【作者】 冯真书；

【导师】 罗天勇；

【作者基本信息】 贵州财经学院 ， 金融学， 2009， 硕士

【摘要】 流动性问题是近几年来我国经济学界讨论的一个热门话题,同时也是当前我国制定宏观经济政策所不能回避的一个问题。货币的基本职能无论是作为交易媒介还是作为支付手段,都依赖于货币的流动性。近两年,我国央行也根据货币流动性状况频繁调整货币政策工具,因此,如何客观地评价国家宏观层面上的流动性问题,对货币流动性进行测度,并得出一个结论,无疑对解决流动性问题,保持一个稳定健康的经济环境,制定宏观财政货币政策均具有重要的参考价值。流动性过多或过少都会对经济社会产生不利的影响,而一般物价水平和资产价格水平都在一定程度上反映着流动性的多寡。在我国,影响流动性的因素复杂,有外部原因,如全球流动性问题;也有内部原因,如经济结构和货币乘数;也有制度方面的原因如巨额的外汇储备和强制结售汇制度。要将流动性控制在有利于经济发展的范围内,就必须对流动性进行测度。流动性的测度方法很多,之前很多学者利用比如货币缺口法、价格缺口法、货币过剩法、M2/GDP的比例以及商业银行存贷款比例等对流动性情况进行测量。而本文根据蒙代尔关于流动性的思想,即将流动性看成是货币供给量和需求量的比较,位于LM曲线以上为流动性过多,位于LM曲线以下为流动性不足,构建一个流动性测度模型。而货币供给是一个外生变量,由货币当局控制,货币需求是一个内生变量,按照凯恩斯、弗里德曼等经济学家的货币需求函数理论,国民收入和利率是影响货币需求的最主要因素。因此,构建一个以收入和利率为自变量的货币需求模型,货币需求量可以通过货币需求模型计算得到,而货币供应量可以直接从央行的统计数据表中查到,货币流动性就表示为货币供给量与货币需求量的比较,即L=M^s-M^d。文章通过计量经济学的方法对货币需求模型所需数据进行单位根检验、协整检验以及多重共线性检验,修正货币需求模型。根据构建的货币流动性测度模型对1992年以来我国的货币流动性进行测度,测度结果显示:1992—1995年,2007年我国出现货币流动性过剩,1996—1997年,2004—2006年,2008年出现货币供求负缺口,这与我国实际宏观经济运行情况相一致。但模型测度结果显示2000—2003年出现一定程度上的流动性过剩,但这期间我国没有出现物价上涨,笔者认为,这一方面与2001年开始我国央行把证券保证金纳入M2统计有关;另一方面,我国商品已经从卖方市场变为买方市场,商品供给充足,一定程度上抑制了价格的上涨。这与经济学界所说的,这段时期我国仍然处于经济紧缩时期有出入。我国2007年和2008年上半年国家所采取治理流动性过剩的方法,比如降低法定存款准备金率、改革我国强制结售汇制度以及抑制出口过快增长等,大多是从货币供给的角度来治理流动性过剩。模型结论指出,1)应该同时从货币需求角度治理流动性过剩。可以从扩大内需,提高农民收入,加大培育资本市场的力度,分流部分流动性,增强区域货币合作,适时推动人民币区域化等角度来扩大货币需求。2)提高利率并不能抑制通货膨胀。根据货币需求模型,一方面,自变量利率的系数较小,其变动不会对货币需求量产生显著影响;另一方面,利率与货币需求量负相关,提高利率就会降低货币需求,因而不能缓解流动性过剩。3) M₁、M₂流动性缺口变动并不总是一致。文章最后指出,随着经济的发展和金融创新,如果还是用陈旧的货币统计口径以及货币层次划分而得到的货币数据进行流动性测度,不仅不准确,有时甚至可能得出与实际经济情况相反的结论,如果参照这种结论制定货币政策有时可能会犯严重错误。货币供求完全均衡事实上长期内很难实现,货币流动性一般总会有一个缺口。那么,在一个什么区间内的缺口算合理?以什么方法来测度货币流动性更能反映我国货币供求的实际情况?而且,随着金融资产不断创新,货币的统计范围应扩大,等等。因此,构建一个统一的货币流动性测度方法,将会对货币政策的制定带来一定的方便。文章创新之处有:一是测度方法上的创新。在关于货币流动性测度的文献中,测度方法比如货币缺口法、价格缺口法、货币过剩法、M2/GDP的比例以及商业银行存贷款比例等,它们或多或少都有一定的缺陷。本文则根据蒙代尔关于流动性的思想,将流动性看成是货币供给量和货币需求量的比较,先构建一个货币需求模型,实际的货币需求量就可以根据这个需求模型计算得到。再用实际货币供给量与实际货币需求量作比较,如果货币供给量大于货币需求量,则会出现流动性正缺口,反之,亦然。二是结论上的创新。之前,大多数文献是从货币供给的角度治理流动性,比如降低法定存款准备金率、改革我国强制结售汇制度以及抑制出口过快增长等。而本文根据模型结论得出,应该同时从货币需求角度治理流动性过剩。另外,模型结论得出,提高利率并不能抑制通货膨胀。根据货币需求模型,一方面,自变量利率的系数较小,其变动不会对货币需求量产生显著影响;另一方面,利率与货币需求量负相关,提高利率就会降低货币需求,因而不能缓解流动性过剩。流动性问题本身是一个复杂问题,对流动性的深入思考,需要很深的理论功底,而本人在货币理论方面的知识有限,彻底搞清流动性并非易事,文章尽管取得一定的研究成果,但仍然存在以下不足:一是仍然沿用传统的货币统计范围和口径收集数据。随着经济发展和金融的不断创新,货币的统计范围和口径应该相应调整,然而由于数据的可获得性,仍然沿用传统的货币统计范围和口径收集数据,从构建的货币流动性测度模型得出的结果就有可能不能完全准确的反映经济现实。二是由于货币需求函数具有不稳定性,本文的货币流动性模型仍然要随着经济环境的变化而适当调整。更多还原

