流动性与资产价格波动
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摘要
近年来,我国的流动性水平失衡现象日益严峻,流动性不足和流动性过剩已经成为资产市场发展过程中相互交替出现的现象,在二者交替出现形成的资产价格波动已经对资产市场平稳健康的发展构成了严重的威胁。在我国最近几年的发展过程中,流动性失衡分别通过货币市场、商品市场、资产市场表现出来,且主要以流动性过剩的形式出现。在货币市场主要表现为货币供给量增长迅速,金融机构流动性充足；在商品市场主要表现为国内消费需求不足,存在通胀的压力；在资产市场表现为资产价格高涨,泡沫化严重。但随着美国的次贷危机爆发,全球资本市场又经历了巨幅下跌,特别是我国A股市场的跌幅最大,最高跌幅达73%；全球经济一下又陷入了“流动性不足”。各国出台的经济政策无不是以恢复流动性为政策之首。在短短的不到一年的时间内,全球经济虽然从目前来说触底反弹还为时尚早,但是我们不可否认在各国各种经济政策的刺激下,全球的流动性似乎又开始充裕起来(特别是在我国,流动性泛滥似乎又开始出现苗头)。在流动性的起伏变化下,资产价格(本文定义为股票和房地产价格)也随着流动性的变化出现了波动,这种因流动性的变化而引起的资产价格的波动对整个全球经济的发展都造成了严重影响。
流动性出现变化会对哪些方面产生影响呢?本文对我国近年来流动性水平从不同的视角进行分析。因近年来我国整体上处于流动性充裕的状态,即使在2008年经历了短暂的“流动性不足”,但经过政府实施积极的货币政策和财政政策,流动性得到了迅速的恢复,因此从不同的视角来分析流动性水平在我国货币市场、商品市场以及资本市场的表现,则主要分析近年来我国在流动性充裕甚至过剩的情况下,流动性水平在我国货币市场、商品市场以及资本市场的表现。在货币市场,流动性水平主要表现为货币供给量增长迅速,金融机构流动性充足；在商品市场,流动性水平主要表现为国内消费不足,存在通胀压力；在资本市场,流动性水平主要表现为资产价格高涨,泡沫化现象严重。2008年出现的流动性不足持续时间虽然短暂,但是如果不及时采取措施,对市场进行流动性注入,那么经济可能陷入衰退,造成严重的社会影响。因此,本文对2008年出现的流动性紧缩在我国的宏观表现以及流动性出现逆转的形成机理进行了简单的分析,使我们对流动性不足有比较充分的认识和了解。
从流动性水平的多视角分析我们基本能够得出结论——流动性与资产价格之间存在一定的关系,那么这种关系该如何表述呢?
“流动性过剩”或“流动性不足”以及“流动性在二者之间的变化趋势”反映的都是一种或宽松或者紧缩的货币环境,而资产价格在不同的货币政策环境中的变化特征不仅是货币政策执行者关心的问题,也是投资者关注的焦点。因此本文要对流动性(即货币流动性)对资产价格的影响进行分析。流动性对资产价格的影响理论分析如下：首先,货币政策的传导机制告诉我们——流动性的提高会引起短期利率的下降；短期利率下降又会引起长期名义利率的下降；长期利率的下降引起股票价格上涨。其次,货币数量理论及新古典理论表明,在未充分就业的情况下,流动性增加,会带来产出的增加,物价指数不会出现大幅的波动,资产价格保持平稳。在已经达到充分就业的情况下,流动性继续增加,其产出不会随着流动性继续增加而出现增加,在流动性继续增加的情况下,货币的流动性就会高于经济的需要,从而出现流动性过剩。在物价指数保持相对稳定的情况下,那么过剩流动性就会流向资产,资产价格就会上涨。
资产在流动性的变化趋势下出现资产价格重估,主要是因为流动性在变化的趋势中同时改变了资产的盈利能力和投资者所要求的资产回报率,而这二者恰好是决定资产价格的重要因素。
通过对美国和日本的实证分析,在发达国家,货币流动性与资产价格之间基本存在正相关关系。为了证实我国的货币流动性与资产价格之间的关系,本文以1998年第一季度至2008年第四季度为时间段(其中2007年第三季度为我国房地产市场的价格开始出现下滑,流动性已经开始出现拐点),用M2/GDP衡量流动性变化,选取全国房屋销售价格指数作为房地产市场回报指标,选取上证综合指数作为股票市场回报指标,选取银行间同业拆借的平均利率作为债券类资产固定收益回报指标,通过对上述指标建立实证方程验证我国的货币流动性与资产价格之间的关系,验证的结果是我国的货币流动性与资产价格之间同样存在一定正相关关系。为了进一步验证这种关系,本文进一步对我国货币流动性与资产回报率相关性进行了实证分析,统计分析的结果与我们猜想一致,货币流动性与股票和房地产回报率呈正比例关系,货币流动性与资产价格之间关系进一步得到了验证。
在证实了流动性与资产价格之间的关系后,可以明确近年来我国资产价格的波动与流动性存在相关性,特别是流动性过剩引起的资产价格波动需要引起我们的注意。为了分析资产价格波动的效应,本文先分析了引起我国流动性水平变化的决定因素。
我国流动性水平的高低目前主要是由国际和国内背景的相互影响下导致的结果。首先是国际因素：大量的国际热钱进入通过各种渠道进入国内市场,而在国内市场中,热钱又大量的涌进房地产市场和股票市场。这类热钱导致我国市场上游资泛滥,很大程度上加剧了流动性水平的上升。此外世界性的超宽松货币政策在刺激了世界经济复苏的同时,也带来了逐渐泛滥的流动性资金,并带动了美、英、法等国家房地产价格的快速上升和国际市场大宗商品价格的快速上涨,致使通货膨胀压力日益集聚；同时在世界经济一体化的背景下,流动性泛滥到世界的各个角落。其次是国内因素：随着改革开放的逐步深入及经济的快速发展,目前货币化进程已经逐步放慢并处于结束的过程中,因货币化进程因素而产生的对货币需求的影响正在逐步消失；而我国货币当局在这一过程中可能并没有意识到这一点,货币供给仍然保持较高的增长速度；我国当前的汇率制度虽然已进行改革,但是仍然缺乏灵活性,导致我国的货币政策被人民币汇率政策所“挟持”,独立性已经越来越被削弱,而“双顺差”的持续增大导致外汇储备过多,进而导致外汇占款渠道的货币供应量过度发放；我国特有的利率管制制度和居民保持较高储蓄率的心态为银行带来了非常充裕的可贷资金进行存款创造；我国资本与劳动的分配结构失衡,社会总生产与总消费失衡,导致国内消费不足；同时我国目前快速的城市化进程中引起的资产货币化和经济发展进程中创造的大量财富,而这些财富最终都要以货币的形式来表现,货币供给出现高速增长；最主要的是我国的资本市场不完善,金融市场结构性失衡,现有的资本市场和金融市场难消化经济快速发展过程中产生的流动性。上述原因导致我国的货币供应量—方面过度过快的增长,另一方面过度的货币供应量无法快速及时地转化,两个方面直接决定了我国流动性水平的高低。
