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基于对经济正常波动时期与金融危机时期央票发行对央票交易成本的影响分析,结论表明央票交易成本中流动性成本显著高于信息不对称成本。在经济正常波动时期,央票发行顺应市场预期,央票发行并未引起流动性成本和信息不对称成本的显著变化;在金融危机时期,央票发行出乎市场预期,央票发行引起信息不对称成本显著增加,指令流自相关系数显著降低。而央票市场的信息不对称成本,主要来源于机构投资者对公开信息的解读不同。
Based on the analysis of the impact of the period of normal economic fluctuations and the issuance of central bank bills on the transaction cost of central bank bills during the financial crisis, the conclusion shows that the liquidity costs of transaction costs of central bank bills are significantly higher than those of asymmetric information. In the normal period of economic fluctuation, the issuance of central bank bills conforms to market expectations. The issuance of central bank bills has not caused notable changes in liquidity costs and asymmetric information costs. During the financial crisis, central bank bills were issued in anticipation of market expectations, The symmetric cost increases significantly, and the autocorrelation coefficient of the instruction stream decreases significantly. However, the information asymmetric cost in the central counting market mainly comes from the different interpretations of public information by institutional investors.