【作者】 秦洋；

【导师】 刘传哲；

【作者基本信息】 中国矿业大学 ， 金融工程与风险管理， 2010， 博士

【摘要】 2003年至今,中国的宏观经济经历了流动性过剩到流动性不足的失衡周期,流动性问题已经成为我国宏观经济运行中的一个焦点,除了重大的现实意义以外,自从流动性作为一个宏观经济变量在上个世界六十年代被提出以来,尤其是流动性失衡问题,对传统的经济理论也产生了挑战。流动性失衡问题不仅困扰理论界,更重要的是研究流动性失衡对我国经济健康持续的发展有着重要的实践意义。在借鉴国内外已有研究成果的基础上,对流动性的概念进行了界定,提出了流动性的三维内涵。即流动性的空间维度、时间维度和价值维度。并在内涵界定的基础上对相关概念进行了辩析。基于理论分析,采用非瓦尔拉斯均衡的思想,以流动性的空间维为主线,遴选出流动性失衡的判定指标,得出对中国流动性状态的基本判定结果:2003年至2005年底中国宏观经济处于流动性失衡;自2006年至2009年3月表现为流动性不足,流动性在短期内完成交替周期,隐藏着中国存在流动性结构失衡的可能。对流动性主体间传递进行了分析,结果显示流动性在主体间传导不畅。在对流动性失衡短期交替原因的解析中,显露出中国股市所代表的虚拟经济对实体经济的挤出效应,导致流动性在虚拟经济和实体经济中的结构性失衡。为了系统地研究流动性失衡的形成机理,首先在变量间单向单一影响的前提下,分析了流动性的影响因素,得出:货币乘数是影响流动性的重要因素,货币乘数构成中,法定准备金率和定期存款比率的贡献最大;广义货币量的增加可能是由于长期央行刺激经济而释放的货币量集中显现出了效果;在广义货币量向总产出的传导中,存在着结构的问题,具体表现在利率的传导路径不畅、股市的财富效应传导不畅、在拉动经济的三架马车中,国际贸易对总产出贡献最大,而消费和投资贡献少且贡献率较小。另外,虽然在2007年以后,中国受到美国金融危机的影响,对国际贸易等冲击较大,但仅就流动性体系而言,其受到国际流动性的输入效应比之国内影响要小得多,中国流动性失衡的主要原因仍是国内原因。其次,在流动性价值维的内涵下,研究了流动性对经济的冲击,得出:流动性失衡会使得央行货币政策效力减损;流动性失衡对微观经济变量亦有显著影响,流动性结构性失衡下,经济变量反映与经济理论相悖,在我国表现为流动性过剩与总产出成负相关关系。流动性失衡使得企业价格压力增大,无论是流动性过剩还是流动性不足对价格冲击最大的是PPI,而无法有效地传递到CPI,企业风险增大。除此之外,流动性失衡还对投资结构和股价有直接影响。最后,在交互影响和多元反馈机制下,采用路径分析的方法研究了流动性各相关变量之间的结构性问题,指出我国流动性失衡至少存在三个方面的结构性困扰:第一,流动性空间维的结构失衡,具体表现为货币流动性向机构流动性和市场流动性的传导不畅;第二,虚拟经济与实体经济的背离,导致了虚拟经济脱离了实体经济自行循环。这是中国流动性失衡最深层次的原因;第三,实体经济中货币传导路径失衡。在上述研究基础上,提炼出影响流动性失衡的十六个指标,采取灰色关联分析及主成分分析法,构建了中国流动性失衡预警指标体系,采用模糊评判的方法得出结论,即在未来的12个月,中国仍然面临严重的流动性失衡问题。基于中国流动性失衡的现状,从二个维度三个层面提出了针对流动性过剩的政策建议,提出注入流动性和疏导流动性两种治理流动性不足的对策。总体可以表述为:政策总量控制、机构信贷监管、市场引导监督、政策配套支持。更多还原

【Abstract】 Since 2003, Liquidity had become a focus of macro economy because China experienced liquidity imbalance cycle from excess liquidity to the insufficient liquidity. Besides great realistic meaning, since the liquidity as a macro economic variable in the 1960s was put forward, it also had academic meaning because traditional economic theories were challenged. And more important, it had important practical significance for the sustainable development to do research on our country’s economic imbalances liquidity.The concept of liquidity is defined and three-dimensional connotation which is spatial dimension, time dimension and value dimension is put forward in this paper on the basis of research results at home and abroad. And on the premise of the definition of the concept, the differentiation of related notion is clarified.Based on the theoretical analysis and the Non-Walrasian Equilibrium, with the spatial dimension as liquidity, we selected the indics of liquidity imbalance and determined the basic state of china’s liquidity: from 2003 to the end of 2005, it was excess liquidity in China and from 2006; the state of liquidity was the contrary. The short-time replacement of the state of liquidity implicated the structure unbalance in China’s economy. The analysis of transmission showed that liquidity between the three bodies is not free-flowing. With the research on the cause of short-time replacement of liquidity state, it was indicated that there was crowding-out effect from real economy to virtual economy which caused structural unbalance of liquidity in both economy.In order to study the formation mechanism of liquidity imbalance systematically, we analyzed the factors of liquidity in the premise of single variable and it was indicated that money multiplier was the important factors affect liquidity ,and between the factors constituted of money multiplier, required reserve ratio and regular ratio was of the greatest contribution, furthermore, the increase of broad money maybe due to the release of money monetary aggregates by central bank to stimulate economy in long term; it existed structural problems for the transmission from monetary aggregates to GDP, for example, the impeded transmission path through interest rate and wealth effect though stock market and between the three carriage pull economy, the international trade was of the biggest contribution to output otherwise the contribution of consumption and investment rate was less. After 2007, although the international trade was suffered serious impact because of financial crisis, the input effect of liquidity aboard was less important than domestic factors. The main reason of China’s liquidity imbalance was also domestic.The impact of liquidity to economy was also researched in the meaning of value dimension and it can be concluded that liquidity imbalance cause the loss of central bank’s monetary policy; liquidity imbalance also had obvious influence on microeconomic variable which could be showed in the negative correlation of excess liquidity and GDP and increasing risk of enterprise. In the condition of liquidity imbalance, variables ran counter to theory, and, among all kinds of price indics, PPI was suffered the most serious impact no matter what excess or insufficient which caused PPI can not be transmitted to CPI effectively. In addition, liquidity imbalance had direct effects on investment structural and stock price.With multicomponent reaction and feedback effect, path analysis was used to research on structural problems, and at least three conclusions could be obtained: at first, the structural imbalance in spatial dimension was showed by not free-flowing among the three bodies of liquidity; the second, it was inconsistence of virtual economy and real economy brought about self-propelling cycle of virtual economy, which was the deep-seated reason of China’s liquidity imbalance; and the third, there was imbalance of money aggregate transmission path in real economy.Based on the former research, through grey relational analysis and principal component analysis, sixteen indices were selected to make up warning index system of China’s liquidity imbalance, and it can be concluded that in the next twelve months, China will still faces a serious imbalance of liquidity through fuzzy evaluation method.Based on the present situation of Chinese liquidity imbalance, pointed suggestions were brought forth form two dimension and three lays, which were amount control by monetary policy, supervision of credit and loan, guide of capital market and using supporting policies.更多还原