摘要
流动性问题是近几年经济学界一直探讨的热点问题,此次金融危机前后的流动性特征让我们深刻认识到,流动性过剩与流动性紧缩可以迅速相互逆转,在金融机构和金融市场间扩散,也可以通过国际贸易、资产价格等渠道进行国际传导和扩散,给各国的金融体系和实体经济带来严重的负面冲击。因此,本文在对流动性内涵概念、相关理论、度量方法和影响效应等方面进行归纳和分析的基础上,从美国、全球、中国三个视角,对流动性从过剩到紧缩的逆转机制和全球间的传导过程进行了理论分析和实证研究。
本文将金融危机下的流动性特征作为研究对象,从理论和实例角度,系统分析了流动性的概念、理论、度量、效应、逆转、传导和风险防范。第二、三章为理论分析部分,分析了流动性的内涵剖析、供求理论和度量方法,以及流动性的经济效应;第四、五、六章为实例部分,以美国、中国,部分发达国家和新兴经济体在金融危机下流动性特征为案例,层层剖析了流动性变化的具体表现和原因,流动性变化的度量,以及流动性逆转在金融机构、金融市场和实体经济中的扩散,在不同国家间的传导;第七章提出防范流动性逆转危机的具体措施。
流动性的内涵可从宏观、微观和广义、狭义两个方面,以及货币流动性、银行和金融市场流动性三个层次上来理解。流动性的供给与需求可结合传统经济学中关于货币供给和需求理论展开,但金融创新给流动性供给和需求带来了新的变化。流动性的测度方法主要包括:基于流动性供求理论的测度方法,马歇尔K值与超额货币增长率,货币主义流动性测度方法等,在微观层面的市场流动性则主要通过短期货币市场利率、股票市场指数收益率方差等指标来反映。本文在实例分析部分,分别用以上测度方法,对美国、中国和部分发达经济国家和新兴经济体国家的流动性情况进行了度量。
在流动性对微观经济和宏观经济的效应方面,流动性过剩或紧缩可通过包含资产交易的扩展货币数量论渠道、信用渠道、利率渠道和货币政策预期渠道等,对金融机构、资产和房地产市场、企业主体等微观经济进行影响。通过财富效应、托宾Q效应、信用等渠道等对经济增长、通货膨胀(紧缩)、国际收支等宏观经济运行产生效应。每一次金融危机、经济危机都伴随着流动性从过剩到紧缩,而流动性逆转也成为周期性规律。
以此次金融危机的发源地美国为研究视角,分析了流动性从过剩到紧缩逆转的具体表现和原因,以及流动性在金融机构和金融市场的扩散过程。流动性救助措施使得美国的货币流动性呈现出大幅上升的势头,在此之前并未大幅波动,但是金融机构和金融市场的流动性逆转表现的极为突出。流动性逆转的原因包括大幅波动的货币政策等宏观方面因素,也包括金融机构的高杠杆率的迅速扩张和收缩等微观方面的原因。危机中的流动性逆转通过金融机构去杠杆机制,资产价格和金融市场联动机制,风险重新评估和市场预期,金融机构流动性囤积,流动性紧缩蔓延机制在金融机构、不同金融市场间扩散。从微观金融市场的流动性分析可以看出,2007年7月末各市场流动性变量的相关性结构突然出现明显变化,危机期间,市场和银行融资流动性不足衡量指标紧紧缠绕在一起。其具体扩散过程是:抵押债券市场→货币市场→资本市场→信贷市场→实体经济。
在经济全球化背景下,美国的流动性过剩和逆转,通过金融资产、对外贸易、资本流动和心理预期等渠道,从美国向其他国家传导,流动性的国际传导刻画了当前中心-外围国际货币体系的特征。从微观和宏观角度,对美国流动性变化向欧元区、英国、加拿大等发达国家和俄罗斯、巴西、墨西哥等新兴经济体国家的传导过程进行了实证分析,分析表明美国流动性变化不仅给这些国家微观金融市场、金融机构流动性带来较大冲击,而且也对这些国家的部分宏观经济指标带来一定影响。从美国信贷和资本市场的流动性紧缩对欧洲、亚洲和其他国家的影响的具体表现来看,欧美主要发达国家的金融机构、货币市场、股票市场的流动性都呈现不同程度的紧缩;一些新兴经济体的金融机构、金融市场的流动性受到一定影响,特别是近年来外债依赖度较高的中东欧国家,但相对弱于发达国家,实体经济因发达国家经济衰退而受到较大冲击,通货膨胀压力减退,经济增速明显趋缓。
以中国为视角,重点分析了全球和美国流动性及实体经济变化给我国实体经济带来的影响。中国的货币流动性、银行流动性和市场流动性也经历了从过剩到紧缩的过程,货币流动性紧缩更多是由货币政策所致,银行系统和金融市场流动性受冲击但影响不大,但全球和美国流动性及实体经济变化给我国实体经济带来了巨大的影响。通过VAR冲击模型实证分析了全球和美国流动性变化、产出变化和物价水平变化,对我国经济运行中GDP指标、物价水平、广义超额货币、实际有效汇率、贸易收支和股价指数的影响和传导。美国、欧洲等国家消费需求下降,出口增长放缓;导致国内资产价格下滑,外贸增速大幅下降,制造业面临的经营压力将沿着产业链进行传导,加重了我国经济下行的压力。
通过对以美、英和欧盟为代表的发达国家,以金砖四国为代表的新兴经济体和发展中国家,在应对全球金融危机中对流动性逆转采取的有关措施进行具体分析,详细阐述应对流动性逆转风险的有效措施,以及下一步针对流动性管理的主要启示和方法。
