关键词: 经济政策不确定性, 流动性, 金融周期, 动态相关性

Abstract: The high co-movement of liquidity among financial markets is one of the major manifestations of crisis contagion. Therefore, it is very important to study the dynamic linkage effect of liquidity. Based on the data of China’s financial market, this paper calculates the liquidity of China’s stock and bond markets from 2003 to 2018, and extends the DCC-MIDAS model of Colacito et al. (2011) to study the volatility and linkage effect of liquidity. At the same time, from the perspective of financial cycle, we examine whether economic policy uncertainty has different effects on liquidity volatility and correlation in different time intervals. The results show that compared with the single-factor mixing model, the introduction of economic policy uncertainty in a multi-factor model can better capture the dynamic change of stock and bond markets’ correlation in China. Meanwhile, the increase of policy uncertainty will reduce the positive correlation between stock and bond markets, but the effect will change at the turning point of the financial cycle into strengthening the positive correlation between them. This paper not only provides a new perspective of liquidity for discussing the linkage effect between stock market and bond market, but also provides an important reference for financial market risk supervision.

Key words: Economic Policy Uncertainty, Liquidity, Financial Cycle, Dynamic Correlation