【Abstract】 Liquidity problem is a hot discussing topic to our country in economic circles in recent years, is not also be evaded when China government currently makes macroeconomic policy. The basic functions of money either as a medium of exchange or as a mean of payment, are dependent on the liquidity of the currency. The past two years, our country’s central bank monetary frequently adjust monetary policy instrument in accordance with liquidity conditions, therefore, how to objectively assess the country on a macro-level liquidity problem, the monetary liquidity measuring and drawing a conclusion, to solve the liquidity problems, to maintain a stable and healthy economic environment, the development of macro-fiscal and monetary policy are an important reference value.Liquidity too much or too little will have a negative impact to our country, and the commercial banks’ difference between deposit and loan balances, the general price level and the level of asset prices were to some extent reflects the amount of liquidity; Our country at the factors that affect the liquidity of the complex, there are external reasons, such as global liquidity problem; there are also internal factors, such as economic structure and monetary multiplier; also have unique reasons for our country such as the huge foreign exchange reserves and mandatory foreign exchange settlement and sales system.To control the liquidity is conducive to economic development in the framework, it is necessary to carry out a measure of liquidity. The liquidity measure method are many, before a lot of scholars use such as the currency gap method, the price gap method, monetary surplus method, M2/GDP the ratio of commercial bank deposits and loans as well as the proportion of cases on the liquidity measure. And this paper, according to Mundell’s thought, that is about liquidity as a money supply of and demand for comparison, is located above the LM curve for the excess liquidity, is located under the LM curve for the lack of liquidity, building a liquidity measure of liquidity model. The money supply is an exogenous variable, controlled by the monetary authority, monetary demand is an endogenous variable, in accordance with the Keynes, Friedman and other economists of the money demand theory, national income and interest rates affect the demand for money are the main factor. Therefore, construct a monetary demand model taking the income and interest rate as independent variable, can come liquidity in currency estimate throughmonetary supply with monetary difference of demand, that is L = M~s—M~d.In this paper, the method of econometric model of money demand to carry out the required data unit root test, cointegration test, as well as multi-collinearity tests, amendments to the model of money demand. According to construct the monetary liquidity measure model of our country since 1992 to carry out monetary liquidity measure, measure results showed : 1992-1995 years, our country emerged in 2007 currency liquidity surplus 1996-1997 2004-2006 2008 currency supply and demand gap appears negative, which is the actual situation of macroeconomic operations in our country in line. However, model results showed that the 2001-2003 measure a certain degree of liquidity surplus, But price rise did not appear in our country during this time, The author believes that this area beginning in 2001 and put China’s central bank securities margin into M2 statistics; On the other hand, our country has merchandise from a seller’s market into a buyer’s market, sufficient supply of goods, to some extent restrained prices. This said to economic educational circles, our country is still in the economic period of contraction there is discrepancy in this period.Methods to manage liquidity surplus which have been took by our country during 2007 and the first half of 2008, for example reduce legal rate of deposited reserve, reform our country system of exchange, settlement and sales of forcing and inhibit the export from increasing etc. they controlled the liquidity surplus mostly from currency supply view. Model conclusion points out, should manage the mobile surplus in terms of monetary demand at the same time. Can expand the monetary demand from expanding domestic demand, raising peasant’s income, devoting more efforts to fostering the capital market, shunting some liquidity, strengthening area monetary cooperation, promoting RMB area etc. view in right time.Finally, article pointed out that with the economic development and financial innovation, If you still use old-fashioned monetary statistics, as well as currency levels have been divided into the data liquidity of the monetary measure, not only not merely inaccurate, but also may even get the conclusion contrary to real economic conditions sometimes, if may make the serious mistake to make the monetary policy sometimes according to this kind of conclusion. Currency supply and demand balance in fact entirely difficult to achieve long term, monetary liquidity in general will always have a gap. Then, what gap inside of block is rational in one? With what method to estimate monetary liquidity and reflect the actual conditions of the monetary supply and demand of our country even more? Moreover, as the financial assets are innovating constantly, the statistics range of the currency should be expanded, etc. So, construct a unified monetary liquidity and estimate the method, will bring certain convenience to the formulation of the monetary policy.更多还原