenourgios, Samitas, Paltalidis. Financial crises and stock market contagion in amultivariate time-varying asymmetric framework [J]. Journal of International FinancialMarket, Institutions and Money,2011,21(1):92-105.
[189]王芙蓉,吴奉刚.国内外黄金市场风险传染的实证研究[J].上海金融学院学报,2008,(4):11-16.
[190]孙彬,杨朝军,于静.基于Copula函数的国际证券市场传染效应实证分析[J].上海交通大学学报,2009,(4):544-549.
[191]刘平，杜晓蓉.对金融危机风险传染效应的比较研究——基于静态与动态copula函数的分析[J].经济经纬,2011,(3):132-136.
[192]王永巧,刘诗文.基于时变Copula的金融开放与风险传染[J].系统工程理论与实践,2011,31(4):778-784.
[193]马君潞,范小云,曹元涛.中国银行间市场双边传染的风险估测及其系统性特征分析[J].经济研究,2007,(1):68-78.
[194]郭晨,宋清华.宏观经济变量冲击与我国银行间市场风险传染[J].湖北经济学院学报,2010,8(3):36-44.
[195] Baig, Goldfajn. Financail market contagion in the Asian crisis [J]. IMF Staff Paper,1999,46(2):167-195.
[196] Kodres, Pritsker. A rational expectations model of financial contagion [J]. Journal of Finance,2002,57(2):769-799.
[197] Khalid, Kawai. Was financial market contagion the source of economic crisis in Asia?Evidence using a multivariate VAR model [J]. Journal of Asian Economics,2003,14(1):131-156.
[198] Theocharides. Contagion: Evidence from the Bond Market [J]. Working Paper, CyprusInternational Institute of Management,2007.
[199] Lonstaff. The subprime credit crisis and contagion in financial markets [J]. Journal ofFinancial Economics,2010,97(3):436-450.
[200]郑庆寰,林莉.跨市场金融风险的传递与监管[J].南方金融,2006,(8):31-34.
[201]丁浩,许长新.我国现阶段跨市场金融风险的传递载体刍议[J].上海金融,2008,(3):52-56.
[202]郑庆寰.跨市场金融风险的传递机制研究——基于美国次级货款危机的分析[J].南方金融,2008,(3):5-9.
[203]王宝,肖庆宪.我国金融市场间风险传染特征的实证检验[J].统计与决策,2008,(11):78-79.
[204]何宜庆,万媛媛,何典芝.次贷危机下我国资本市场与银行体系跨市场风险传染实证研究[J].南昌大学学报(理科版),2009,33(6):551-556.
[205]肖利平.中国债券市场与股票市场间波动溢出效应——基于SJC-Copula模型的分析[J].证券市场导报,2011,(9):57-59.
[206] Evans. FX trading and exchange rate dynamics [J]. Journal of Finance,2002,57(6):2405-2447.
[207] Green. Economic news and the impact of trading on bond prices [J]. Journal of Finance,2004,59(3):1201-1234.
[208] Chordia, Huh, Subrahmanyam. The cross-section of expected trading activities [J]. TheReview of Financial Studies,2007,20(3):809–740.
[209] Haitao Li, Junbo Wang, Chuncai Wu, et al. Are liquidity and information risks priced in theTreasury bond market?[J] Journal of Finance,2009,64(1):467-503.
[210] Chordia, Swaminathan. Trading volume and cross-autocorrelations in stock returns [J]. TheJournal of Finance,2000,55(2):913-935.
[211] Huang, Stoll. Dealer versus auction markets: A paired comparison of execution costs onNASDAQ and the NYSE [J]. Journal of Financial Economics,1996,41(3):313-375.
[212] Bessembinder, Kaufman. A comparison of trade execution costs for NYSE and NASDAQlisted stocks [J]. Journal of Financial and Quantitative Analysis,1997,32(3):287-310.
[213] Lee, Ready. Inferring trade direction from intraday data [J]. Journal of Finance,1991,46(2):733-746.
[214] Lee, Radhakrishna. Inferring investor behavior: Evidence from TORQ data [J]. Journal ofFinancial Markets,2000,3(2):83-111.
[215] Connolly, Stivers, Sun. Stock Market Uncertainty and the Stock-bond Return Relation [J].Journal of Financial and Quantitative Analysis,2005,40(1):161-94.
[216] Connolly. Stivers, Sun. Commonality in the time-variation of stock-stock and stock-bondreturn comovements [J]. Journal of Financial Markets,2007,10(2):192-218.
[217] Fan, Zhang. Beyond segmentation: The case of China’s repo markets [J]. Journal of Banking&Finance,2007,31(3):939-54.
[218] Xiaoming Li, Liping Zou. How do policy and information shocks impact co-movements ofchina's T-bond and stock markets [J]. Journal of Banking&Finance,2007,32(3):347-359.
[219] Chen. Does monetary policy have asymmetric effects on stock returns?[J] Journal of Money,Credit and Banking,2007,39(2):667-688.
[220] Bordo, Dueker, Wheelock. Inflation, monetary policy and stock market conditions [J].NBER Working Paper, National Bureau of Economic Research,2008.
[221] Gregoriou, Kontonikas, MacDonald, et al. Monetary policy shocks and stock returns:Evidence from the British market [J]. Financial markets and portfolio management,2009,23(4):401-410.
[222]崔畅.货币政策工具对资产价格动态冲击的识别检验[J].财经研究,2007,33(7):31-39.
[223]李星,陈乐一.货币政策变动对股票市场波动的影响研究[J].求索,2009,(2):33-35.
[224]周晖.货币政策、股票资产价格与经济增长[J].金融研究,2010,(2):91-101.
[225] Cover. Asymmetric effects of positive and negative money-supply shocks [J]. QuarterlyJournal of Economics,1992,107(4):1621-1282.
[226]陈建斌.政策方向、经济周期与货币政策效力非对称性[J].管理世界,2006,(9):6-12.
[227] Hamilton. A new approach to the economic analysis of nonstationary time series and thebusiness cycle [J]. Econometrica,1989,57(2):351-384.
[228] Hansen. The likelihood ratio test under nonstandard conditions: Testing the MarkovSwitching model of GNP [J]. Journal of Applied Econometrics,1992,11(1):195-198.
[229] Kim, Nelson. Has the U.S. economy become more stable? A Bayesian approach based on aMarkov-Switching model of the business cycle [J]. Review of Economics and Statistics,1999,81(4):608-616.
[230] Bae. Interest rate changes and common stock returns of financial institutions: Revisited [J].Journal of Financial Research,1990,13(1):71-79.