在分析了决定流动性水平的因素后,本文探讨和分析流动性如何在宏观领域中,通过作用资产价格的变化来影响消费和投资,并最终影响实体经济的过程与传导机制,并寻找流动性与资产价格波动之间的相互联系。资产价格的波动的效应通过对消费和投资的影响,从而对企业部门、私人部门以及金融部门产生影响。当流动性进一步加剧,资产价格的波动达到非理性的程度就会形成资产价格泡沫,资产价格泡沫会严重威胁我国金融体系的稳定,有可能导致金融危机的发生。美国次贷危机教训应作为我国的前车之鉴,流动性过剩是引起资产价格泡沫的主要原因之一,而资产价格泡沫的膨胀导致了美国本轮次贷危机,严重影响了该国的经济发展。
因此对于因流动性引起资产价格波动的治理,我国政府在制定相关政策的目标应该是保持资产价格的相对平稳,为保持资产价格的相对平稳,也就需要保持一个相对稳定的流动性——“流动性过剩”或“流动性不足”都是我们需要进行治理的对象。就宏观流动性过剩来说,应采用治本的办法,从解决外部输入性宏观流动性过剩的源头着手;至于微观流动性紧缩,应采用区别对待的原则以保证实体经济和金融市场中保有宽裕的流动性。这样有针对性的政策措施才能真正的解决流动性失衡的问题,使资产价格保持相对的平稳,才有利于经济的恢复和发展。因此本文提出了在流动性已经过剩的情况下,短期内我们应该缓解流动性过剩,使资产价格平稳挤出泡沫；长期内通过市场的建设、制度的完善以及经济结构的调整来从根本上治理流动性失衡,保持资产价格相对平稳。
本文得出的结论：
(1)从不同的视角来分析流动性水平在我国货币市场、商品市场以及资本市场的表现,则主要分析近年来我国在流动性充裕甚至过剩的情况下,流动性水平在我国货币市场、商品市场以及资本市场的表现；并简单分析了我国在2008年面临流动性紧缩下的宏观经济表现以及流动性逆转的形成机理。
(2)“流动性过剩”或“流动性不足”以及“流动性在二者之间的变化趋势”反映的都是一种或宽松或者紧缩的货币环境。而资产正是在流动性的变化趋势下出现资产价格重估,主要是因为流动性在变化的趋势中同时改变了资产的盈利能力和投资者所要求的资产回报率,而这二者恰好是决定资产价格的重要因素,因此流动性水平与资产价格波动有正相关关系。
(3)流动性在宏观领域中,通过作用资产价格的变化来影响消费和投资,并最终影响实体经济的过程与传导机制,并试图找寻出流动性与资产价格波动之间的相互联系。
(4)对于因流动性引起资产价格波动的治理,我国政府在制定相关政策的目标应该是保持资产价格的相对平稳,为保持资产价格的相对平稳,也就需要保持一个相对稳定的流动性——“流动性过剩”或“流动性不足”都是我们需要进行治理的对象。
This paper endeavours to provide a comprehensive analysis of the nature and the possible importance of "excess liquidity", a concept which has attracted considerable attention in recent years. "The excess liquidity" reflects in three places:money market, commodity market and capital market. In money market, it embodies that money supply increase rapidly, and there is plenty of liquidity exist in financial institutes; In commodity market, the demand of domestic consume is insufficient and the pressure of inflation is high; In capital market, the asset price was soaring and the "bubble" existed. However, in late 2008, following with the U.S. "sub-prime crisis", global capital market experienced huge decline, and Chinese stock market is not a except with a maximum of 73% decline in the end of 2008. It seems that global economy suddenly dropped into a situation of "liquidity shortage".
The plans issued by every government are all in one common:to recover the liquidity. During one year period, it is too early to say that the global economy has touched the bottom and bounce back up, whereas, in the irritation of economy policy, the global liquidity seems get ample back again, especially in China. Following with the change of liquidity, the asset price (defined by stock and housing price in this thesis) is also experiencing volatility, which largely affects the development of global economy.
The variation of liquidity is disscussed by examining the liquidity condition in China during recent years. Depite of short time of "liquidity shortage" in 2008, the liquidity recover to nomal rapidly due to the expanding monetary policy and active fiscal policy laid down by government. In the three markets, i.e. money market, commodity market and financial market, "The excess liquidity" is embodied in different forms. We concluded that there exist relationship between liquidity and asset price.
