流动性冲击与资产价格波动研究

发布时间：2018-01-06 01:04

本文关键词：流动性冲击与资产价格波动研究　出处：《上海社会科学院》2013年博士论文　论文类型：学位论文

【摘要】：爆发于2007年的次贷危机是进大21世纪以来影响最为深远的全球性经济事件。危机爆发后,世界主要经济体奉行凯恩斯主义的衣钵,采取向处于破产边缘的金融机构大量注资、大幅降低基准利率、放松信贷和上马大型基建项目等措施。然而,政策干预效果与采取措施初衷相去甚远：一方面实体经济复苏之路并不平坦,美国经济复苏之路仍然非常漫长,欧洲仍然在泥潭中挣扎,日本经济持续低迷,新兴经济体陷入经济增速显著下行的困境；另一方面成熟经济体虚拟资产价格载高歌猛进,随着各国央行资产负债表迅速膨胀,成熟经济体如美国、英国和法国代表性股票指数已接近或超过经济基本面强劲的2000年和2007年水平。这种实体经济与虚拟经济背离现象值得警惕和深思。回顾20世纪以来,全球经济所发生的每一次泡沫,如20世纪20年代美国经济、20世纪80年代口本经济、20世纪90年代的墨西哥经济、1997年之前亚洲经济、20世纪末的美国互联网泡沫和21世纪初美国经济的繁荣,每次危机爆发前人们都有充足的理由说“这次不一样”,即经济繁荣可以持续。然而,如果仔细分析每次经济从繁荣走向萧条的过程,每次危机前后都会伴随着“流动性急剧扩张—流动性逆转—流动性短缺”的流动性冲击过程,与其同时存在的是“资产价格急剧上涨—资产价格承压—资产价格暴跌”的资产价格急剧波动现象,验证了罗格夫和雷恩哈特的新著《这次不一样?》中所强调的主旨——“这次没什么不一样”。在现有世界经济体系中,大多数经济体对内实行信用货币制度和对外实行有管理浮动汇率制度,始终临保持合适流动性以促进经济持续健康增长和保持资产价格稳定的艰难抉择。因此,对于流动性冲击和资产价格波动的研究,特别是流动性冲击与资产价格波动在不同经济体及不同发展阶段的经验总结不仅能够对本轮经济危机未来演绎过程有更深入理解,而且对于制定合理的宏观经济政策具有十分重要意义。本文以“流动性冲击与资产价格波动研究”为题,重点关注“流动性冲击(Shock)→资产价格波动(Volatility)"这一过程,对流动性冲击与资产价格波动间的传导理论机制及相互影响的跨国实践进行全面而系统的研究分析。全文共包括五个重要组成部分：第一部分厘清概念和要点。系统梳理流动性、流动性冲击、资产价格、资产价格波动、流动性冲击与资产价格波动等相关理论,对于流动性、流动性冲击和资产价格波动等重要概念予以明确界定并提出计量指标,从而为后续讨论提供明确概念前提。第二部分构建理论框架。在对马克思“资本循环理论”分析基础上,基于保埃直达等学者所提出的理念和相关模型,以经济主体资本项目和经常项目核算为起点,分别构建封闭式和开放式经济体之流动性冲击的产生及其影响的理论框架；由货币供求“二分法”过渡至货币数量“二分法”,结合AbelBernanke模型的深入挖掘,构建流动性冲击到资产价格波动的一、二阶传导机制理论框架；进一步揭示不同经济发展阶段下的流动性冲击和资产价格波动的传导特征,为后续对相关经济体实证研究作好理论铺垫。第三部分为流动性冲击和资产价格波动的国际经验研究。分别对部分代表性发达经济体和新兴经济体之流动性冲击和资产价格波动的实践进行系统性研究：一方面从定性角度对代表性国家特定阶段的流动性冲击和资产价格波动特征进行深入研究,另一方面从定量角度检验流动性冲击和资产价格波动间的相互作用机制。第四部分为中国的流动性冲击和资产价格波动研究。重点对中国改革开放以来的流动性冲击和资产价格波动现象予以系统整理,得出中国流动性冲击和资产价格波动特征。第五部分为流动性冲击与资产价格波动研究的启示。根据理论分析及总结不同经济体流动性冲击和资产价格波动特征,明确提出货币政策应关注资产价格变化(解决了货币政策是否需要关注资产价格问题),而且应关注主资产价格变化(解决了货币政策应关注哪类资产问题)。同时,根据各国实证结果及中国实际情况,提出当前中国房地产的主资产特征日益明显,并从流动性冲击与资产价格波动角度对中国汇率制度安排、金融创新及金融监管提出相应的对策建议。
[Abstract]:The subprime crisis broke out in 2007 in twenty-first Century since the impact of the most far-reaching event. The global economic crisis, the world's major economies to pursue Keynes's legacy to the brink of bankruptcy of financial institutions to inject substantial funds significantly reduced the benchmark interest rate, the relaxation of credit and launched large-scale infrastructure projects and other measures. However, the effect of intervention policies and measures from the original intention: on the one hand, the recovery of the real economy is not a smooth road, the economic recovery of the road is still very long, Europe still struggling in the mire, the Japanese economy sustained downturn, economic growth in emerging economies was down dilemma; on the other hand the mature economies of fictitious assets prices set with stride forward singing militant songs. The central bank balance sheet expansion, mature economies such as the United States, Britain and France representative stock index has been close to or exceed the economy The basic level is strong in 2000 and 2007. The deviation between the real economy and the virtual economy is worth vigilant and thought-provoking.
Review since twentieth Century, every bubble occurred in the global economy, such as the U.S. economy in 1920s, in 1980s the economy, the economy of Mexico in 1990s, 1997 before the Asian economy, in twentieth Century the United States at the end of the Internet bubble and the beginning of the twenty-first Century American economic prosperity, every time before the crisis people have good reason to say "this is not the same." that is, economic prosperity can be sustained. However, if a careful analysis of each economy from prosperity to recession, every time before and after the crisis will be accompanied by a rapid expansion of liquidity - flow liquidity shock - reversal of liquidity shortage ", and at the same time there is a sharp rise in asset prices" - asset prices under pressure - asset prices "sharp asset price fluctuation, verification of Rogoff and Reinhard's new book" this is not the same as that in >? The theme - "nothing is different this time."