[231] Thorbecke, Alami. The effect of changes in the federal funds rate target on stock prices inthe1970s [J]. Journal of Economics and Business,1994,46(1):13-19.
[232] Dinenis, Staikouras. Interest rate changes and common stock returns of financial institutions:evidence from the UK [J]. The European Journal of Finance,1998,4(2):113-127.
[233] Veronesi. Stock market overreaction to bad news in good times: A rational expectationsequilibrium model [J]. Review of Financial Studies,1999,12(5):975-1007.
[234] Bomfim. Pre-announcement effects, news effects, and volatility: Monetary policy and thestock market [J]. Journal of Banking&Finance,2003,27(1):133-151.
[235] Guo. Stock prices, firm size, and changes in the federal funds rate target [J]. The QuarterlyReview of Economics and Finance,2004,44(4):487-507.
[236] Chuliá, Martens, Dijk. The effects of federal funds target rate changes on S&P100stockreturns, volatilities and correlations [J]. Journal of Banking&Finance,2010,34(4):834-839.
[237] H.Y. Yin, J.W. Yang. Bank characteristics and stock reactions to federal funds rate targetchanges [J]. Indiana University South Bend Indiana University South Bend, Working Paper,2011.
[238] Barr, Campbell. Inflation, real interest rates, and the bond market: A study of UK nominaland index-linked government bond prices [J]. Journal of Monetary Economics,1997,39(3):361-383.
[239] Jones, Lamont, Lumsdaine. Macroeconomic news and bond market volatility [J]. Journal ofFinancial Economics,1998,47(3):315-337.
[240] Balduzzi, Elton, Green. Economic news and bond prices: Evidence from the U.S. treasurymarket [J]. Journal of Financial and Quantitative Analysis,2001,36(4):523-543.
[241] Sarno, Thornton. The dynamic relationship between the federal funds rate and the Treasurybill rate: An empirical investigation [J]. Journal of Banking&Finance,2003,27(6):1079-1110.
[242] Baker, Greenwood, Wurgler. The maturity of debt issues and predictable variation in bondreturns [J]. Journal of Financial Economics,2003,70(2):261-291.
[243] Viceira. Bond risk, bond return volatility, and the term structure of interest rates [J]. HBSFinance Working Paper No.07-082,2007.
[244]张绍斌,齐中英.中国利率水平与股价指数关系的理论分析和实证研究[J].数量经济技术经济研究,2003,(10):95-98.
[245]路迹,陈建国.人民币利率走势及对证券市场的影响分析[J].管理世界,2004,(9):139-140.
[246]郭金龙,李文军.我国股票市场发展与货币政策互动关系的实证分析[J].数量经济技术经济研究,2004,(6):18-27.
[247]董研,张可,潘垚垚.存贷款利率水平提高对国债收益率曲线变动影响的分析[J].华东经济管理,2005,19(9):131-136.
[248]李明扬,唐建伟.我国利率变动对股票价格影响效应的实证分析[J].经济经纬,2007,(4):136-139.
[249]陈其安,张媛,刘星.宏观经济环境、政府调控政策与股票市场波动性——来自中国股票市场的经验证据[J].经济学家,2010,(2):90-98.
[250]何志刚,王鹏.货币政策对股票和债券市场流动性影响的差异性研究[J].财贸研究,2011,(2):99-106.
[251] Engle, Granger. Co-integration and error correction: Representation, estimation, and testing[J]. Econometrica,1987,55(2):251-276.
[252] Jonhansen, Juselius. Maximum likelihood estimation and inferences on cointegration-withapplications to the demand for money [J]. Oxford Bulletin of Economics and Statistics,1990,52(2):169-210.
[253]杨朝军,姚业伟,沈思玮.投资者结构、行为与市场流动——基于中国证券市场的经验数据分析[J].系统管理学报,2009,18(4):361-372.
[254] Goyenko, Subrahmanyam, Ukhov. The term structure of bond market liquidity [J]. SSRNWorking Paper, McGill University,2008.
[255] Chordia, Sarkar, Subrahmanyam. Common determinants of bond and stock market liquidity:the impact of financial crises, monetary policy, and mutual fund flows [J]. Federal ReserveBank of New York Staff Reports (141),2001.
[256] Bansal, Connolly, Stivers. Flight-to-quality and liquidity-related variation in the correlationsand mean returns across stocks and T-Bonds [J]. Working Paper, Saint Louis University,2007.
[257] Hasbrouck. Trading costs and returns for US equities: The evidence from daily data [J].Working Paper, New York University,2006.
[258]梁丽珍,孔东明.中国股市的流动性指标定价研究[J].管理科学,2008,21(3):85-93。
[259] Fleming. Measuring Treasury market liquidity [J]. Federal Reserve Bank of New YorkEconomic Policy Review,2003,9(3):83-108.
[260]易纲,王召.货币政策与金融资产价格[J].经济研究,2002,(3):13-20.
[261]刘熀松.中国货币供应量与股市价格的实证研究[J].管理世界,2004,(2):131-138.
[262] Pesaran, Shin. Generalized impulse response analysis in linear multivariate models [J].Economic Letter,1998,58(1):17-29.
[263] Grubel, Fadner. The interdependence of international equity markets [J]. Journal of Finance,1971,26(1):89-94.
[264] King, Wadhwani. Transmission of volatility between stock markets [J]. Review of FinancialStudies,1990,3(1):5-33.
[265] Bae, Karolyi, Stulz. A new approach to measuring financial contagion [J]. Review ofFinancial Studies,2003,16(3):717-763.
[266]孙晶晶.金融危机的国际传染性研究[D].青岛:青岛大学,2007:15-43.
[267] Nelsen. An introduction to copulas (Second Edition)[M]. New York: Springer,2006,10-89.
[268] Patton. Copula-based models for financial time series [M]. New York: Springer,2008,34-134.
[269] Umberto, Elisa, Walter. Copula methods in finance [M]. NewYork: Wiley,2004,46-159.
[270] Brendan, Beare. Copulas and temporal dependence [J]. Econometrica,2010,78(1):395-410.
[271]肖璨,田益祥,朱冬.运用Copula方法对债市相关性的测度[J].统计与决策,2007,(9):91-94.
[2] Underwood. The cross-market information content of stock and bond order flow [J]. Journal ofFinancial Markets,2009,12(2):268-289.
[3]谭地军,田益祥.债券流动性与定单流的信息含量.中国金融评论,2009,3(1):1-17.
[4] Bernanke, Gertler, Gilchrist. The financial accelerator and the flight to quality [J]. The Reviewof Economics and Statistics,1996,78(1):1-15.
[5] Caballero, Krishnamurthy. Collective risk management in a flight to quality episode [J]. TheJournal of Finance,2008,63(5):2195-2230.
