美国股票市场流动性结构改变研究

发布时间：2018-05-01 21:00

本文选题：美国股票市场 + 市场流动性　；参考：《价格理论与实践》2017年02期

【摘要】：不同以往文献仅研究非流动性指标(illiquidity)影响,本文应用H P-Filter方法将非流动性分解成长期趋势与短期波动,研究过往20年美国股票市场流动性结构转变状况。研究发现:一是股市非流动性比率的结构改变与货币政策周期有关,代表利率背后代表的融资流动性,会与非流动性比率所代表的市场流动性会相互影响。我国在实现利率市场化同时,如何减少货币政策预期对股票市场流动性的影响是重要的议题。二是市场流动性具有"顺周期"行为,金融危机前的流动性宽松,是结构转变的主要原因。三是金融危机前短期流动性将会增加,危机发生后立即紧缩,监管机构因而可借鉴新巴赛尔协议III逆周期资本缓冲的预警框架,构建一套由事后被动管理转换成事前主动管理的流动性风险预警框架。
[Abstract]:In this paper, we use H P-Filter method to decompose illiquidity into long-term trends and short-term fluctuations, and study the structural changes of liquidity in the past 20 years in the United States stock market. It is found that: first, the structural change of the illiquid ratio of stock market is related to the monetary policy cycle, which represents the financing liquidity behind the interest rate and the market liquidity represented by the illiquidity ratio. At the same time, how to reduce the influence of monetary policy expectation on stock market liquidity is an important issue. Second, market liquidity has "pro-cyclical" behavior, before the financial crisis, liquidity easing is the main reason for structural change. Third, short-term liquidity will increase before the financial crisis and tighten immediately after the crisis, so regulators can learn from the early-warning framework of the III countercyclical capital buffer under the New Bassell Accord. Build a set of liquidity risk warning framework from passive management to proactive management.
【作者单位】：中国光大集团博士后工作站;清华大学五道口金融学院博士后流动站;中央财经大学证券期货研究所;
【基金】：中国博士后科学基金面上一等资助(2016M590120)
【分类号】：F831.51

【相似文献】