我国流动性过剩对资产价格的影响研究
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摘要
流动性过剩现象已经成为近年来我国经济运行中的一种常态,持续的流动性过剩已经影响我国宏观经济的健康稳定增长,同时也影响货币政策的有效性。本文着重研究我国流动性过剩对实物资产和金融资产价格的影响,并最终提出疏解流动性的建议。
本文论述的流动性过剩是指银行体系内流动性过剩,虽然不包括证券市场和实体经济内的流动性过剩,但流动性过剩会导致消费品价格、实物资产价格和金融资产价格的上涨。我国现阶段流动性过剩的成因主要包括全球性的货币过剩、持续的“双顺差”、我国过低的消费比率和商业银行微观主体资本充足率的提高等等。
从货币数量理论来看,流动性过剩会产生过多的货币追逐较少的资产的现象,从而造成价格的整体上涨。这种价格上涨不仅包括金融资产中的股票价格上涨,也包括实物资产的房地产价格上涨。
流动性过剩对资产价格的这种影响机理可以从基本经济学理论中得到解释。现金交易型的货币数量论、现金余额型的货币数量论、凯恩斯的货币需求理论、弗里德曼的新货币数量理论和理性预期学派的货币理论都能从各自的理论框架中阐述两者间的影响机理。流动性过剩可以通过利率渠道、通货膨胀渠道、投资效应渠道、财富效应渠道和资产负债表效应渠道影响资产价格。
在实证研究中,本文通过对剑桥方程式进行变形和修正得到基本结构模型,并确立了VAR的非结构模型。通过对涉谷的“动态均衡价格指数”进行改造,得到包括房地产价格和股票价格在内的综合价格指数。本文实证的结果亦支持前面的理论推导。
对于我国流动性的疏解,本文指出现有央行的货币政策未能解决我国的流动性过剩问题。本文指出我们现阶段疏解流动性的主要思路应该包括创造足够的资产和“冻结”过多的货币。基于房地产市场和股票市场吸纳流动性的天然属性,指出我国应该大力发展房地产市场、进行股市扩容,以有效疏解我国的流动性。
In recent years, excess liquidity has become a phenomenon in China's economic operation. Continued excess liquidity has affected the health and stability of our country's macroeconomic growth. At the same time it also affects the effectiveness of monetary policy. This dissertation focuses on the influence to physical assets and financial assets from China's excess liquidity and makes solutions to excess liquidity.
Excess liquidity means to the banking system liquidity surplus. Although not including the stock market and the real economy, the excess liquidity will lead to the increase of consumer prices, physical assets and financial assets price. The major reasons of excess liquidity in China includes global monetary excess, continuing the "double surplus", China's low consumption rate and the increase of capital adequacy ratio in commercial banks.
From the theory of currency quantity, the excess liquidity will lead extra money chasing fewer assets, thereby causing the overall rise of price. This includes not only stock prices of financial assets, but also physical assets rise in real estate prices.
It can be explained from the basic economic theory that the excess liquidity of money market impact mechanism influences the assets price. Currency quantity theory of cash transaction, currency quantity theory of cash balance, Keynes's currency demand theory, Friedman's new currency quantity theory and rational expectations school of monetary theory can set out the impact mechanism individually. Excess liquidity could affect assets price form interest rate, inflation, wealth effect and balance sheet effect.
In Empirical Study, through the transformations and amendments of Cambridge formula, we got the basic structural model. Then we identified non-structural model, VAR. Through the change of Shibuya's dynamic equilibrium price index, we can conclude composite price index including stock prices and real estate prices. Empirical result of this dissertation also supports previous theoretical derivation.
For the solution to excess liquidity in China, the dissertation pointed out that the existing central bank's monetary policy failed to solve the liquidity problem. The author stressed that at this stage the main solution to excess liquidity is to create sufficient assets, and to freeze excessive money. Based on the natural absorbing liquidity attribute of real estate market and the stock market, the author pointed out that we should resolve the problem of excess liquidity by developing the real estate market vigorously and expanding the stock market.