Whether the forms of "liquidity shortage", "excess liquidity" or "the transition of liqudity between them" reflect a kind of relax or tight money environment, and both executor and investor concern the character of changing asset price under different monetary policies. The theoretic relationship between the liquidity and asset price is addressed in the follows:the transmission mechanism of money policy told us that the increase of liquidity would induce the decrease of short term interest rate, which causing the decline of long term nominal interest rate and then causing the rising of stock price. The quantity theory of money and neoclasical economic theory demonstrate that in underemployed condition, the rising of liquidity would increase the outputs and the CPI would not largely fluctuate and asset price remain stable. However, in full employment condition, output would not rise together with the incease of excess liquidity, and the excess liquidity would flow into asset market and casuse the rising of asset price.
The"excess liquidity" can affect the determinants of asset value and cause the revaluation of the asset (lower risk free rate of return, lower risk premium and temporal higher earning power of asset). In this process, the investor would revaluate the asset upward and push the asset price soaring. When this process proceeds, the likelihood of asset bubble is increasing. We test the relationship between the returns of three kinds of asset (stock, real asset and bond) and the currency liquidity by using the quarterly data in China during the period between 1998 to 2008. The results show that the stock and real estate return have positive relationship with currency liquidity, while the bond rerun have negative relationship.
After testing the relationship between liquidity and asset price, we conclude the reasons of "excess liquidity" in the following:
Global background factors:
Huge amount of "hot money"swarms into China's capital market, casusing the liquidity to be excess and pushing the asset price to soar.
The expansionary monetary policy performed by majority of governments pour the economy in too much liquidity.
The enhanced process of globalization to reinforce and redistribute the "excess liquidity" from westen countries to China.
Domestic background factors:
The currency demand caused by monetization in China's economy is declining, while the authority still increase the currency supply irrelevantly;
The currency demand caused by monetization in China's economy is declining, while the authority still increase the currency supply irrelevantly;
The exchange rate system in China is improving but still lack flexibility, which cause that foreign currency exchange force the increase of currency supply.
The "global excess liquidity" exists in many counties. Much foreign "hot moeny"which speculates the appreciation of RMB and China's capital market swarms into china and increase foreign currency reserve considerablely.
The increase of GDP in China depends on international trade largely which cause a huge foreign trade surplus.
The structure of the financial market is unbalance. The currency can not be transferred into capital timely and overstock in the banking system, which intensifies the excess liquidity.
The interest rate controlling system and high reserve mental of Chinese people bring the bank of plenty of loanable funds.
All the above reasons cause the excessive increase of currency supply, which lead to "excess liquidity".
In macro economy, the "excess liquidity" normally can be absorbed by two channels:One of them is absorbed by commodity market which can cause inflation; the other is absorbed by capital market and increase the asset price. The CPI in China has been kept comparatively stable during recent periods; it is assumed that the excess liquidity has run into the capital market. When the supply of these assets is limited, the irrational booming of the asset price is inevitable.
Asset price bubble will be formed when the irrational rising of the asset price reaches a certain extent, which could threaten the security of our financial market and even cause economic crisis. What happened in USA and Japan has given us some good examples and should be carefully studied.
The Chinese government should lay down active strategies to control the "excess liquidity" and prevent the further growth of asset price bubbles. In the short run, it is crucial to avoid pricking the bubbles by using monetary policies, controlling the credit supply strictly, increasing the supply of the stock market to control the "excess liquidity", laying down the transparent policy to form stable and steady expectations. At the same time, adequate preparation is crucial for increasing the liquidity once the asset price bubbles breaks. In the long run, it is ought to expand and improve the capital market, establishing and perfecting financial system, pushing the interest rate and exchange rate to be more market-oriented, adjusting investment, increasing consumption, reducing trade surplus.
流动性出现变化会对哪些方面产生影响呢?本文对我国近年来流动性水平从不同的视角进行分析。因近年来我国整体上处于流动性充裕的状态,即使在2008年经历了短暂的“流动性不足”,但经过政府实施积极的货币政策和财政政策,流动性得到了迅速的恢复,因此从不同的视角来分析流动性水平在我国货币市场、商品市场以及资本市场的表现,则主要分析近年来我国在流动性充裕甚至过剩的情况下,流动性水平在我国货币市场、商品市场以及资本市场的表现。在货币市场,流动性水平主要表现为货币供给量增长迅速,金融机构流动性充足；在商品市场,流动性水平主要表现为国内消费不足,存在通胀压力；在资本市场,流动性水平主要表现为资产价格高涨,泡沫化现象严重。2008年出现的流动性不足持续时间虽然短暂,但是如果不及时采取措施,对市场进行流动性注入,那么经济可能陷入衰退,造成严重的社会影响。因此,本文对2008年出现的流动性紧缩在我国的宏观表现以及流动性出现逆转的形成机理进行了简单的分析,使我们对流动性不足有比较充分的认识和了解。
从流动性水平的多视角分析我们基本能够得出结论——流动性与资产价格之间存在一定的关系,那么这种关系该如何表述呢?
