基于资产期限结构的流动性过剩的内涵、测度与因子分析

发布时间：2019-07-09 12:14

【摘要】：本文基于资产期限结构探讨了流动性过剩的内涵,并对流动性过剩进行了定量测度和因子分析,在此基础上,提出了流动性过剩的管理思路与策略。基于资产期限结构的流动性过剩可以分解为一期滞后流动性过剩、货币期限结构与均衡比例期限升水变化率三个因子,实证分析结果表明,三个因子的均衡值均呈现季度循环的特征。中央银行应明确流动性过剩的下限和上限,在同一年度内应采取流动性管理策略保持流动性稳定提高,在不同年度应保持高流动性过剩与低流动性过剩之间的转换。为实现流动性过剩季度循环的均衡路径并使其保持在上下限范围内,中央银行可以选择流动性管理工具依据季度循环的特征调控货币期限结构与均衡比例期限升水。
[Abstract]:Based on the term structure of assets, this paper discusses the connotation of excess liquidity, and makes a quantitative measure and factor analysis of excess liquidity. On this basis, it puts forward the management ideas and strategies of excess liquidity. The excess liquidity based on the term structure of assets can be divided into three factors: the excess liquidity of the first phase lag, the change rate of the monetary term structure and the equilibrium ratio of the period rising water. The empirical analysis results show that the equilibrium values of the three factors are characterized by quarterly circulation. The central bank should make clear the lower limit and upper limit of excess liquidity, adopt liquidity management strategy to maintain stable improvement of liquidity in the same year, and maintain the conversion between high excess liquidity and low excess liquidity in different years. In order to realize the equilibrium path of the quarterly cycle of excess liquidity and keep it within the upper and lower limits, the central bank can choose the liquidity management tool to adjust the monetary term structure and the equilibrium proportion period to rise according to the characteristics of the quarterly cycle.
【作者单位】：东北财经大学金融学院;
【基金】：国家自然科学基金(70873016) 教育部人文社会科学规划项目(08JA790013)、教育部人文社会科学青年项目(09YJC790028) 辽宁省高等学校优秀人才支持计划(WJQ2011042)的资助
【分类号】：F224;F820

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