In recent years, Liquidity has become a hot issue in the economic circles. The liquidity characteristics of this financial crisis had made us profoundly aware the excess liquidity and crunch of liquidity could be quickly reversed, and diffused among financial institutions and markets, and also can be transmitted and spread internationally through channels like international trade, asset prices and etc, therefore, caused negative impacts to financial system and real economy. By means of analysis and summary about the liquidity concepts, relevant theories, measuring methods and the effects, this thesis attempts to carry on theoretical analysis and empirical research from the US, global and China perspectives differently, and tries to explore the reverse mechanism from excess to crunch and the transmission process.
In this paper, the concepts of liquidity, theories, measuring, effects, reverse, transmissions and risk preventions were systemically analyzed through theoretical and practical perspectives. The main structure of this paper consists of two parts: theoretical analysis was mainly conducted in the first part, which including chapter 1 and 2, in this part the analysis was focusing on the connotation of liquidity, the supply and demand theory, the measuring methods, as well as micro-and macro-economic effects, and then proposed that the periodic reversal of liquidity was the concrete manifestation of the financial crisis; the second part, including the chapter 4,5,6 and 7, which cases analysis were made mainly in this part. Combined with the financial crisis, as well as from the US, developed-new emerging economies and China three different perspectives, it further analyzed the specific performance of liquidity reversal from excess to crunch, transmission processes and responding measures.
The connotation of liquidity can be understood from two aspects of the macro-micro and broad-narrow, as well as on three levels of the monetary liquidity, the banking and financial market liquidity. Liquidity supply and demand can be analyzed combined with traditional economics money supply and demand theory, but the financial innovation had brought changes to the liquidity supply and demand. The measuring methods of liquidity mainly includes: the measuring methods based on the supply and demand theory, Marshall K value and the excess money growth rate, monetarism liquidity measuring methods and etc, at the micro level, market liquidity was mainly reflected by short-term money market interest rates, stock market index yield variance and other indicators. In this paper, the above methods were used in the cases analysis, to measure liquidity of the United States, China and some developed countries and new emerging economies.