“流动性过剩”或“流动性不足”以及“流动性在二者之间的变化趋势”反映的都是一种或宽松或者紧缩的货币环境,而资产价格在不同的货币政策环境中的变化特征不仅是货币政策执行者关心的问题,也是投资者关注的焦点。因此本文要对流动性(即货币流动性)对资产价格的影响进行分析。流动性对资产价格的影响理论分析如下：首先,货币政策的传导机制告诉我们——流动性的提高会引起短期利率的下降；短期利率下降又会引起长期名义利率的下降；长期利率的下降引起股票价格上涨。其次,货币数量理论及新古典理论表明,在未充分就业的情况下,流动性增加,会带来产出的增加,物价指数不会出现大幅的波动,资产价格保持平稳。在已经达到充分就业的情况下,流动性继续增加,其产出不会随着流动性继续增加而出现增加,在流动性继续增加的情况下,货币的流动性就会高于经济的需要,从而出现流动性过剩。在物价指数保持相对稳定的情况下,那么过剩流动性就会流向资产,资产价格就会上涨。
资产在流动性的变化趋势下出现资产价格重估,主要是因为流动性在变化的趋势中同时改变了资产的盈利能力和投资者所要求的资产回报率,而这二者恰好是决定资产价格的重要因素。
通过对美国和日本的实证分析,在发达国家,货币流动性与资产价格之间基本存在正相关关系。为了证实我国的货币流动性与资产价格之间的关系,本文以1998年第一季度至2008年第四季度为时间段(其中2007年第三季度为我国房地产市场的价格开始出现下滑,流动性已经开始出现拐点),用M2/GDP衡量流动性变化,选取全国房屋销售价格指数作为房地产市场回报指标,选取上证综合指数作为股票市场回报指标,选取银行间同业拆借的平均利率作为债券类资产固定收益回报指标,通过对上述指标建立实证方程验证我国的货币流动性与资产价格之间的关系,验证的结果是我国的货币流动性与资产价格之间同样存在一定正相关关系。为了进一步验证这种关系,本文进一步对我国货币流动性与资产回报率相关性进行了实证分析,统计分析的结果与我们猜想一致,货币流动性与股票和房地产回报率呈正比例关系,货币流动性与资产价格之间关系进一步得到了验证。
在证实了流动性与资产价格之间的关系后,可以明确近年来我国资产价格的波动与流动性存在相关性,特别是流动性过剩引起的资产价格波动需要引起我们的注意。为了分析资产价格波动的效应,本文先分析了引起我国流动性水平变化的决定因素。
我国流动性水平的高低目前主要是由国际和国内背景的相互影响下导致的结果。首先是国际因素：大量的国际热钱进入通过各种渠道进入国内市场,而在国内市场中,热钱又大量的涌进房地产市场和股票市场。这类热钱导致我国市场上游资泛滥,很大程度上加剧了流动性水平的上升。此外世界性的超宽松货币政策在刺激了世界经济复苏的同时,也带来了逐渐泛滥的流动性资金,并带动了美、英、法等国家房地产价格的快速上升和国际市场大宗商品价格的快速上涨,致使通货膨胀压力日益集聚；同时在世界经济一体化的背景下,流动性泛滥到世界的各个角落。其次是国内因素：随着改革开放的逐步深入及经济的快速发展,目前货币化进程已经逐步放慢并处于结束的过程中,因货币化进程因素而产生的对货币需求的影响正在逐步消失；而我国货币当局在这一过程中可能并没有意识到这一点,货币供给仍然保持较高的增长速度；我国当前的汇率制度虽然已进行改革,但是仍然缺乏灵活性,导致我国的货币政策被人民币汇率政策所“挟持”,独立性已经越来越被削弱,而“双顺差”的持续增大导致外汇储备过多,进而导致外汇占款渠道的货币供应量过度发放；我国特有的利率管制制度和居民保持较高储蓄率的心态为银行带来了非常充裕的可贷资金进行存款创造；我国资本与劳动的分配结构失衡,社会总生产与总消费失衡,导致国内消费不足；同时我国目前快速的城市化进程中引起的资产货币化和经济发展进程中创造的大量财富,而这些财富最终都要以货币的形式来表现,货币供给出现高速增长；最主要的是我国的资本市场不完善,金融市场结构性失衡,现有的资本市场和金融市场难消化经济快速发展过程中产生的流动性。上述原因导致我国的货币供应量—方面过度过快的增长,另一方面过度的货币供应量无法快速及时地转化,两个方面直接决定了我国流动性水平的高低。
在分析了决定流动性水平的因素后,本文探讨和分析流动性如何在宏观领域中,通过作用资产价格的变化来影响消费和投资,并最终影响实体经济的过程与传导机制,并寻找流动性与资产价格波动之间的相互联系。资产价格的波动的效应通过对消费和投资的影响,从而对企业部门、私人部门以及金融部门产生影响。当流动性进一步加剧,资产价格的波动达到非理性的程度就会形成资产价格泡沫,资产价格泡沫会严重威胁我国金融体系的稳定,有可能导致金融危机的发生。美国次贷危机教训应作为我国的前车之鉴,流动性过剩是引起资产价格泡沫的主要原因之一,而资产价格泡沫的膨胀导致了美国本轮次贷危机,严重影响了该国的经济发展。
因此对于因流动性引起资产价格波动的治理,我国政府在制定相关政策的目标应该是保持资产价格的相对平稳,为保持资产价格的相对平稳,也就需要保持一个相对稳定的流动性——“流动性过剩”或“流动性不足”都是我们需要进行治理的对象。就宏观流动性过剩来说,应采用治本的办法,从解决外部输入性宏观流动性过剩的源头着手;至于微观流动性紧缩,应采用区别对待的原则以保证实体经济和金融市场中保有宽裕的流动性。这样有针对性的政策措施才能真正的解决流动性失衡的问题,使资产价格保持相对的平稳,才有利于经济的恢复和发展。因此本文提出了在流动性已经过剩的情况下,短期内我们应该缓解流动性过剩,使资产价格平稳挤出泡沫；长期内通过市场的建设、制度的完善以及经济结构的调整来从根本上治理流动性失衡,保持资产价格相对平稳。
本文得出的结论：
(1)从不同的视角来分析流动性水平在我国货币市场、商品市场以及资本市场的表现,则主要分析近年来我国在流动性充裕甚至过剩的情况下,流动性水平在我国货币市场、商品市场以及资本市场的表现；并简单分析了我国在2008年面临流动性紧缩下的宏观经济表现以及流动性逆转的形成机理。
(2)“流动性过剩”或“流动性不足”以及“流动性在二者之间的变化趋势”反映的都是一种或宽松或者紧缩的货币环境。而资产正是在流动性的变化趋势下出现资产价格重估,主要是因为流动性在变化的趋势中同时改变了资产的盈利能力和投资者所要求的资产回报率,而这二者恰好是决定资产价格的重要因素,因此流动性水平与资产价格波动有正相关关系。
(3)流动性在宏观领域中,通过作用资产价格的变化来影响消费和投资,并最终影响实体经济的过程与传导机制,并试图找寻出流动性与资产价格波动之间的相互联系。
(4)对于因流动性引起资产价格波动的治理,我国政府在制定相关政策的目标应该是保持资产价格的相对平稳,为保持资产价格的相对平稳,也就需要保持一个相对稳定的流动性——“流动性过剩”或“流动性不足”都是我们需要进行治理的对象。
This paper endeavours to provide a comprehensive analysis of the nature and the possible importance of "excess liquidity", a concept which has attracted considerable attention in recent years. "The excess liquidity" reflects in three places:money market, commodity market and capital market. In money market, it embodies that money supply increase rapidly, and there is plenty of liquidity exist in financial institutes; In commodity market, the demand of domestic consume is insufficient and the pressure of inflation is high; In capital market, the asset price was soaring and the "bubble" existed. However, in late 2008, following with the U.S. "sub-prime crisis", global capital market experienced huge decline, and Chinese stock market is not a except with a maximum of 73% decline in the end of 2008. It seems that global economy suddenly dropped into a situation of "liquidity shortage".
