Stock and Bond Market Liquidity: A Long-Run Empirical Analysis
实证发现股票与国债市场的非流动性之间存在领先滞后关系和双向格兰杰因果，债券非流动性是货币政策冲击传导至股票市场的渠道，且短期债券效应更显著。
Abstract This paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality. The effect of stock illiquidity on bond illiquidity is consistent with flight-to-quality or flight-to-liquidity episodes. Monetary policy impacts illiquidity. The evidence indicates that bond illiquidity acts as a channel through which monetary policy shocks are transferred into the stock market. These effects are observed across illiquidity of bonds of different maturities and are especially pronounced for illiquidity of short-term maturities. The paper provides evidence of illiquidity integration between stock and bond markets.