流动性过剩与短缺的决定及其逆转机制研究

发布时间：2018-06-02 21:06

本文选题：流动性过剩与短缺 + 流动性逆转　；参考：《复旦大学》2012年博士论文

【摘要】：自改革开放以来,随着经济快速持续增长,我国M2/GDP一直呈上升的态势,位居世界前列,远远超过发达国家。在传统数量论下,大量的“超额”货币导致物价水平上升,但是我国却出现超额货币与低物价水平共存的“黄金组合”,有悖于传统货币理论,“中国之谜”就此产生。很多经济学家一度对M2/GDP数值的变动持中性或肯定的态度。但进入21世纪以来,世界范围内各主要经济体宏观货币宏观经济运行中货币流动性的变化方向一致：从2001年至2007年底,宏观流动性呈现充裕甚至过剩的态势,一直到2007年底,次贷危机全面爆发,流动性随之逆转,次贷危机继续升级为经济危机,由金融系统波及到实体经济,此时流动性极度短缺。各国为缓解危机的冲击,及时大规模的实施救市措施,向经济注入流动性,2009年中开始,流动性又从短缺转换为过剩。“失踪货币”纷纷涌现,冲击价格指数(CPI)和资产价格,导致全球范围内的滞胀。货币流动性通过各种传导机制,对实体经济和虚拟经济产生重要影响,导致实体经济与虚拟经济之间的传统均衡不复存在,成为宏观经济平稳运行的关键因素。由于现代金融体系结构的变化,流动性传导机制有所更新,宏观流动性对资产价格、大宗商品价格以及通胀不再遵循传统简单的传导路径,实体经济也在一定程度上屈从于虚拟经济和金融环境的波动。当前国际经济金融形势错综复杂、几大实体经济由盛及衰又纷纷探底回升、再到二次衰退的国际大环境下,研究流动性过剩与短缺及其转换机制,以及它们与实体经济和金融市场之间的关系,不仅是重要的理论问题,更是重要的现实问题,这也是目前我国宏观经济政策决策中亟待回答的问题。因此,本文主要开展金融深化和货币竞争环境下中国经济中失踪货币和流动性过剩并存现象的研究,作者希望通过对上述问题的研究分析可以为相关政策提供科学的定性和定量研究的依据,并且对相关领域的研究有一定启发。从货币流动性、银行和金融市场的流动性三个层次理解流动性,根据流动性的含义结合本文研究目的,将流动性过剩(短缺)定义为实际各个货币层次显著的多于(少于)有效经济体系所需要的货币数量。流动性过剩与短缺主要的度量方法包括：货币主义流动性测度方法、马歇尔K值与超额货币增长率以及基于流动性供求理论的测度方法。本文在典型化事实分析以及实证过程中,综合采用各种指标对美国、欧元区、中国以及全球流动性进行度量分析。从货币供求两个方面研究流动性过剩与短缺的根源。在货币供给方面,货币供给主要受到政策以及输入型流动性影响。针对中国近些年来出现流动性过剩和短缺并存的典型化事实,建立了开放的货币供给模型,考察中国国际收支双顺差在现有汇率制度下对央行货币供给的影响,尤其是中国短期国际资本流动,即常说的“热钱”对于中国2008年之前的流动性过剩影响非常突出。在货币总需求方面,货币需求的变化则是源于产业结构,微观主体预期等。研究中区分了实体经济和虚拟经济的二元货币经济体系结构性的不同特征,重视两个系统的货币流通速度的变动趋势和影响因素对货币需求结构性变化的解释能力,同时研究了产业结构变动对货币需求的影响。最后综合考虑货币的总量供求均衡,将资产价格、通货膨胀等纳入模型,同时结合各种外生冲击、货币当局政策组合、微观主体行为对流动性状态的变动给予全面的描述,解释主要经济因素的变化。给出不同口径下的货币缺口,由实证结果可知：实体经济中,我国确实存在较大的货币流动性失衡的现象,流动性从1991年至2010年,先短缺转而过剩。其中货币流动性紧缩更多是由危机或者突然转向的货币政策所致,流动性过剩则是一个长期积累的过程,与国内和外围经济长期的货币供应量以及宽松的货币政策环境有紧密联系。研究分析全球流动性过剩与短缺的现象,对全球范围内的M2/GDP的长期趋势进行跨国比较和分析,对货币流动性在国际间的传导进行考察,证实了输入型流动性的存在。在此基础上,采用马尔科夫机制转移模型,深入分析流动性状态,将流动性状况变动与经济基本因素相结合进行考察,总结流动性的转换机制。货币流动性的状态变化不仅可以反映出实体经济运行情况和货币供求关系,更能即时的反映虚拟经济的发展趋势,以及其与实体经济的匹配程度。使用中国月度经济数据,经过严格处理,构建了流动性总量指标的马尔科夫机制转移模型,通过对马尔科夫机制转换模型系统的模拟分析,得出结论：为刺激经济发展而采取宽松的货币政策,流动性随着经济的繁荣而日益累积过剩,物价水平攀升,金融市场泡沫膨胀,货币政策转向,经济危机埋下隐患。由某一突发事件(例如金融机构倒闭等)引致危机爆发,流动性在之前政策调控、危机影响以及市场预期等的共同作用下短期内逆转。相反,由短缺转换为过剩,则在经济基本面和政策的影响下缓慢发生。给出过剩与短缺相互转换概率以及各个状态的期望持续期。模型所估算出的流动性过剩的期望持续期较长。流动性短缺伴随着流动性的剧烈波动,其发生概率位于0.8,并且流动性严重短缺出现的时间点一般位于危机发生后半年之内,并且短缺出现之前流动性处于很大程度的过剩。
[Abstract]:Since the reform and opening up, with the rapid and sustained economic growth, China's M2/GDP has been in the upward trend, in the forefront of the world, far more than the developed countries. Under the traditional quantity theory, a large amount of "excess" money leads to the rising price level. However, the "gold combination" which coexisted between the excess money and the low price level has appeared in our country, which is contrary to the transmission. The "Chinese mystery" came into being. Many economists had a neutral or affirmative attitude towards the changes in the M2/GDP value. But since twenty-first Century, the change of monetary liquidity in the macro monetary macro-economic operation of the world's major economies was consistent: from 2001 to the end of 2007, the macro liquidity was presented. By the end of 2007, the subprime crisis broke out in an all-round way, the liquidity was reversed, the subprime crisis continued to escalate to the economic crisis, the financial system spread to the real economy, and the liquidity was extremely short. In order to alleviate the impact of the crisis, the financial system was carried out in a timely and large scale to inject liquidity into the economy, 2009 In the middle of the year, liquidity has shifted from shortage to excess. "Missing currencies" have sprung up, hitting the price index (CPI) and asset prices, leading to stagflation around the world.
Through various transmission mechanisms, monetary liquidity has an important impact on the real economy and virtual economy, which leads to the traditional equilibrium between the real economy and the virtual economy, which has become the key factor for the smooth operation of the macro-economy. The price, commodity price and inflation no longer follow the traditional simple transmission path. The real economy is also succumbed to the fluctuation of the virtual economy and the financial environment to a certain extent. The current international economic and financial situation is intricate, and the major real economies are from prosperity and decline to the bottom of the world, and then to the international environment of the two recession, It is not only an important theoretical problem, but also an important practical problem, which is not only an important theoretical issue but also an important practical problem, which is also an urgent question to be answered in our macroeconomic policy decision. Therefore, this article is mainly carried out under the environment of financial deepening and monetary competition. In the study of the coexistence of missing currency and excess liquidity in the country's economy, the author hopes to provide a scientific basis for the qualitative and quantitative research of relevant policies through the analysis of the above problems, and to a certain extent to the research in the related fields.