The plans issued by every government are all in one common:to recover the liquidity. During one year period, it is too early to say that the global economy has touched the bottom and bounce back up, whereas, in the irritation of economy policy, the global liquidity seems get ample back again, especially in China. Following with the change of liquidity, the asset price (defined by stock and housing price in this thesis) is also experiencing volatility, which largely affects the development of global economy.
The variation of liquidity is disscussed by examining the liquidity condition in China during recent years. Depite of short time of "liquidity shortage" in 2008, the liquidity recover to nomal rapidly due to the expanding monetary policy and active fiscal policy laid down by government. In the three markets, i.e. money market, commodity market and financial market, "The excess liquidity" is embodied in different forms. We concluded that there exist relationship between liquidity and asset price.
Whether the forms of "liquidity shortage", "excess liquidity" or "the transition of liqudity between them" reflect a kind of relax or tight money environment, and both executor and investor concern the character of changing asset price under different monetary policies. The theoretic relationship between the liquidity and asset price is addressed in the follows:the transmission mechanism of money policy told us that the increase of liquidity would induce the decrease of short term interest rate, which causing the decline of long term nominal interest rate and then causing the rising of stock price. The quantity theory of money and neoclasical economic theory demonstrate that in underemployed condition, the rising of liquidity would increase the outputs and the CPI would not largely fluctuate and asset price remain stable. However, in full employment condition, output would not rise together with the incease of excess liquidity, and the excess liquidity would flow into asset market and casuse the rising of asset price.
The"excess liquidity" can affect the determinants of asset value and cause the revaluation of the asset (lower risk free rate of return, lower risk premium and temporal higher earning power of asset). In this process, the investor would revaluate the asset upward and push the asset price soaring. When this process proceeds, the likelihood of asset bubble is increasing. We test the relationship between the returns of three kinds of asset (stock, real asset and bond) and the currency liquidity by using the quarterly data in China during the period between 1998 to 2008. The results show that the stock and real estate return have positive relationship with currency liquidity, while the bond rerun have negative relationship.
After testing the relationship between liquidity and asset price, we conclude the reasons of "excess liquidity" in the following:
Global background factors:
Huge amount of "hot money"swarms into China's capital market, casusing the liquidity to be excess and pushing the asset price to soar.
The expansionary monetary policy performed by majority of governments pour the economy in too much liquidity.
The enhanced process of globalization to reinforce and redistribute the "excess liquidity" from westen countries to China.
Domestic background factors:
The currency demand caused by monetization in China's economy is declining, while the authority still increase the currency supply irrelevantly;
The currency demand caused by monetization in China's economy is declining, while the authority still increase the currency supply irrelevantly;
The exchange rate system in China is improving but still lack flexibility, which cause that foreign currency exchange force the increase of currency supply.
The "global excess liquidity" exists in many counties. Much foreign "hot moeny"which speculates the appreciation of RMB and China's capital market swarms into china and increase foreign currency reserve considerablely.
The increase of GDP in China depends on international trade largely which cause a huge foreign trade surplus.
The structure of the financial market is unbalance. The currency can not be transferred into capital timely and overstock in the banking system, which intensifies the excess liquidity.
The interest rate controlling system and high reserve mental of Chinese people bring the bank of plenty of loanable funds.
All the above reasons cause the excessive increase of currency supply, which lead to "excess liquidity".
In macro economy, the "excess liquidity" normally can be absorbed by two channels:One of them is absorbed by commodity market which can cause inflation; the other is absorbed by capital market and increase the asset price. The CPI in China has been kept comparatively stable during recent periods; it is assumed that the excess liquidity has run into the capital market. When the supply of these assets is limited, the irrational booming of the asset price is inevitable.
Asset price bubble will be formed when the irrational rising of the asset price reaches a certain extent, which could threaten the security of our financial market and even cause economic crisis. What happened in USA and Japan has given us some good examples and should be carefully studied.
The Chinese government should lay down active strategies to control the "excess liquidity" and prevent the further growth of asset price bubbles. In the short run, it is crucial to avoid pricking the bubbles by using monetary policies, controlling the credit supply strictly, increasing the supply of the stock market to control the "excess liquidity", laying down the transparent policy to form stable and steady expectations. At the same time, adequate preparation is crucial for increasing the liquidity once the asset price bubbles breaks. In the long run, it is ought to expand and improve the capital market, establishing and perfecting financial system, pushing the interest rate and exchange rate to be more market-oriented, adjusting investment, increasing consumption, reducing trade surplus.