Regarding the liquidity effects on the micro and macro economy, by means of expansion of money quantity theory channel which including assets transactions, credit channel, interest rate channel and money policy expectation channel, liquidity excess or crunch may have effects on micro economy through financial institution, assets and real estate market, enterprise entity and so on. By means of wealth effect, Tobin Q Effect, credit and other channels, liquidity have effects on macro economy through economic growth, inflation (deflation), balance of payments and etc. Every financial crisis and economic crisis comes along with the liquidity reverse: from excess to crunch and the liquidity reversal has also become a periodic law.
From the perspective of US where crisis originated, the specific performance and reasons of liquidity from excess to crunch, as well as the liquidity spread process among the financial institutions and markets were detailed discussed and analyzed. Liquidity relief measures has made the currency liquidity of US showing a sharp rise, which did not happened before, but the liquidity reversal occurred in financial institutions and financial market liquidity was extremely prominent. The reason of liquidity reversal includes currency policy sharp fluctuations and other macro-economy factors, and the micro economy factors such as financial institutions rapid expansion and contraction on highly leverage ratio are also included. During the crisis, through financial institution deleveraging mechanism, asset prices and financial market linkage mechanism, risk re-evaluation and market expectations, financial institutions liquidity hoarding and liquidity crunch transmission mechanism, the reversal spread among financial institutions and different financial markets. From the analysis of micro-finance market liquidity, it can be found that at the end of July 2007, the relevant structure of liquidity variables in different markets had sudden and significant change, during the crisis, the measurement index to the lack of liquidity in market and bank financing were closely intertwined. The specific spread process is: mortgage bond market→money market→capital market→credit markets→real economy.
In the context of economic globalization, the US liquidity excess and reversal were transmitted to other countries through channels like the financial assets, foreign trade, capital flows and psychological expectation, the liquidity international conduction shows the characteristics of current center-outside international monetary system. From the micro and macro perspectives, the empirical analysis were made to the transmission process of US liquidity changes between the Euro zone, Britain, Canada and other developed countries, as well as Russia, Brazil, Mexico and other emerging economies, and the result shows the US liquidity changes not only impacted the micro-finance market, financial institutions seriously, but also impacted certain macroeconomic indicators of these countries. From the U.S. credit and capital market liquidity crunch influences on the Europe, Asia and other countries, the financial institutions and markets in major developed countries of Europe and the United States are varying degree impacted and the real economy fallen into recession; although some financial institutions and markets in new emerging economies were impacted to certain extent, especially middle and east Europe countries which highly depended on foreign debt in recent years, the impact were much less than developed countries, on the other side, the real economy in the new emerging economies has been went through serious impact which lead to the ease of inflation pressure and economic growth slow down significantly.
From the China’s perspective, the analysis was focusing on impact to Chinese real economy caused by the global and U.S liquidity and real economy changes. China's currency liquidity, bank liquidity and market liquidity had also experienced the process from excess to crunch. The currency liquidity crunch was more frequently caused by monetary police, so the banking system and financial market liquidity were impacted but little affected. However, the global and US liquidity changes in the real economy has brought great impacts to the China’s real economy. Through the VAR shock model, an empirical analysis is made on the global and US liquidity, output and price changes, and further more their impacts and transmission to China’s economic indicators, such as GDP, price levels, M1, the real effective exchange rate, trade balance and the stock index. The export growth slowed down caused by the consuming demand decline of US and some Europe countries has led to the domestic asset prices decline, foreign trade growth rate dropped sharply, therefore, the pressure faced by manufacturing industry would have to be transmitted along with the industrial chain, adding the downward pressure to China’s economy.
Through the specific analysis to the relevant measures in responding to the liquidity reversal in the global financial crisis taken by the US, Britain and the EU which representing the developed countries, as well as the Golden BRIC countries which representing new emerging economies and developing countries, it was detailed described in the paper that the effective measures responding to the reverse risk and the main inspiration and methods for the following liquidity management.
引文
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