[6] Dungey, McKenzie, Tambakis. Flight-to-quality and asymmetric volatility responses in USTreasuries [J]. Global Finance Journal,2009,19(3):252-267.
[7] Amihud, Mendelson. Liquidity and the1987stock market crash [J]. The Journal of PortfolioManagement,1990,16(3):65-69.
[8] Longstaff F. The flight-to-liquidity premium in U.S. Treasury bond prices [J]. Journal ofBusiness,2004,77(3):511-526.
[9] Acharya, Pedersen. Asset pricing with liquidity risk [J]. Journal of Financial Economics,2005,77(2):375-410.
[10] Brunnermeier, Pedersen. Market liquidity and funding liquidity [J]. Review of FinancialStudies,2009,22(6):2201-2238.
[11] Goyenko, Sarkissian. Flight-to-liquidity and glbal equity returns [J]. Working paper, McGillUniversity,2010.
[12] Beber, Brandt, Kavajecz. Flight-to-quality or flight-to-liquidity? Evidence from the Euro-areabond market [J]. Review of Financial Studies,2009,22(3):925-957.
[13] Baig, Goldfajn. Financial market contagion in the Asian crisis [J]. IMF staff papers,1999,46(2):167-195.
[14] Rodriguez. Measuring financial contagion: A Copula approach [J]. Journal of EmpiricalFinance,2007,14(3):401-423.
[15] Longstaff. The subprime credit crisis and contagion in financial markets [J]. Journal ofFinancial Economics,2010,97(3):436-450.
[16] Eric Girardin, D. Tan, W. Wong. Information content of order flow and cross-market portfoliorebalancing [J]. Working paper, HKIMR,2010.
[17] Cover. Asymmetric effects of positive and negative money-supply shocks [J]. The QuarterlyJournal of Economics,1992,107(4):1621-1282.
[18]陈建斌.政策方向、经济周期与货币政策效力非对称性[J].管理世界,2006,(9):6-12.
[19] Chordia, Sarkar, Subrahmanyam. An empirical analysis of stock and bond market liquidity [J].Review of Financial Studies,2005,18(1):85-129.
[20] Goyenko, Ukhov. Stock and bond market liquidity: A long-run empirical analysis [J]. JournalFinancial and Quantitative Analysis,2009,44(1):189-212.
[21] Bagehot. The only game in town [J]. Financial Analysts Journal,1971,27(6):12-24.
[22] Martin. Analysis of the impact of competitive rates on the liquidity of NYSE stock [J].Economic Staff Papers75-3, Securities and Exchange Commission,1975.
[23] Kyle. Continuous auctions and insider trading [J]. Econometrica,1985,53(6):1315-1365.
[24] Harris. Transaction data tests of the mixture of distributions hypothesis [J]. Journal ofFinancial Quantitative Analysis,1987,22(2):127-142.
[25] Chordia, Roll, Subrahmanyam. Commonality in liquidity [J]. Journal of Financial Economics,2000,56(1):3-28.
[26] Amihud. Illiquidity and stock returns: Cross-section and time series effects [J]. Journal ofFinancial Markets,2002,5(1):31-56.
[27] Houweling, Mentink, Vorst. Comparing possible proxies of corporate bond liquidity [J].Journal of Banking&Finance,2005,29(6):1331-1358.
[28] Mahanti, Nashikkar, Subrahmanyam, et al. Latent liquidity: A new measure of liquidity, withan application to corporate bonds [J]. Journal of Financial Economics,2008,88(2):272-298.
[29] Hasbrouck. Assessing the quality of a security market: A new approach to transaction costmeasurement [J]. The Review of Financial Studies,1993,6(6):191-212.
[30] Handa, Schwartz. Liquidity and execution costs in equity markets [J]. Journal of PortfolioManagement,1988,14(3):10-16.
[31] Glostern, Harris. Estimating the components of the bid-ask spread [J]. Journal of FinancialEconomics,1988,21(1):123-142.
[32] Engle, Lange. Predicting VENT: A model of the dynamics of market depth [J]. Journal ofFinancial Markets,2001,4(2):113-142.
[33] Pastor, Stambaugh. Liquidity risk and expected stock returns [J]. Journal of Political Economy,2003,111(3):642-685.
[34] Mike, Farmer. An empirical behavioral model of liquidity and volatility [J]. Journal ofEconomic Dynamics and Control,2008,32(1):200-234.
[35] Gromb, Vayanos. A model of financial market liquidity based on intermediary capital [J].Journal of the European Economic Association,2010,8(2):456-466.
[36]刘海龙,仲黎明,吴冲锋.股票流动性的度量方法[J].系统工程理论与实践,2003,(1):16-21.
[37]万树平,涂菶生.价量分布下的股票流动性深度的度量[J].系统工程,2004,22(10):40-46.
[38]谢赤,张太原,曾志坚.中国股票市场存在流动性溢价吗?——股票市场流动性对预期收益率影响的实证研究[J].管理世界,2007,(11):36-47.
[39]郑锴.度量股票流动性风险的一种新方法——基于Kyle四维理论的流动性风险指标体系的构建[J].当代经济,2008,(7):160-161.
[40]张金清,李徐.流动性风险与市场风险的集成度量方法研究[J].系统工程学报,2009,24(2):164-172.
[41]周芳,张维,周兵.基于鞅测度的流动性风险溢价的测算[J].数学的实践与认识,2011,41(1):38-46.
[42]朱小斌,江晓东.股票日内流动性度量及其风险调整——基于上海股票市场高频数据的实证研究[J].上海管理科学,2005,(3):21-24.
[43]曹迎春,刘善存,邱苑华.证券市场日内流动性的综合度量、特征与信息含量[J].系统工程,2007,25(3):1-9.
[44]刘衡郁.中国股市日内流动性效应分析——基于高频数据的流动性度量、特征及其影响因素[J].财会通讯(学术版),2008,(5):11-15.
[45]刘晓星.流动性调整地风险价值度量：基于金融高频数据的实证分析[J].系统工程理论与实践,2009,29(7):16-26.
[46]刘昊.金融市场流动性波动溢出效应的实证分析[J].南方金融,2011,(1):20-25.
[47]宋逢明,谭慧. VaR模型中流动性风险的度量[J].数量经济技术经济研究,2004,(6):114-123.
[48]蒋学雷,陈敏,王国明,等.股票市场的流动性度量的动态ACD模型[J].统计研究,2004,(4):42-44.
[49]补冯林,张卫国,何伟.基于超高频数据的股票流动性度量研究[J].统计与决策,2005,(2):24-26.