引文
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20、刘震、张惠,2006,《解决银行业流动性过剩的根本——改善金融生态》[J],财经科学,2006(7)
21、鲁政委,2006,《重新审视“流动性过剩》[N],中国证券报,2006-11-24
22、曾康霖,2007,《关于流动性过剩研究视角》[J],财贸经济,2007(1)
23、曾康霖,2004,《传统金融理论模式的再认识——金融与实体经济分离的初步分析》[J],经济学家,2004(3)
24、易纲,1996,《中国的货币、银行和金融市场：1984-1993》,上海三联书店,1996
25、秦朵,1997,《改革以来的货币需求关系》[J],经济研究,1997,(10)
26、吴建军,2004,《我国M2/GDP过高的原因：基于收入分配差距的分析》[J],《经济学家》,2004年第1期
27、李扬,2001,《货币化程度高,资本化程度低,资本市场任重道远》[N],中华工商时报,2001年1月12日
28、刘明志,2001,《中国的M2/GDP(1980-2000)：趋势、水平和影响因素》[J],《经济研究》,2001年第2期
29、铃木淑夫：《现代日本金融论》,上海三联出版社,1990
30、王子明：《泡沫与泡沫经济非均衡分析》,北京大学出版社,2002
31、黄名坤：《泡沫经济理论与实证研究》,南开大学博士论文,2002
32、万解秋、徐涛,2001,《货币供给的内生性与货币政策的效率——兼评我国当前货币政策的有效性》[J],经济研究,2001年第3期
33、谢平、俞乔,1996,《中国市场过程中货币总量控制》[J],金融研究,1996年第3期
34、宁咏,《内生货币供给——理论假说与经验事实》,经济科学出版社,2000
35、孙伯银：《货币供给内生的逻辑》,中国金融出版社,2003
36、周晓明、朱光健,2002,《资本流动对我国货币供给的影响与对策》[J]国际金融研究,2002(9)
37、王建,2003,《货币增长过快、泡沫化美元与人民币汇率的关系问题》[J],经济管理文摘,2003(18)
38、朱孟楠、黄晓东,2005,《我国外汇储备与M2的协整和误差修正模型》 [J],广东社会科学,2005(3)
39、余晓东：《资产价格波动与货币政策、金融监管》,博士学位论文,2006
40、谢经荣：《地产泡沫与金融危机：国际经验及其借鉴》,经济管理出版社,2002
41、李文军,2002,《货币政策与股市的互动关系》,中国网
42、楚尔鸣,2005,《中国证券市场货币政策传导效应的实证分析》,湖南农业大学学报(社会科学版),2005(10)
43、周京奎,2006,《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》,上海经济研究,2006(4)
44、周英章,孙崎岖,2002,《股市价格、货币供应量与货币政策——中国1993-2001年的实证分析》,石油大学学报(社会科学版),2002(5)
45、中经网统计数据库
46、中国人民银行网站：中国货币政策执行报告1999—2006
47、中华人民共和国国家统计局网站,http://www.stats.gov.cn/
48、A.H.Hansen.Fiscal policy and Business cycles.New York:W.W,Norton and company,1941
49、Calvo,Guillermo A,Leiderman,Leonardo and Reinhart,Carmen M.,"Inflows of Capital to Developing Countries in the1990s",Journal of Economic Perspectives,Spring 1996
50、Levine, Ross, and Zervos, Sara,1998, Stock markets, banks, and economic growth, American Economic Review,88,P537-558[J]
51、Maurice Obstfeld.The Global Capital Market[J], Benefactor or Menace 1998.4
52、Myers.The Capital Structure Puzzle[J], Journal of Finance,1983.7
53、Pagano, Marco,1993, Financial markets and growth, European Economics Review[J].37
54、Douglas W.Diamond and Philip H.Dybvig,1983,"Bank Runs,Deposit Insurance,and Liquidity", Journal of Political Economy, vol.91
55、John P.Calverley: 《从股市到楼市的繁荣幻象》,北京师范大学出版社,2006
56、Hicks:《A THEORY OF ECONOMIC HISTORY》,英国牛津大学出版社,1969
57、Baks, K. and C. Kramer (1999). Global liquidity and asset prices: Measurement, im-plications, and spillovers. IMF Working Paper No 168.
58、Friedman, M. (1969). The optimum quantity of money. In The Optimum Quantity ofMoney and Other Essays. Aldine, Chicago.
59、Ruffer, R. and L. Stracca (2006). What is global excess liquidity, and does it matter? ECB Working Paper No 696.
60、Baks, K. and C. Kramer (1999). Global liquidity and asset prices: Measurement, im-plications, and spillovers. IMF Working Paper No 168.
61、A.H.Hansen.(1941) Fiscal policy and Business cycles. New York:W.W,Norton and company
62、Calvo,Guillermo A,Leiderman,Leonardo and Reinhart,Carmen M.,1996 Inflows of Capital to Developing Countries in the 1990s,Journal of Economic Perspectives
63、Levine, Ross, and Zervos, Sara,1998, Stock markets, banks, and economic growth, American Economic Review,88,P537-558[J]
64、Maurice.Obstfeld,1998.4, The Global Capital Market[J], Benefactor or Menace
65、Myers,1983.7, The Capital Structure Puzzle[J], Journal of Finance,
66、Pagano, Marco,1993, Financial markets and growth, European Economics Review[J].37
67、Douglas W.Diamond and Philip H.Dybvig,1983,Bank Runs,Deposit Insurance,and Liquidity, Journal of Political Economy, vol.91
68、Baks, K. and C. Kramer,1999, Global liquidity and asset prices:Measurement, im-plications, and spillovers. IMF Working Paper No 168.
69、Friedman, M.,1969, The optimum quantity of money. In The Optimum Quantity ofMoney and Other Essays. Aldine, Chicago.
70、Ruffer, R. and L. Stracca,2006, What is global excess liquidity, and does it matter? ECB Working Paper No 696.
71、Markowitz, H. M.,1952, Portfolio selection. The Journal of Finance,7, pp.77-91
72、Markowitz, H. M.,1952, Foundations of Portfolio Theory. The Journal of Finance,46, pp.469-478
73、Sharpe, F., W.,1964, Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk, The Journal of Finance, Vol.19, No.3. pp.425-442.