In the current world economic system, most economies to implement credit currency system of internal and external implementation of a managed floating exchange rate system, always maintain appropriate liquidity in order to promote the sustained and healthy economic growth and maintain the difficult choice of asset price stability. Therefore, the research on the liquidity shocks and asset price volatility, especially the liquidity shock and the volatility of asset prices in different economies in different stages of development and experience summary can not only have a better understanding of the current economic crisis of future development process, but also has important significance for the development of sound macroeconomic policies.
This paper is titled as "liquidity shocks and asset price volatility research", "focus on liquidity shocks to asset price volatility (Shock) (Volatility)" the process of transnational practices flow and interaction mechanism of conduction theory and impact of asset price volatility between the comprehensive and systematic study on the analysis. Includes five important parts:
The first part is to clarify the concept and main points. Systematic liquidity, liquidity shocks, asset prices, asset price volatility, liquidity shocks and asset price volatility and other related theories, for liquidity, clarifies the important concepts and put forward the measurement index of liquidity shocks and asset price fluctuations, thus providing a clear concept of the premise for further discussion.
The second part constructs the theoretical framework. In the analysis of Marx's "capital circulation theory" basis, proposed based on the concept of Baoai direct and other scholars and the relevant models to economic main current account and capital account accounting as a starting point, the theoretical framework of closed influence liquidity and open economy impact are constructed; the money supply and demand "dichotomy" transition to the quantity of money "dichotomy", combined with the mining depth of the AbelBernanke model, the construction of liquidity shocks to asset price volatility, two order transmission mechanism theory frame; conduction characteristics further reveal the liquidity shocks in the different stages of economic development and the fluctuation of asset prices, for the follow-up of the empirical study on preparing for the economy.
The third part is the research on international experience of liquidity shocks and asset price volatility. Respectively practice on liquidity of some representative developed and emerging economies and the impact of asset price volatility in systematic research: on the one hand, the liquidity impact on the representative country specific stage from the qualitative point of view and asset price volatility characteristics study of interaction mechanism on the other hand, from the view of quantitative inspection of liquidity shocks and asset price volatility between.
The fourth part is China's liquidity shock and asset price volatility. It focuses on China's liquidity shock and asset price volatility since the reform and opening up, and concludes the characteristics of China's liquidity shock and asset price volatility.
The fifth part is the enlightenment for liquidity shocks and asset price volatility research. According to the theoretical analysis and summary of different economies liquidity shocks and asset price volatility characteristics, proposed monetary policy should focus on changes in asset prices (the monetary policy needs to pay attention to the problem of asset price), and should pay attention to the main changes in asset prices (the currency what kind of policy should pay attention to assets). At the same time, according to the empirical results and China actual situation, put forward the main features of the current real estate assets China is becoming more and more obvious, and from liquidity shocks and asset price volatility of China exchange rate system, puts forward the corresponding countermeasures and suggestions of financial innovation and financial supervision.

【学位授予单位】：上海社会科学院
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F113

【参考文献】