[50]张金清,梁勇.流动性风险度量：最优出清策略下的La_RVaR模型[J].统计与决策,2007,(13):40-42.
[51]韩国文,杨威.股票流动性风险测度模型的构建与实证分析[J].中国管理科学,2008,16(2):1-6.
[52]胡晖,王琰. La-VaR模型在股票市场流动性风险度量中的应用[J].商业时代,2009,(31):91-93
[53] Amihud, Mendelson. Asset pricing and the bid–ask spread [J]. Journal of FinancialEconomics,1986,17(2):223–249.
[54] Huang. Liquidity shocks and equilibrium liquidity premia [J]. Journal of Economic Theory,2003,109(1):104-129.
[55] O’Hara. Presidential address: Liquidity and price discovery [J]. The Journal of Finance,2003,58(4):1335-1354.
[56] Sadka. Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk[J]. Journal of Financial Economics,2006,80(2):309-349.
[57] Chuang, Lee. The impact of short-sales constraints on liquidity and the liquidity-returnrelations [J]. Pacific-Basin Finance Journal,2010,18(5):521-535.
[58] Brennan, Subrahmanyam. Market microstructure and asset pricing: On the compensation forilliquidity in stock return [J]. Journal of Financial Economics,1996,41(3):441-464.
[59] Brennan, Chordia, Subrahmanyam. Alternative factor specifications, security characteristics,and the cross-section of expected stock returns [J]. Journal of Financial Economics,1998,49(3):345-373.
[60] Datar, Naik, Radcliffe. Liquidity and stock returns: An alternative test [J]. Journal of FinancialMarkets,1998,1(2):203-219.
[61] Korajczyk, Sadka. Pricing the commonality across alternative measures of liquidity [J].Journal of Financial Economics,2007,87(1):45-72.
[62] W. Liu. A liquidity-augmented capital asset pricing model [J]. Journal of Financial Economics,2006,82(3):631-671.
[63] Bekaert, Harvey, Lundblad. Liquidity and expected returns: Lessons from emerging markets[J]. Review of Financial Studies,2007,20(6):1783-1831.
[64] Asparouhova, Bessembinder, Kalcheva. Liquidity biases in asset pricing tests [J]. Journal ofFinancial Economics,2010,96(2):215-237.
[65] Lam, Tam. Liquidity and asset pricing: Evidence from the Hong Kong stock market [J].Journal of Banking&Finance,2011,35(9):2217-2230.
[66] H. Lin, J. Wangh, C. Wu, et al. Are liquidity and information risks priced in the Treasury bondmarket?[J] The Journal of Finance,2009,64(1):467-503.
[67] Favero, Pagano, Thadden. How does liquidity affect government bond yields?[J] Journal ofFinancial and Quantitative Analysis,2010,45(1):107-134.
[68] Goyenko, Subrahmanyam, Ukhov. The term structure of bond market liquidity and itsimplications for expected bond returns [J]. Journal of Financial and Quantitative Analysis,2011,46(1):111-139.
[69] Longstaff, Mithal, Neis. Corporate yield spreads: Default risk or liquidity? New evidence fromthe credit default swap market [J]. The Journal of Finance,2005,60(5):2213-2253.
[70] Chen, Lesmond, Wei. Corporate yield spreads and bond liquidity [J]. The Journal of Finance,2007,62(1):119-149.
[71] H. Lin, J. Wangh, C. Wu. Liquidity risk and the cross-section of expected corporate bondreturns [J]. Journal of Financial Economics,2010,99(3):628-650.
[72] J. Bao, J. Pan, J. Wang. The illiquidity of corporate bonds [J]. The Journal of Finance,2011,66(3):911-946.
[73] Agrarwal, Fung, Loon, et al. Risk and return in convertible arbitrage: Evidence from theconvertible bond market [J]. Journal of Empirical Finance,2011,18(2):175-194.
[74]王春峰,韩冬,蒋样林.流动性与股票回报：基于上海股市的实证研究[J].经济管理,2002,(24):58-67.
[75]吴文锋,芮萌,陈工孟.中国股票收益的非流动性补偿[J].世界经济,2003,(7)：54-60.
[76]李一红,吴世农.中国股市流动性溢价的实证研究[J].管理评论,2003,15(11):34-42.
[77]梁丽珍,孔东明.中国股市的流动性指标定价研究[J].管理科学,2008,21(3):85-93.
[78]苏冬蔚,麦元勋.流动性与资产定价：基于我国股市资产换手率与预期收益的实证研究[J].经济研究,2004,(2):95-105.
[79]丁晖,谢赤.外汇市场微观结构理论中的订单流与价差研究[J].求索,2008,(1):27-29.
[80]邹小芃,黄峰,杨朝军.流动性风险、投资者流动性需求与资产定价[J].管理科学学报,2009,12(6):139-149.
[81]王元月,梁翠翠.基于变参数模型的流动性与上证综指收益率关系研究[J].中国管理科学,2010,18(2):25-31.
[82]张雪莹.国债风险溢价预测模型在债券投资中的应用[J].证券市场导报,2008,(2):16-21.
[83]朱世武,许凯.银行间债券市场流动性研究[J].统计研究,2004,(11):41-46.
[84]董乐.银行间债券市场流动性溢价问题研究[J].运筹与管理,2007,16(4):79-88.
[85]张蕊，王春峰，房振明,等.中国银行间债券市场流动性风险影响因素及其关联性[J].系统工程,2010,28(3):1-7.
[86]谭地军,田益祥,黄文光.中国企业债券的流动性及其定价[J].中国金融评论,2007,1(4):43-66.
[87]谭地军,田益祥,黄文光.中国企业债券特征与风险补偿[J].数量经济技术经济研究,2008,(2):74-87.
[88]闵晓平,严武,桂荷发,等.公司债券流动性溢价研究进展[J].经济学动态,2009,(6):103-108.
[89]李杰群,齐新宇,赵庆,等.我国公司债券信用溢价的实证研究[J].上海财经大学学报,2010,12(5):57-64.
[90]谭地军.债券市场流动性：资产定价与流动性转移行为[D].成都:电子科技大学,2010,20-82.
[91] Campbell, Ammer. What moves the stock and bond markets? A variance-decomposition forLong-Term asset returns [J]. The Journal of Finance,1993,48(1):3-37.
[92]郑振龙,陈志英.中国股票市场和债券市场收益率动态相关性分析[J].当代财经,2011,(2):45-53.
[93] Fleming, Kirby, Ostdiek. Information and volatility linkage in the stock, bond and moneymarkets [J]. Journal of Financial Economics,1998,49(1):111-137.
[94]张秀艳,张敏.可转换债券市场与股票市场的波动关系——基于二元GARCH模型的实证研究[J].吉林大学社会科学学报,2009,49(4):133-140.