本文论述的流动性过剩是指银行体系内流动性过剩,虽然不包括证券市场和实体经济内的流动性过剩,但流动性过剩会导致消费品价格、实物资产价格和金融资产价格的上涨。我国现阶段流动性过剩的成因主要包括全球性的货币过剩、持续的“双顺差”、我国过低的消费比率和商业银行微观主体资本充足率的提高等等。
从货币数量理论来看,流动性过剩会产生过多的货币追逐较少的资产的现象,从而造成价格的整体上涨。这种价格上涨不仅包括金融资产中的股票价格上涨,也包括实物资产的房地产价格上涨。
流动性过剩对资产价格的这种影响机理可以从基本经济学理论中得到解释。现金交易型的货币数量论、现金余额型的货币数量论、凯恩斯的货币需求理论、弗里德曼的新货币数量理论和理性预期学派的货币理论都能从各自的理论框架中阐述两者间的影响机理。流动性过剩可以通过利率渠道、通货膨胀渠道、投资效应渠道、财富效应渠道和资产负债表效应渠道影响资产价格。
在实证研究中,本文通过对剑桥方程式进行变形和修正得到基本结构模型,并确立了VAR的非结构模型。通过对涉谷的“动态均衡价格指数”进行改造,得到包括房地产价格和股票价格在内的综合价格指数。本文实证的结果亦支持前面的理论推导。
对于我国流动性的疏解,本文指出现有央行的货币政策未能解决我国的流动性过剩问题。本文指出我们现阶段疏解流动性的主要思路应该包括创造足够的资产和“冻结”过多的货币。基于房地产市场和股票市场吸纳流动性的天然属性,指出我国应该大力发展房地产市场、进行股市扩容,以有效疏解我国的流动性。
In recent years, excess liquidity has become a phenomenon in China's economic operation. Continued excess liquidity has affected the health and stability of our country's macroeconomic growth. At the same time it also affects the effectiveness of monetary policy. This dissertation focuses on the influence to physical assets and financial assets from China's excess liquidity and makes solutions to excess liquidity.
Excess liquidity means to the banking system liquidity surplus. Although not including the stock market and the real economy, the excess liquidity will lead to the increase of consumer prices, physical assets and financial assets price. The major reasons of excess liquidity in China includes global monetary excess, continuing the "double surplus", China's low consumption rate and the increase of capital adequacy ratio in commercial banks.
From the theory of currency quantity, the excess liquidity will lead extra money chasing fewer assets, thereby causing the overall rise of price. This includes not only stock prices of financial assets, but also physical assets rise in real estate prices.
It can be explained from the basic economic theory that the excess liquidity of money market impact mechanism influences the assets price. Currency quantity theory of cash transaction, currency quantity theory of cash balance, Keynes's currency demand theory, Friedman's new currency quantity theory and rational expectations school of monetary theory can set out the impact mechanism individually. Excess liquidity could affect assets price form interest rate, inflation, wealth effect and balance sheet effect.
In Empirical Study, through the transformations and amendments of Cambridge formula, we got the basic structural model. Then we identified non-structural model, VAR. Through the change of Shibuya's dynamic equilibrium price index, we can conclude composite price index including stock prices and real estate prices. Empirical result of this dissertation also supports previous theoretical derivation.
For the solution to excess liquidity in China, the dissertation pointed out that the existing central bank's monetary policy failed to solve the liquidity problem. The author stressed that at this stage the main solution to excess liquidity is to create sufficient assets, and to freeze excessive money. Based on the natural absorbing liquidity attribute of real estate market and the stock market, the author pointed out that we should resolve the problem of excess liquidity by developing the real estate market vigorously and expanding the stock market.
引文
[1]J.L.Hanson.A Dictionary Of Economics And Commerce[M].London(UK):Pitman,1991
[2]朱庆.解读当前市场流动性过剩[J].金融理论与实践,2006,(12):13-15.
[3]任碧云 王越凤.中国流动性过剩原因辨析[J].经济理论与经济管理,2007,(2):19-25.
[4]钱小安.流动性过剩与货币调控[J].金融研究,2007,(8):15-30.
[5]鲁政委.重新审视“流动性过剩”[N].中国证券报,2006-11-24.
[6]张晋生.流动性过剩的影响、成因及对策[J].经济与管理研究,2007,(4):53-59.
[7]陆磊.论银行体系的流动性过剩[J].金融研究,2007,(1):1-11.
[8]李孟宋.从微观视角应对银行流动性过剩的对策选择[J].金融与经济,2007,(3):22-24.9
[9]张雪春.流动性过剩:现状分析与政策建议[J].金融研究,2007,(8):1-14.
[10]邵蔚.货币流动性影响资产价格的理论探讨[J].财经问题研究,2007,(3):68-73.
[11]刘焜松.中国货币供应量与股市价格的实证研究[J].管理世界,2004,(2):131-138.
