【作者】 陈维；

【导师】 刘晓星；

【作者基本信息】 东南大学 ， 金融学， 2015， 硕士

【摘要】 近年来,全球范围内各主要经济体宏观货币经济运行中存在一个显著特征：流动性变动幅度大——从金融危机前的流动性过剩到金融危机时的流动性短缺,再到危机后的流动性过剩问题再次凸显。与此同时,世界经济中又一大重要现象就是全球金融市场资产价格波动剧烈,并给经济运行带来了重大影响,流动性过剩及其逆转则被普遍认为是产生这一现象的重要原因。从流动性的角度考虑,流动性是如何影响资产价格波动?该如何有效地对资产价格泡沫进行监控?在当前国际经济金融形势错综复杂、几大经济体逐渐陷入低迷的国际大环境下,这不仅是一系列的理论问题,更是一系列的现实问题。本文基于流动性视角对资产价格泡沫的形成机制及其监控进行了研究,解决了以下几个问题：第一,资产价格泡沫的定义及其成因；第二,基于流动性视角,资产价格泡沫是如何形成的；第三,流动性对资产价格泡沫的作用机制能否在我国市场得到验证；第四,该如何从流动性角度出发对资产价格泡沫进行监控。关于资产价格泡沫的定义及其成因,本文基于对历史经验教训的总结,给出了本文所研究的资产价格泡沫的定义,并分析了资产价格泡沫的基本特征,从经济因素、市场因素和其他因素三个方面对资产价格泡沫的形成进行了分析,指出流动性因素是资产价格泡沫形成的重要因素之一。关于流动性视角的资产价格泡沫的形成机制,本文首先基于成因—传导渠道—影响结果这一分析思路从流动性视角对资产价格泡沫的形成进行了讨论,并提出流动性过剩引起资产价格泡沫假说。其次,为深入论证流动性对资产价格的影响,用IS-LM-BP模型对我国流动性过剩的形成机制进行了分析,并结合开放经济条件下的AD-AS模型对流动性变动对物价总水平的影响进行了探讨。最后,为验证假说,本文以房地产市场为代表,构建流动性过剩与房地产泡沫关系模型,模型推导结果表明流动性支持是资产价格泡沫形成的重要原因。关于流动性视角资产价格泡沫形成的实证检验,本文选取了我国股市和房市数据,构建双变量和多变量VAR模型,采用ADF平稳性检验、协整检验、格兰杰因果检验、VAR脉冲响应函数、方差分解等计量方法进行了实证检验,结果表明,一方面,流动性过剩程度的增加会助推资产价格的上涨；另一方面,流动性过剩会通过利率渠道、消费渠道和资产负债表渠道对资产价格产生影响,其中,消费渠道的作用最显著。关于流动性视角的资产价格泡沫监控,本文设计了资产价格泡沫监控体系,包括监测与预警机制和缓冲机制两个层面。监测与预警机制主要用指标体系来体现,以资产价格泡沫产生的根本原因为出发点,立足于对资产价格泡沫产生影响的宏观经济要素,紧紧抓住流动性作用于资产价格的传导渠道,并基于我国数据加以应用。从应用结果看,所建监测与预警指标体系可以在一定程度上验证我国资产市场的泡沫情况,对宏观与微观审慎监管有一定指导意义。缓冲机制主要从金融市场、金融机构和监管机构三方面来建立,旨在能有效控制风险,在资产价格泡沫破灭对宏观经济产生负面冲击前对市场产生作用,减弱流动性的波动,对资产价格的骤降产生缓冲效果。更多还原

【Abstract】 In recent years, there is a significant feature of the macro monetary economy in the world’s major economies:mobility fluctuates in a large range, from liquidity excess before the financial crisis to liquidity shortage in it, and then come to excess liquidity again after the crisis. At the same time, another major important phenomenon of the world economy is the global financial market asset price volatility, which influences the world economy deeply. Excess liquidity and its Reversal were widely considered to be an important reason for this phenomenon. From the perspective of fluidity, how does liquidity influence asset prices? How to monitor asset price bubbles effectively? Under the current international environment of complicated international economic and financial situation and several downturn major economies, this is not just a series of theoretical issues, but also a series of practical problems.This paper studied the formation mechanism of asset price bubbles and their monitoring based on the perspective of liquidity, aiming at solving the following questions:first, the definition and causes of asset price bubbles; second, how the asset price bubbles formed based on the perspective of liquidity; third, whether the action mechanism of liquidity on the asset price bubbles can be verified in Chinese market; forth, how to monitor the asset price bubbles from the perspective of liquidity.To the definition and causes of asset price bubbles, this paper gave the definition of asset price bubbles, and analyzed the basic characteristics of the asset price bubbles based on the summary of the lessons of history. Then we analyzed the formation of asset price bubbles from economic factors, market factors and other factors, pointing out that the liquidity factor is an important factor in the formation of asset price bubbles.About formation mechanism of asset price bubbles from the perspective of liquidity, firstly, this paper discussed the formation of asset price bubbles from a liquidity perspective based on analysis ideas of causes—ransmission channels — results. Secondly, we analyzed the formation mechanism of excess liquidity in China with the IS-LM-BP model to further demonstrate the influence of liquidity on asset prices, and discussed the impact of mobility change on general price level combined with AD-AS model under the condition of an open economy. Finally, to test the hypothesis, the paper constructed the relationship model between the excess liquidity and real estate bubbles, the derivation results showed that liquidity support was an important reason for the formation of asset price bubbles.On the empirical test of the formation of asset price bubbles from liquidity perspective, the paper selected China’s stock market and housing market data, constructed bivariate and multivariate VAR models, used empirical test such as ADF stationary test, co-integration test, Granger causality test, VAR impulse response function, variance decomposition and so on. The results showed that the increase of the level of excess liquidity would push up prices of assets, and In the formation process of asset price bubble, liquidity factors cannot be ignored.About the asset price bubbles monitoring, this paper presented an asset price bubble monitoring system, including monitoring and early warning mechanisms and buffering mechanisms. The former relied on the index system, which regarded the fundamental causes of the asset price bubble as a starting point, based on the macroeconomic factors which can impact the asset price bubbles, seized the role of liquidity in asset prices transmission channel, and applied it based on our data. The results from the application showed that the monitoring and early warning indicator system can verify the situation of China’s asset market bubble to a certain extent, and had some significance guidance on macro and micro-prudential supervision. The buffering mechanism was mainly established from three aspects of financial markets, financial institutions and regulatory bodies, aiming at controlling the risks effectively, having an effect on the market before the asset price bubble burst negative impact on the macroeconomic, reducing mobility fluctuation and producing buffering effect on asset prices plunged.更多还原