[95]褚昊.可转换债券与股票市场波动关系研究[J].经济师,2009(11):85-88.
[96] Goyenko. Stock and bond pricing with liquidity risk [J]. Working paper, Indiana University,2006.
[97]曾志坚,罗长青.股票与债券市场流动性联动的实证研究[J].财经理论与实践,2008,(4):45-49.
[98]王茵田,文志瑛.股票市场和债券市场的流动性溢出效应研究[J].金融研究,2010,(3):155-166.
[99] Hasbrouck, Seppi. Common factors in prices, order flows, and liquidity [J]. Journal ofFinancial Economics,2001,59(3):384-411.
[100] Chordia, Roll, Subrahmanyam. Order imbalance, liquidity and market returns [J]. Journal ofFinancial Economics,2002,65(1):111-130.
[101] Harford, Kaul. Correlated order flow: Pervasiveness, sources, and pricing effects [J]. Journalof Financial and Quantitative Analysis,2005,40(1):29–55.
[102] Bailey, J. Cai, Chueng, et al. Stock returns, order imbalances, and commonality: Evidence onindividual institutional and proprietary investors in China [J]. Journal of Banking&Finance,2009,33(1):9-19.
[103] Brandt, Kavajecz. Price discovery in the US Treasury market: The impact of orderflow andliquidity on the yield curve [J]. Journal of Finance,2004,59(6):2623-2654.
[104] Pasquariello, Vega. Informed and strategic order flow in the bond markets [J]. Review ofFinancial Studies,2007,20(6):1975-2019.
[105] Evans, Lyons. Infromational integration and FX trading [J]. Journal of International Moneyand Finance,2002,21(6):807-831.
[106] Breedon, Vitale. An empirical study of portfolio-balance and information effects of orderflow on exchange rates [J]. Journal of International Money and Finance,2010,29(3):504-524.
[107] Rime, Sarno, Sojli. Exchange rate forecasting, order flow and macroeconomic information[J]. Journal of International Economics,2010,80(1):72-88.
[108] Griffiths, Smith, Turnbull, et al. The cost and determinants of order aggressiveness [J].Journal of Financial Economics,2000,56(1):65-88.
[109] Guohua Mu, Weixing Zhou, Wei Chen, J. Kertesz. Order flow dynamics around extremeprice changes on an emerging stock market [J]. New Journal of Physics,2010,12(3):102-126.
[110] Berger, Chaboud, Chernenko. Order flow and exchange rate dynamics in electronicbrokerage system data [J]. Journal of International Economics,2008,75(1):93-109.
[111] Bacchetta, Wincoop. Incomplete information processing: A solution to the forward discountpuzzle [J]. CEPR discussion papers,2006.
[112] Breedon, Vitale. An empirical study of portfolio-balance and information effects of orderflow on exchange rates [J]. Journal of International Money and Finance,2010,29(3):504-524.
[113] Rime, Sarno, Sojli. Exchange rate forecasting, order flow and macroeconomic information[J]. Journal of International Economics,2010,80(1):72-88.
[114]姜波克,伍戈,唐建伟.外汇市场的微观结构理论综述[J].国际金融研究,2002,(7):19-24.
[115]丁剑平,曾芳琴.“指令流”的再“分解”研究——外汇市场微观结构理论的新发展[J].国际金融研究,2005,(11):48-54.
[116]许罕多.汇率理论中的定单流研究[J].工业技术经济,2006,25(4):119-121.
[117]陈浪南,林伟斌,欧阳永卫.人民币汇率决定的市场微观结构分析[J].经济学(季刊),2007,7(1):255-282.
[118]郑重.指令流：外汇市场研究的重要变量[J].海南金融,2007,(11):40-43.
[119]靳飞,田益祥,谭地军.股票之间的风险传染和投资转移[J].系统工程,2009,27(7):14-21.
[120]王雅杰,陈立国,曹道胜.外汇市场的定单流决定和影响汇率的理论与实证分析[J].财务与金融,2009,(2):14-23.
[121] Lyons. The microstructure approach to exchange rate [M]. London: MIT Press, Cambridge,2001,16-30.
[122] Evans, Lyons. Exchange rate fundamentals and order flow [J]. Working Paper, GeorgetownUniversity,2007.
[123] Subrahmanyam. Liquidity, return and order flow linkages between REITs and the stockmarket [J]. Real Estate Economics,2007,35(3):383-408.
[124] Thorbecke. On stock market returns and monetary policy [J]. Journal of Finance,1997,52(2):635-654.
[125] Miyao. The role of monetary policy in Japan: A break in the1990s [J]. Journal of theJapanese and International Economies,2000,14(4):366-384.
[126] Gilchris, Leahy. Monetary policy and asset prices [J]. Journal of Monetary Economics,2002,49(1):75-97.
[127] Bomfim. Pre-announcement effects, news effects, and volatility: Monetary policy and thestock market [J]. Journal of Banking&Finance,2003,34(4):834-839.
[128] Ehrmann. Taking stock: Monetary policy transmission to equity markets [J]. Journal ofMoney, Credit&Banking,2004,36(4):719-737.
[129] Ehrmann, Fratzscher. Taking stock: monetary policy transmission to equity markets [J].Journal of Money, Credit and Banking,2004,36(4):719-737.
[130] Bernanke, Kuttner. What explains the stock market's reaction to Federal Reserve policy?[J]The Journal of Finance,2005,60(3):1221-1257.
[131] Campbell, Ammer. What moves the stock and bond markets? A variance decomposition forlong-term asset returns [J]. Journal of Finance,1993,48(1):3-37.
[132] Henry. Regime switching in the relationship between equity returns and short-term interestrates in the UK [J]. Journal of Banking&Finance,2009,32(2):405-414.
[133] Bj rnland, Leitemo. Identifying the interdependence between US monetary policy and thestock market [J]. Journal of Monetary Economics,2009, Journal of Monetary Economics,2009,56(2):275-282.
[134] Jansen, Tsai. Monetary policy and stock returns: Financing constraints and asymmetries inbull and bear markets [J]. Journal of Empirical Finance,2010,17(5):981-990.
[135] Kurov. Investor sentiment and the stock market's reaction to monetary policy [J]. Journal ofBanking&Finance,2010,34(1):139-149.
[136] Chetveryk. Asymmetric effects of monetary policy transmission to stock markets [J].Working paper, Central European University,2010.
[137]沈小炜.充分发挥股市在货币政策传导中的作用[J].宏观经济管理,2007,(7):48-49.
[138]倪黉.浅析中国货币政策的股市传导机制[J].时代金融,2008,(3):4-6.
