Market Liquidity and Bond Prices in a Small Open Economy
本文利用澳大利亚国债期货篮子状态带来的流动性外生变化，检验市场流动性对政府债券价格的因果影响，但未发现流动性提高会显著推高债券价格的证据。
ABSTRACT Investors may apply a liquidity premium to assets that are easy and cheap to trade, especially in times of stress. This paper tests for a causal relationship from market liquidity to prices in the government bond market for a small open economy (Australia). To identify this effect, I use a source of exogenous variation in liquidity that is driven by whether a particular bond is used to compute settlement prices for Australian interest rate futures contracts (“basket status”). Despite a strong link between basket status and market liquidity, I do not find clear evidence that higher market liquidity affects Australian government bond prices.