[12]冯玉明.流动性过剩推动股市上扬[J].银行家.2007,(2):74-75.
[13]何双喜 李怀舟.货币政策的资产价格传导渠道研究[J].中国物价,2006,(8):40-44.
[14]华伟荣、张志伟、宋宇.我国货币政策与证券市场波动的关联性实证研究[EB/OL].http://202.93.3.70/UpFiles/Attach/1691/2004/03/04/1701118593.pdf,2004-03-4.
[15]孙华妤 马跃.中国货币政策与股票市场的关系[J].经济研究,2007,(7):44-53.
[16]刘春航 张新.“繁华预期”、流动性变化和资产价格[J].金融研究,2007,(6):1-12.
[17]周英章 孙崎岖.股市价格、货币供应量与货币政策--中国 1993--2001年的实证分析[J].石油大学学报(社会科学版),2002,(5):11-16.
[18]李红艳、汪涛.中国股市价格与货币供应量关系的实证分析[J].预测,2000,(3):37-40.
[21]谢经荣、曲波.地产泡沫与金融危机--国际经验及其借鉴[M].北京:经济管理出版社,2002.
[20]周京奎.1998-2005年我国资产价格波动机制研究--以房地产价格与股票价格互动关系为例[J].上海经济研究,2006,(4):21-29.
[21]何志专.缓解流动性过剩需调整金融市场结构[N].中国经济时报,2006.12-20.
[22]胡晔.如何化解商业银行流动性过剩[J].银行家,2006,(11):88-91.
[23]胡海鸥 张耿.对我国目前解决流动性过剩几种调控方式的反思[J].上海金融,2007,(3):42-44.
[24]Arndt,H.W.The Concept of Liquidity in International Monetary Theory[J].The Review of Economic Studies,Vol.15,No.1.(1947-1948):20-26.
[25]Friedman M.Money and the Stock Market[J].Journal of Political Economy.1996,(2):221 - 245.
[26]仝晗 朱世武.中国股市2006年牛市形成的经济因素分析[J].经济与管理研究,2007,(4):56-59.
[27]王碧峰.流动性过剩问题讨论综述[J].经济理论与经济管理,2007,(3):76-80.
[28]巴曙松.货币政策:如何应对过剩流动性冲击[N].中国经济时报,2006-07-11.
[29]Alex D.Patelis.Stock Return Predictability and The Role of Monetary Policy[J].The Journal of Finance,Vol.52,No.5,1997:1951-1972.
[30]Borio and Lowe.Asset Prices,Financial and Monetary Stability.Exploring the Nexus[N].BIS working paper,No.114,2002.
[31]Thorbecke,W.On stock market returns and monetary policy[J].Journal of Finance,1997,(52):635-654.
[32]瞿强.资产价格与货币政策[J].经济研究,2001,(7):60-67.
[33]夏杰长 董建宾.货币供应与股市价格关系的实证分析[j].当代财经,2006,(5):53-56.
[34]易纲 王召.货币政策与金融资产价格[J].经济研究,2002,(3):13-20.
[35]梁志欣.内生货币体系下货币政策与资产价格关系研究[J].生产力研究,2007,(6):32-34.
[36]吴晓求.实体经济与资产价格变动的相关性分析[J].中国社会科学,2006,(6):55-64.
[37]任兆璋 于孝建.我国流动性过剩的实证分析[J].南方金融,2007,(2):9-11.
[38]中国人民银行货币政策分析小组.二○○七年第四季度中国货币政策执行报告[EB/OL].http://www.pbc.gov.cn/detail.asp?col=100&ID=2554&keyword=中国货币政策执行报告,2008-02-22/2008-02-22.
[39]国家发改委宏观经济研究院经济形势分析课题组.宏观调控:重点调整过剩流动性的流向[EB/OL].http://news.xinhuanet.com/fortune/2007-O4/26/content 6029513.htm,2007-04-26/2007-04-26.
[2]朱庆.解读当前市场流动性过剩[J].金融理论与实践,2006,(12):13-15.
[3]任碧云 王越凤.中国流动性过剩原因辨析[J].经济理论与经济管理,2007,(2):19-25.
[4]钱小安.流动性过剩与货币调控[J].金融研究,2007,(8):15-30.
[5]鲁政委.重新审视“流动性过剩”[N].中国证券报,2006-11-24.
[6]张晋生.流动性过剩的影响、成因及对策[J].经济与管理研究,2007,(4):53-59.