[139]张蕙显.我国股市传导货币政策的效果分析[J].华东经济管理,2009,23(11):73-76.
[140]周运兰,阮梦琦.我国股票市场“政策市”现象剖析[J].财会月刊,2011,(4):21-23.
[141]封婷.我国货币政策对股票市场的影响分析[J].财会通讯,2011,(5):62-63.
[142]孙华妤,马跃.中国货币政策与股票市场的关系[J].经济研究,2003,(7):44-53.
[143]陈平,张宗成.股票市场对货币政策传导机制影响的实证研究[J].南方金融,2008,(6):13-15.
[144]李苗,毛加强,杜思霖.货币政策变动对股市行业冲击的信息传导分析[J].统计与决策,2009,(5):123-125.
[145]易传和,刘波.基于误差修正模型的股市逆向干预政策时效分析[J].系统工程,2009,27(6):38-41.
[146]郑鸣,倪玉娟.货币政策和股票收益率的动态相关性研究——基于DCC-MGARCH和MS-VAR的实证分析[J].厦门大学学报(哲学社会科学版),2011,(2):34-41.
[147]肖耿,李金迎,刘睿.实际利率与股票价格：实证分析与探讨[J].金融理论与实践,2009,(7):15-18.
[148]王辉亮,袁雯.短期利率与股票价格相关性的实证研究[J].经营管理者,2010,(24):422-423.
[149]叶德磊,陈欣.利率水平、股票指数与资本的国际流动——理论模型与实证检验[J].世界经济研究,2011,(4):20-23.
[150]孙巍.中国货币政策传导的股市渠道——基于宏微观视角的实证分析[J].上海金融,2010,(5):43-48.
[151]寇明婷,卢新生.货币政策调整的股票价格瞬时效应[J].山西财经大学学报,2011,33(1):40-48.
[152] Dai, Qiang, Singleton. Expectations puzzles, time-varying risk premia and affine models ofthe term structure [J]. Journal of Financial Economics,2002,63(3):415-441.
[153] Duffee. Term premia and interest rate forecasts in affine models [J]. The Journal of Finance,2002,57(1):405-443.
[154] Kuttner. Monetary surprises and interest rates: evidence from the Fed funds futures market[J]. Journal of Monetary Economics,2001,47(3):523-544.
[155] Haldane. American Philosophy:‘Scotch’ or ‘Teutonic’?[J] Philosophy,2002,77(3):311-329.
[156] Palomino. Bond risk premiums and optimal monetary policy [J]. Review of EconomicDynamics,2010,15(1):19-40.
[157] Hsu. Implications of fiscal policy risk on time-varying bond risk premia in a DSGE model[J]. Working paper, University of Michigan,2011.
[158] Andersson, Hansen, Sebestyen. Which news moves the euro area bond market?[J] GermanEconomic Review,2009,10(1):1-31.
[159] Bredin, Hyde, Reilly. Monetary policy surprises and international bond markets [J]. Journalof International Money and Finance,2010,29(6):988-1002.
[160] Engsted, Tanggaard. The Danish stock and bond markets: Comovement, return predictabilityand variance decomposition [J]. Journal of Empirical Finance,2001,8(3):243-271.
[161] Barr, Pesaran. An assessment of the relative importance of real interest rates, inflation andterm premia in determining the prices of real and nominal UK bonds [J]. Review ofEconomics and Statistics,1997,79(3):362-366.
[162]纪志宏.货币政策与国债收益率曲线[J].中国社会科学院研究生院学报,2003,(3):42-46.
[163]管圣义.货币政策对债券市场的影响[J].银行家,2005,(4):35-37.
[164]沈凡.货币政策影响下的银行间债券市场走势分析[J].经济师,2006,(4):231-232.
[165]邓洪.我国货币政策调整对债券市场及其参与者的影响分析[J].金融论坛,2006,(2):55-59.
[166]白静.债券市场、商业银行行为与货币政策传导[J].西南金融,2007,(8):54-55.
[167]安国俊,刘劲松,刘晓萍.近期货币政策对债券市场的影响及对策[J].中国货币市场,2007,(3):26-29.
[168]蒋柱斌.我国债券市场货币政策传导效应实证分析[J].经济论坛,2006,(14):44-47.
[169]郭涛,宋德勇.中国利率期限结构的货币政策含义[J].经济研究,2008,(3):39-47.
[170]沈根祥.货币政策对利率期限结构的影响——基于动态Nelson-Siegel模型的实证分析[J].当代财经,2011,(3):59-66.
[171] Hammed, Kang, Viswanathan. Stock market declines and liquidity [J]. Journal of Finance,2010,65(1):257-293.
[172] Neas, Skjeltorp, Degaard. Stock market liquidity and the business cycle [J]. Journal ofFinance,2011,66(1):139-176.
[173]罗明华.定单流、流动性与股票市场的投资转移[J].管理评论,2011,23(7):131-137.
[174] Vayanos. Flight to quality, flight to liquidity, and the pricing of risk [J]. NBER workingpaper10327,2004.
[175] Guler, Ozlale. Is there a flight to quality due to inflation uncertainty?[J] Physica A:Statistical Mechanics and its Applications,2005,245(3):603-607.
[176] Baur, D, Lucey, B. Flights and contagion-An empirical analysis of stock-bond correlations[J]. Journal of Financial Stability,2009,5(4):339-352.
[177] Dungey, McKenzie, Tambakis. Flight-to-quality and asymmetric volatility responses in USTreasuries [J]. Global Finance Journal,2009,19(3):49-59.
[178]谭地军,田益祥,黄文光.流动性补偿、市场内及跨市场“流动性转移”行为[J].金融研究,2008,(9):23-43.
[179]肖悼,郭彦峰.黄金现货价格和黄金矿业股价格的动态关联性[J].系统工程,2009,27(3):29-35.
[180]袁晨,傅强.我国金融市场间投资转移和市场传染的阶段时变特征——股票与债券、黄金间关联性的实证分析[J].系统工程,2010,28(5):1-7.
[181]漆泉.我国房地产市场的跨市场投资转移研究[D].成都:电子科技大学,2011:37-49.
[182] Engle, Ito, Lin. Meteor showers or heat waves? Heteroskedastics intra-daily volatility in theforeign exchange market [J]. Econometrica,1990,58(3),525-542.
[183] Bekaert, Hodrick. Characterising predictable components in excess returns on equity andforeign exchange markets [J]. Journal of Finance,1992,47(2),467-509.
[184] Forbes, Rigobon. No contagion, only interdependence, measuring stock marketcovmovements [J]. Journal of Finance,2002,57(5):2223-2261.
