一、主题：Policy Interventions and Liquidity in the Chinese Credit Bond Markets
Abstract :This paper documents the effects of policy interventions on liquidity in the Chinese interbank and exchange credit bond markets. We find that liquidity, measured by an aggregate liquidity proxy, varies across different credit bond segments, and government interventions and regulations exerted a profound influence on the levels of liquidity during the various phases of liberalization and regulatory change. Liquidity in the two markets responded strongly to the central bank’s open market operations as well as domestic innovation while, surprisingly, it also improved during the two crackdowns of spurious trading activities. Moreover, liquidity effects are priced in all credit bond segments and are more pronounced during more stringent economic conditions and more liberalized phases. In addition, we find that yield spreads are more sensitive to liquidity effects for bonds approaching maturity, issued by credit-constrained firms, and rated by private credit rating agencies. Last, liquidity effects are stronger for enterprise bonds issued with external guarantees in the interbank market, and are less pronounced for their exchange counterparts, while post-issuance rating upgrades had opposite impact on the liquidity effects of enterprise bonds in the two markets.