[7]陆磊.论银行体系的流动性过剩[J].金融研究,2007,(1):1-11.
[8]李孟宋.从微观视角应对银行流动性过剩的对策选择[J].金融与经济,2007,(3):22-24.9
[9]张雪春.流动性过剩:现状分析与政策建议[J].金融研究,2007,(8):1-14.
[10]邵蔚.货币流动性影响资产价格的理论探讨[J].财经问题研究,2007,(3):68-73.
[11]刘焜松.中国货币供应量与股市价格的实证研究[J].管理世界,2004,(2):131-138.
[12]冯玉明.流动性过剩推动股市上扬[J].银行家.2007,(2):74-75.
[13]何双喜 李怀舟.货币政策的资产价格传导渠道研究[J].中国物价,2006,(8):40-44.
[14]华伟荣、张志伟、宋宇.我国货币政策与证券市场波动的关联性实证研究[EB/OL].http://202.93.3.70/UpFiles/Attach/1691/2004/03/04/1701118593.pdf,2004-03-4.
[15]孙华妤 马跃.中国货币政策与股票市场的关系[J].经济研究,2007,(7):44-53.
[16]刘春航 张新.“繁华预期”、流动性变化和资产价格[J].金融研究,2007,(6):1-12.
[17]周英章 孙崎岖.股市价格、货币供应量与货币政策--中国 1993--2001年的实证分析[J].石油大学学报(社会科学版),2002,(5):11-16.
[18]李红艳、汪涛.中国股市价格与货币供应量关系的实证分析[J].预测,2000,(3):37-40.
[21]谢经荣、曲波.地产泡沫与金融危机--国际经验及其借鉴[M].北京:经济管理出版社,2002.
[20]周京奎.1998-2005年我国资产价格波动机制研究--以房地产价格与股票价格互动关系为例[J].上海经济研究,2006,(4):21-29.
[21]何志专.缓解流动性过剩需调整金融市场结构[N].中国经济时报,2006.12-20.
[22]胡晔.如何化解商业银行流动性过剩[J].银行家,2006,(11):88-91.
[23]胡海鸥 张耿.对我国目前解决流动性过剩几种调控方式的反思[J].上海金融,2007,(3):42-44.
[24]Arndt,H.W.The Concept of Liquidity in International Monetary Theory[J].The Review of Economic Studies,Vol.15,No.1.(1947-1948):20-26.
[25]Friedman M.Money and the Stock Market[J].Journal of Political Economy.1996,(2):221 - 245.
[26]仝晗 朱世武.中国股市2006年牛市形成的经济因素分析[J].经济与管理研究,2007,(4):56-59.
[27]王碧峰.流动性过剩问题讨论综述[J].经济理论与经济管理,2007,(3):76-80.
[28]巴曙松.货币政策:如何应对过剩流动性冲击[N].中国经济时报,2006-07-11.
[29]Alex D.Patelis.Stock Return Predictability and The Role of Monetary Policy[J].The Journal of Finance,Vol.52,No.5,1997:1951-1972.
[30]Borio and Lowe.Asset Prices,Financial and Monetary Stability.Exploring the Nexus[N].BIS working paper,No.114,2002.
[31]Thorbecke,W.On stock market returns and monetary policy[J].Journal of Finance,1997,(52):635-654.
[32]瞿强.资产价格与货币政策[J].经济研究,2001,(7):60-67.
[33]夏杰长 董建宾.货币供应与股市价格关系的实证分析[j].当代财经,2006,(5):53-56.
[34]易纲 王召.货币政策与金融资产价格[J].经济研究,2002,(3):13-20.
[35]梁志欣.内生货币体系下货币政策与资产价格关系研究[J].生产力研究,2007,(6):32-34.
[36]吴晓求.实体经济与资产价格变动的相关性分析[J].中国社会科学,2006,(6):55-64.
[37]任兆璋 于孝建.我国流动性过剩的实证分析[J].南方金融,2007,(2):9-11.
[38]中国人民银行货币政策分析小组.二○○七年第四季度中国货币政策执行报告[EB/OL].http://www.pbc.gov.cn/detail.asp?col=100&ID=2554&keyword=中国货币政策执行报告,2008-02-22/2008-02-22.
[39]国家发改委宏观经济研究院经济形势分析课题组.宏观调控:重点调整过剩流动性的流向[EB/OL].http://news.xinhuanet.com/fortune/2007-O4/26/content 6029513.htm,2007-04-26/2007-04-26.