[185] Chan-Lau, Mathieson, Yao. Extreme contagion in equity markets [J]. IMF Staff Paper,2004,51(2):386-408.
[186] Jorion, Zhang. Good and bad credit contagion: Evidence from Credit Default Swaps [J].Journal of Financial Economics,2007,84(3):860-883.
[187] Li, Jeon, Cho, et al. The impact of sovereign rating changes and financial contagion on stockmarket returns: Evidence from five Asian countries [J]. Global Finance Journal,2008,19(1):46-55.
[188] Kenourgios, Samitas, Paltalidis. Financial crises and stock market contagion in amultivariate time-varying asymmetric framework [J]. Journal of International FinancialMarket, Institutions and Money,2011,21(1):92-105.
[189]王芙蓉,吴奉刚.国内外黄金市场风险传染的实证研究[J].上海金融学院学报,2008,(4):11-16.
[190]孙彬,杨朝军,于静.基于Copula函数的国际证券市场传染效应实证分析[J].上海交通大学学报,2009,(4):544-549.
[191]刘平，杜晓蓉.对金融危机风险传染效应的比较研究——基于静态与动态copula函数的分析[J].经济经纬,2011,(3):132-136.
[192]王永巧,刘诗文.基于时变Copula的金融开放与风险传染[J].系统工程理论与实践,2011,31(4):778-784.
[193]马君潞,范小云,曹元涛.中国银行间市场双边传染的风险估测及其系统性特征分析[J].经济研究,2007,(1):68-78.
[194]郭晨,宋清华.宏观经济变量冲击与我国银行间市场风险传染[J].湖北经济学院学报,2010,8(3):36-44.
[195] Baig, Goldfajn. Financail market contagion in the Asian crisis [J]. IMF Staff Paper,1999,46(2):167-195.
[196] Kodres, Pritsker. A rational expectations model of financial contagion [J]. Journal of Finance,2002,57(2):769-799.
[197] Khalid, Kawai. Was financial market contagion the source of economic crisis in Asia?Evidence using a multivariate VAR model [J]. Journal of Asian Economics,2003,14(1):131-156.
[198] Theocharides. Contagion: Evidence from the Bond Market [J]. Working Paper, CyprusInternational Institute of Management,2007.
[199] Lonstaff. The subprime credit crisis and contagion in financial markets [J]. Journal ofFinancial Economics,2010,97(3):436-450.
[200]郑庆寰,林莉.跨市场金融风险的传递与监管[J].南方金融,2006,(8):31-34.
[201]丁浩,许长新.我国现阶段跨市场金融风险的传递载体刍议[J].上海金融,2008,(3):52-56.
[202]郑庆寰.跨市场金融风险的传递机制研究——基于美国次级货款危机的分析[J].南方金融,2008,(3):5-9.
[203]王宝,肖庆宪.我国金融市场间风险传染特征的实证检验[J].统计与决策,2008,(11):78-79.
[204]何宜庆,万媛媛,何典芝.次贷危机下我国资本市场与银行体系跨市场风险传染实证研究[J].南昌大学学报(理科版),2009,33(6):551-556.
[205]肖利平.中国债券市场与股票市场间波动溢出效应——基于SJC-Copula模型的分析[J].证券市场导报,2011,(9):57-59.
[206] Evans. FX trading and exchange rate dynamics [J]. Journal of Finance,2002,57(6):2405-2447.
[207] Green. Economic news and the impact of trading on bond prices [J]. Journal of Finance,2004,59(3):1201-1234.
[208] Chordia, Huh, Subrahmanyam. The cross-section of expected trading activities [J]. TheReview of Financial Studies,2007,20(3):809–740.
[209] Haitao Li, Junbo Wang, Chuncai Wu, et al. Are liquidity and information risks priced in theTreasury bond market?[J] Journal of Finance,2009,64(1):467-503.
[210] Chordia, Swaminathan. Trading volume and cross-autocorrelations in stock returns [J]. TheJournal of Finance,2000,55(2):913-935.
[211] Huang, Stoll. Dealer versus auction markets: A paired comparison of execution costs onNASDAQ and the NYSE [J]. Journal of Financial Economics,1996,41(3):313-375.
[212] Bessembinder, Kaufman. A comparison of trade execution costs for NYSE and NASDAQlisted stocks [J]. Journal of Financial and Quantitative Analysis,1997,32(3):287-310.
[213] Lee, Ready. Inferring trade direction from intraday data [J]. Journal of Finance,1991,46(2):733-746.
[214] Lee, Radhakrishna. Inferring investor behavior: Evidence from TORQ data [J]. Journal ofFinancial Markets,2000,3(2):83-111.
[215] Connolly, Stivers, Sun. Stock Market Uncertainty and the Stock-bond Return Relation [J].Journal of Financial and Quantitative Analysis,2005,40(1):161-94.
[216] Connolly. Stivers, Sun. Commonality in the time-variation of stock-stock and stock-bondreturn comovements [J]. Journal of Financial Markets,2007,10(2):192-218.
[217] Fan, Zhang. Beyond segmentation: The case of China’s repo markets [J]. Journal of Banking&Finance,2007,31(3):939-54.
[218] Xiaoming Li, Liping Zou. How do policy and information shocks impact co-movements ofchina's T-bond and stock markets [J]. Journal of Banking&Finance,2007,32(3):347-359.
[219] Chen. Does monetary policy have asymmetric effects on stock returns?[J] Journal of Money,Credit and Banking,2007,39(2):667-688.
[220] Bordo, Dueker, Wheelock. Inflation, monetary policy and stock market conditions [J].NBER Working Paper, National Bureau of Economic Research,2008.
[221] Gregoriou, Kontonikas, MacDonald, et al. Monetary policy shocks and stock returns:Evidence from the British market [J]. Financial markets and portfolio management,2009,23(4):401-410.
[222]崔畅.货币政策工具对资产价格动态冲击的识别检验[J].财经研究,2007,33(7):31-39.
[223]李星,陈乐一.货币政策变动对股票市场波动的影响研究[J].求索,2009,(2):33-35.
[224]周晖.货币政策、股票资产价格与经济增长[J].金融研究,2010,(2):91-101.
[225] Cover. Asymmetric effects of positive and negative money-supply shocks [J]. QuarterlyJournal of Economics,1992,107(4):1621-1282.
[226]陈建斌.政策方向、经济周期与货币政策效力非对称性[J].管理世界,2006,(9):6-12.
[227] Hamilton. A new approach to the economic analysis of nonstationary time series and thebusiness cycle [J]. Econometrica,1989,57(2):351-384.