From three levels of liquidity, banking and financial market liquidity, the liquidity is understood. According to the meaning of the liquidity and the purpose of this study, the excess liquidity (shortage) is defined as the amount of money needed by the effective economic system more than (Shao Yu) effective economic system. The main measurement method of excess liquidity and shortage It includes the method of measuring the liquidity of monetarism, the Marshall K value and the rate of excess money growth and the measurement method based on the theory of liquidity supply and demand. In this paper, in the typical fact analysis and empirical process, various indicators are used to measure the flow of the United States, the euro Zone, China and the world.
The origin of excess liquidity and shortage is studied from two aspects of money supply and demand. In terms of money supply, money supply is mainly influenced by policy and input type liquidity. In view of the typical fact that China has emerged in recent years, an open currency supply model has been established to examine the double surplus of balance of payments in China. The influence of the current exchange rate system on the monetary supply of the central bank, especially the short-term international capital flow in China, which is often said by "hot money", has a very prominent effect on China's excess liquidity before 2008. In terms of the general demand for money, the change of money demand is derived from industrial structure and microcosmic subject expectation. The two yuan monetary economic system of economic and virtual economy has different structural characteristics, pay attention to the change trend of the speed of currency circulation in two systems and the explanatory power of the influence factors on the structural change of money demand. At the same time, it studies the influence of the change of industrial structure on the demand of money. Price, inflation and so on are incorporated into the model. At the same time, a comprehensive description of the changes in the main economic factors is given in combination with the various exogenous shocks, the monetary authorities' policy combination and the changes of the micro subject behavior in the convective state. The monetary gap under different calibre is given. The empirical results show that in the real economy, our country does have a larger size. The phenomenon of imbalances in monetary liquidity, from 1991 to 2010, is from the shortage to excess. The monetary liquidity contraction is caused by the monetary policy of crisis or abrupt change, and the excess liquidity is a long-term accumulation process, the long-term money supply and the loose monetary policy environment in the domestic and peripheral economies. There's a close connection.
Study and analyze the phenomenon of global liquidity surplus and shortage, compare and analyze the long-term trend of M2/GDP in the world, examine the transmission of monetary liquidity in the world, and confirm the existence of input type liquidity. On this basis, the Markoff mechanism transfer model is used to analyze the flow state, and the flow will be analyzed. The change of dynamic status and the basic factors of economy are combined to investigate and summarize the transformation mechanism of liquidity. The state change of monetary liquidity can not only reflect the relationship between the real economy and the money supply and demand, but also reflect the development trend of the virtual economy, and the matching degree with the real economy. According to the strict processing, the Markoff mechanism transfer model of the total liquidity index is constructed. Through the simulation analysis of the Markoff mechanism transformation model system, the conclusion is drawn that the loose monetary policy is adopted to stimulate the economic development, and the liquidity becomes more and more accumulated with the prosperity of the economy, the price level is rising, and the price level is rising. Market bubble inflation, monetary policy change, economic crisis buried hidden dangers. A sudden incident (such as financial institutions, such as bankruptcy) caused a crisis, liquidity in the previous policy regulation, the impact of the crisis and market expectations in the short term reversal. On the contrary, from shortage to excess, in the shadow of the economic fundamentals and policy The probability of surplus and shortage interconversion and the expected duration of each state are given. The expectation of excess liquidity estimated by the model lasts longer. The probability of liquidity shortage accompanied by severe volatility of liquidity is 0.8, and the time point for the occurrence of severe liquidity shortage is generally located in the crisis. In the latter half of the year, liquidity is in a great degree of surplus before the shortage.
【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F224;F822;F726

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