中美流动性传导机制研究:1999—2009年

发布时间：2018-01-26 01:31

本文关键词： 次贷危机流动性传导偶发性传导非偶发性传导　出处：《财经问题研究》2010年09期 　论文类型：期刊论文

【摘要】：次贷危机爆发后,关于美国流动性对全球流动性,尤其是新兴国家流动性影响的研究逐渐成为焦点,而对中美两国流动性传导机制的研究则相对较少。本文通过构造超额货币比率来反映中美两国流动性状况,并采用VAR模型对中美两国流动性传导机制研究。研究显示,总体而言,美国流动性是中国流动性变化的单向Granger原因,但是在次贷危机期间,中美两国流动性却具有双向Granger因果关系,这也表明流动性的偶发性传导机制与非偶发性传导机制同时存在于中美两国之间。
[Abstract]:After the outbreak of the subprime mortgage crisis, the research on the impact of US liquidity on global liquidity, especially in emerging countries, has gradually become the focus. However, there are few studies on the mechanism of liquidity transmission between China and the United States. This paper reflects the liquidity situation of China and the United States by constructing excess currency ratio. The VAR model is used to study the mechanism of liquidity conduction in China and the United States. The study shows that, in general, American liquidity is the one-way Granger cause of China's liquidity change, but during the subprime mortgage crisis. The liquidity of China and the United States has two-way Granger causality, which also indicates that the mechanism of accidental conduction and non-accidental conduction of liquidity exist between China and the United States.
【作者单位】：东北财经大学金融学院;
【分类号】：F821
【正文快照】： 一、文献综述流动性的国际传导是指发源于一国流动性的变化将通过该国金融市场、实体经济、甚至通过投资者的资产组合调整效应影响其他国家流动性,进而影响其他国家的经济状况。随着全球经济金融一体化进程加速,流动性的国际传导正成为诱发全球金融危机的必要条件和直接导火索

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