[228] Hansen. The likelihood ratio test under nonstandard conditions: Testing the MarkovSwitching model of GNP [J]. Journal of Applied Econometrics,1992,11(1):195-198.
[229] Kim, Nelson. Has the U.S. economy become more stable? A Bayesian approach based on aMarkov-Switching model of the business cycle [J]. Review of Economics and Statistics,1999,81(4):608-616.
[230] Bae. Interest rate changes and common stock returns of financial institutions: Revisited [J].Journal of Financial Research,1990,13(1):71-79.
[231] Thorbecke, Alami. The effect of changes in the federal funds rate target on stock prices inthe1970s [J]. Journal of Economics and Business,1994,46(1):13-19.
[232] Dinenis, Staikouras. Interest rate changes and common stock returns of financial institutions:evidence from the UK [J]. The European Journal of Finance,1998,4(2):113-127.
[233] Veronesi. Stock market overreaction to bad news in good times: A rational expectationsequilibrium model [J]. Review of Financial Studies,1999,12(5):975-1007.
[234] Bomfim. Pre-announcement effects, news effects, and volatility: Monetary policy and thestock market [J]. Journal of Banking&Finance,2003,27(1):133-151.
[235] Guo. Stock prices, firm size, and changes in the federal funds rate target [J]. The QuarterlyReview of Economics and Finance,2004,44(4):487-507.
[236] Chuliá, Martens, Dijk. The effects of federal funds target rate changes on S&P100stockreturns, volatilities and correlations [J]. Journal of Banking&Finance,2010,34(4):834-839.
[237] H.Y. Yin, J.W. Yang. Bank characteristics and stock reactions to federal funds rate targetchanges [J]. Indiana University South Bend Indiana University South Bend, Working Paper,2011.
[238] Barr, Campbell. Inflation, real interest rates, and the bond market: A study of UK nominaland index-linked government bond prices [J]. Journal of Monetary Economics,1997,39(3):361-383.
[239] Jones, Lamont, Lumsdaine. Macroeconomic news and bond market volatility [J]. Journal ofFinancial Economics,1998,47(3):315-337.
[240] Balduzzi, Elton, Green. Economic news and bond prices: Evidence from the U.S. treasurymarket [J]. Journal of Financial and Quantitative Analysis,2001,36(4):523-543.
[241] Sarno, Thornton. The dynamic relationship between the federal funds rate and the Treasurybill rate: An empirical investigation [J]. Journal of Banking&Finance,2003,27(6):1079-1110.
[242] Baker, Greenwood, Wurgler. The maturity of debt issues and predictable variation in bondreturns [J]. Journal of Financial Economics,2003,70(2):261-291.
[243] Viceira. Bond risk, bond return volatility, and the term structure of interest rates [J]. HBSFinance Working Paper No.07-082,2007.
[244]张绍斌,齐中英.中国利率水平与股价指数关系的理论分析和实证研究[J].数量经济技术经济研究,2003,(10):95-98.
[245]路迹,陈建国.人民币利率走势及对证券市场的影响分析[J].管理世界,2004,(9):139-140.
[246]郭金龙,李文军.我国股票市场发展与货币政策互动关系的实证分析[J].数量经济技术经济研究,2004,(6):18-27.
[247]董研,张可,潘垚垚.存贷款利率水平提高对国债收益率曲线变动影响的分析[J].华东经济管理,2005,19(9):131-136.
[248]李明扬,唐建伟.我国利率变动对股票价格影响效应的实证分析[J].经济经纬,2007,(4):136-139.
[249]陈其安,张媛,刘星.宏观经济环境、政府调控政策与股票市场波动性——来自中国股票市场的经验证据[J].经济学家,2010,(2):90-98.
[250]何志刚,王鹏.货币政策对股票和债券市场流动性影响的差异性研究[J].财贸研究,2011,(2):99-106.
[251] Engle, Granger. Co-integration and error correction: Representation, estimation, and testing[J]. Econometrica,1987,55(2):251-276.
[252] Jonhansen, Juselius. Maximum likelihood estimation and inferences on cointegration-withapplications to the demand for money [J]. Oxford Bulletin of Economics and Statistics,1990,52(2):169-210.
[253]杨朝军,姚业伟,沈思玮.投资者结构、行为与市场流动——基于中国证券市场的经验数据分析[J].系统管理学报,2009,18(4):361-372.
[254] Goyenko, Subrahmanyam, Ukhov. The term structure of bond market liquidity [J]. SSRNWorking Paper, McGill University,2008.
[255] Chordia, Sarkar, Subrahmanyam. Common determinants of bond and stock market liquidity:the impact of financial crises, monetary policy, and mutual fund flows [J]. Federal ReserveBank of New York Staff Reports (141),2001.
[256] Bansal, Connolly, Stivers. Flight-to-quality and liquidity-related variation in the correlationsand mean returns across stocks and T-Bonds [J]. Working Paper, Saint Louis University,2007.
[257] Hasbrouck. Trading costs and returns for US equities: The evidence from daily data [J].Working Paper, New York University,2006.
[258]梁丽珍,孔东明.中国股市的流动性指标定价研究[J].管理科学,2008,21(3):85-93。
[259] Fleming. Measuring Treasury market liquidity [J]. Federal Reserve Bank of New YorkEconomic Policy Review,2003,9(3):83-108.
[260]易纲,王召.货币政策与金融资产价格[J].经济研究,2002,(3):13-20.
[261]刘熀松.中国货币供应量与股市价格的实证研究[J].管理世界,2004,(2):131-138.
[262] Pesaran, Shin. Generalized impulse response analysis in linear multivariate models [J].Economic Letter,1998,58(1):17-29.
[263] Grubel, Fadner. The interdependence of international equity markets [J]. Journal of Finance,1971,26(1):89-94.
[264] King, Wadhwani. Transmission of volatility between stock markets [J]. Review of FinancialStudies,1990,3(1):5-33.
[265] Bae, Karolyi, Stulz. A new approach to measuring financial contagion [J]. Review ofFinancial Studies,2003,16(3):717-763.
[266]孙晶晶.金融危机的国际传染性研究[D].青岛:青岛大学,2007:15-43.
[267] Nelsen. An introduction to copulas (Second Edition)[M]. New York: Springer,2006,10-89.
[268] Patton. Copula-based models for financial time series [M]. New York: Springer,2008,34-134.
[269] Umberto, Elisa, Walter. Copula methods in finance [M]. NewYork: Wiley,2004,46-159.
[270] Brendan, Beare. Copulas and temporal dependence [J]. Econometrica,2010,78(1):395-410.
[271]肖璨,田益祥,朱冬.运用Copula方法对债市相关性的测度[J].统计与决策,2007,(9):91-94.
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |