一、主題：PolicyInterventions and Liquidity in the Chinese Credit Bond Markets

二、主講人：Jingyuan MO，美國紐約大學斯特恩商學院金融學博士生。他在劍橋大學獲得數學碩士學位，在帝國理工學院獲得風險管理和金融工程碩士學位，在紐約大學獲得金融學碩士學位。他的研究方向包括期權定價、産業組織和資産定價。目前，主要研究話題是債券市場的流動性、利率期限結構建模和政府隐性擔保等。

三、時間：2019年11月27日（周三），中午12:30-13:30

四、地點：bevictor伟德官网學院南路校區主樓913會議室

五、主持人：黃志剛，bevictor伟德官网教授、副院長

Abstract : This paper documents the effects of policyinterventions on liquidity in the Chinese interbank and exchange credit bondmarkets. We find that liquidity, measured by an aggregate liquidity proxy,varies across different credit bond segments, and government interventions andregulations exerted a profound influence on the levels of liquidity during thevarious phases of liberalization and regulatory change. Liquidity in the twomarkets responded strongly to the central bank’s open market operations as wellas domestic innovation while, surprisingly, it also improved during the twocrackdowns of spurious trading activities. Moreover, liquidity effects arepriced in all credit bond segments and are more pronounced during morestringent economic conditions and more liberalized phases. In addition, we findthat yield spreads are more sensitive to liquidity effects for bondsapproaching maturity, issued by credit-constrained firms, and rated by privatecredit rating agencies. Last, liquidity effects are stronger for enterprisebonds issued with external guarantees in the interbank market, and are lesspronounced for their exchange counterparts, while post-issuance rating upgradeshad opposite impact on the liquidity effects of enterprise bonds in the twomarkets.