74、John Burr Williams,1938, The theory of Investment Value
75、Stephen A.Ross,1976, "Return, Risk and Arbitrage" in I. Friend and J. Bicksler, eds., Risk and Return in Finance, Cambridge, MA:Ballinger
76、Marshall, D.,1992, Inflation and Asset Returns in a Monetary Economy, Journal of Finance, Vol.47, No.4, p.1315-1342
77、Conover, Mitchell C., G.R. Jensen, and R.R. Johnson,1999, Monetary Environment and International Stock Returns, Journal of Banking & Finance, vol.23, pp.1357-1381
78、Friedman, M.,1988, Money and the stock Market, Journal of Political Economy, vol.96, No.2, pp.221-245
79、Friedman, M.,1968, The Role of Monetary Policy, American Economic Review,53, pp.3-17
80、Day, T.E.,1984, Real Stock Returns and Inflation, Journal of Finance, vol.39, no.2, pp.493-502
81、Stulz, R.,1986, Asset Pricing and Expected Inflation, Journal of finance, vol.41, no.1,pp.209-223
82、Lee, B.,1992, Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation, Journal of Finance, vol.47, no.4, pp.1591-1603
83、Marshall, D.,1992, Inflation and Asset Return in a Monetary Economy, Journal of Finance, vol.47, no.4, pp.1315-1342
84、Bakshi, G.S., and Z. Chen,1996, Inflation, Asset Prices, and the Term structure of Interest Rates In Monetary Economies, The Review of financial Studies, Vol.9, No.1,pp.241-275
85、Bernanke, B., and M. Gertler,1999, Monetary Policy and Asset Price Volatility, Federal Reserve Bank of Kansas City conferece.
86、Goodhart, C.A.E.,1995," Price Stability and Financial Fragility", in Financial Stability in a Changing Environment, K. Sawamoto, Z. Nakajima, and H. Taguchi, eds, New York:St. Martin's Press
87、Smets, Frand,1997, Financial Asset Prices and Monetary Policy:Theory and Evidence, BIS Working Paper No.47
88、Christofferson, Peter, Garry Schinasi, and Guay Lim,1997, Using Asset Prices to Assess Inflationary Pressures:Constructing a Broad-based Price Measure for Japan,1970-96, International Monetary Fund
89、Schinasi, Garry J.,1994, Asset Prices, Monetary Policy, and the Business Cycle, IMF paper on Policy Analysis and Assessment 94/6, March
90、Julia V. Giese and Christin K. Tuxen,2007, Global Liquidity and Asset Prices in a Cointegrated VAR, Preliminary draft
91、Sousa, J. and A. Zaghini,2004, Monetary policy shocks in the euro area and global liquidity spillover. ECB working paper No.696
92、R.Goidsmith,1969, Financial Structure and Development, Yale University Press
93、R.McKinnon,1973,.Money and Capital in Economic Development, Washington, D.C. Brookings Institution
1Baks, K. and C. Kramer (1999). Global liquidity and asset prices:Measurement, im-plications, and spillovers. IMF Working Paper No 168.
1何自云、周世锋、连玮,2005,《流动性过剩的根源》,农村金融研究,2005.12
2朱庆,2006,《解读当前市场流动性过剩》,上海经济研究,2006.10
3任碧云、王越凤,2007,《中国流动性过剩原因辨析》,经济理论与经济管理,2007.2
4杨涛,2007,走出“流动性过剩”的认识误,http://ww.p5w.net/news/xwpl/200705/t938863.htm
5 Baks, K. and C. Kramer (1999). Global liquidity and asset prices:Measurement, im-plications, and spillovers. IMF Working Paper No 168.
1刘震、张惠,2006,解决银行业流动性过剩的根本——改善金融生态[J],财经科学,2006(7)
1鲁政委,2006,重新审视“流动性过剩”[N],中国证券报,2006.11.24
2任碧云、王越凤,2007,《中国流动性过剩原因辨析》,经济理论与经济管理,,2007(2)
3曾康霖,2007,《关于流动性过剩研究视角》.财贸经济,2007(1)
1 Marshall, D.,1992, Inflation and Asset Returns in a Monetary Economy, Journal of Finance, Vol.47, No.4, p.1315-1342
2 Conover, Mitchell C., G.R. Jensen, and R.R. Johnson,1999, Monetary Environment and International Stock Returns, Journal of Banking & Finance, vol.23, pp.1357-1381
3 Friedman, M.,1968, The Role of Monetary Policy, American Economic Review,53, pp.3
1 Day, T.E.,1984, Real Stock Returns and Inflation, Journal of Finance, vol.39, no.2, pp.493-502
2 Stulz, R.,1986, Asset Pricing and Expected Inflation, Journal of finance, vol.41, no.1, pp.209-223
3 Lee, B.,1992, Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation, Journal of Finance, vol.47, no.4, pp.1591-1603
4 Marshall, D.,1992, Inflation and Asset Return in a Monetary Economy, Journal of Finance, vol.47, no.4, pp.1315-1342
5 Bakshi, G.S., and Z. Chen,1996, Inflation, Asset Prices, and the Term structure of Interest Rates In Monetary Economies, The Review of financial Studies, Vol.9, No.l, pp.241-275
6 Bernanke, B., and M. Gertler,1999, Monetary Policy and Asset Price Volatility, Federal Reserve Bank of Kansas City conferece.
7 Goodhart, C.A.E.,1995," Price Stability and Financial Fragility", in Financial Stability in a Changing Environment, K. Sawamoto, Z. Nakajima, and H. Taguchi, eds, New York:St. Martin's Press
8 Smets, Frand,1997, Financial Asset Prices and Monetary Policy:Theory and Evidence, BIS Working Paper No.47
1 Christofferson, Peter, Garry Schinasi, and Guay Lim,1997, Using Asset Prices to Assess Inflationary Pressures:Constructing a Broad-based Price Measure for Japan,1970-96, International Monetary Fund
2 Schinasi, Garry J.,1994, Asset Prices, Monetary Policy, and the Business Cycle, IMF paper on Policy Analysis and Assessment 94/6, March
3 Baks, K. and C. Kramer,1999, Global liquidity and asset prices:Measurement, im-plications, and spillovers. IMF Working Paper No 168.
4G7国家指美国、英国、日本、加拿大、法国、德国和意大利
1 Sousa, J. and A. Zaghini,2004, Monetary policy shocks in the euro area and global liquidity spillover. ECB working paper No696
2 Julia V. Giese and Christin K. Tuxen,2007, Global Liquidity and Asset Prices in a Cointegrated VAR, Preliminary draft.
3李文军,2002,《货币政策与股市的互动关系》,中国网
4谢经荣,2002,《地产泡沫与金融危机：国际经验及其借鉴》,北京：经济管理出版社
5周京奎,2006,《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》,上海经济研究,2006(4)
1楚尔鸣,2005,《中国证券市场货币政策传导效应的实证分析》.湖南农业大学学报(社会科学版),2005(10)
2周英章,孙崎岖,2002,《股市价格、货币供应量与货币政策——中国1993-2001年的实证分析》.石油大
3邵蔚,2007,《货币流动性影响资产价格的理论探讨》,财经问题研究,2007年第三期学学报(社会科学版),2002(5)
1铃木淑夫,《现代日本金融论》,上海三联出版社,1990年版
2王子明,2002,泡沫与泡沫经济非均衡分析,北京大学出版社,2002
3黄名坤,2002,泡沫经济理论与实证研究：南开大学博士论文,2002
1袁星辉,我国银行流动性过剩问题的研究[D],江苏：苏州大学,2008：65-68
1John Burr Williams,1938, The theory of Investment Value
2即以控制和支配企业现金流为目的。
1 见 Markowitz, H. M., (1952) Portfolio selection. The Journal of Finance,7, pp.77-91及 Markowitz, H. M., (1952) Foundations of Portfolio Theory. The Journal of Finance,46, pp.469-478
2 见 Sharpe, F., W., (1964) Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk, The Journal of Finance, Vol.19, No.3. pp.425-442.
1 Stephen A.Ross,1976, "Return, Risk and Arbitrage" in I. Friend and J. Bicksler, eds., Risk and Return in Finance, Cambridge, MA:Ballinger
1高善文,2007,《透视繁荣—资产重估深处的忧虑》,中国市场出版社p54
1、汪红驹：《中国货币政策有效性研究》,中国人民大学出版社,2002
2、殷孟波、曹廷贵：《货币金融学》,西南财经大学出版社,2000
3、(美)多恩布什、费希尔、斯塔兹：《宏观经济学第七版》,中国人民大学出版社,2000
4、黄达：《货币银行学》,中国人民大学出版社,2007
5、陈雨露等：《现代金融理论》,中国人民大学出版社,2000
6、(美)米什金：《货币金融学》,中国人民大学出版社,1998
7、(日)铃木淑夫：《日本的金融政策》,中国发展出版社,1995
8、(日)铃木淑夫：《日本金融自由化和金融政策》,中国金融出版社,1987
9、戴国强、吴林祥：《金融市场微观结构理论》,上海财经大学出版社,1998
10、(美)查理斯.P.金德伯格：《经济过热经济恐慌及经济崩溃第三版》,北京大学出版社,2000
11、(美)希勒：《非理性繁荣》,中国人民大学出版社,2001
12、李方：《金融泡沫论》,立信会计出版社,1998
13、黄泽民：《浮动汇率制与金融政策》,上海人民出版社,1997。
14、李念斋：《中国货币政策研究》,中国统计出版社,2003
15、张金鳌主编：《二十一世纪商业银行资产负债管理》,中国金融出版社,2002
16、何自云、周世锋、连玮,2005,《流动性过剩的根源》[J],农村金融研究,2005.12
17、朱庆,2006,《解读当前市场流动性过剩》[J],上海经济研究,2006.10
18、任碧云、王越凤,2007,《中国流动性过剩原因辨析》[J],经济理论与经济管理,2007.2
19、杨涛,2007,走出“流动性过剩”的认识误区 http://www.p5w.net/news/xwpl/200705/t938863.htm
20、刘震、张惠,2006,《解决银行业流动性过剩的根本——改善金融生态》[J],财经科学,2006(7)
21、鲁政委,2006,《重新审视“流动性过剩》[N],中国证券报,2006-11-24
22、曾康霖,2007,《关于流动性过剩研究视角》[J],财贸经济,2007(1)
23、曾康霖,2004,《传统金融理论模式的再认识——金融与实体经济分离的初步分析》[J],经济学家,2004(3)
24、易纲,1996,《中国的货币、银行和金融市场：1984-1993》,上海三联书店,1996
25、秦朵,1997,《改革以来的货币需求关系》[J],经济研究,1997,(10)
26、吴建军,2004,《我国M2/GDP过高的原因：基于收入分配差距的分析》[J],《经济学家》,2004年第1期
27、李扬,2001,《货币化程度高,资本化程度低,资本市场任重道远》[N],中华工商时报,2001年1月12日
28、刘明志,2001,《中国的M2/GDP(1980-2000)：趋势、水平和影响因素》[J],《经济研究》,2001年第2期
29、铃木淑夫：《现代日本金融论》,上海三联出版社,1990
30、王子明：《泡沫与泡沫经济非均衡分析》,北京大学出版社,2002
31、黄名坤：《泡沫经济理论与实证研究》,南开大学博士论文,2002
32、万解秋、徐涛,2001,《货币供给的内生性与货币政策的效率——兼评我国当前货币政策的有效性》[J],经济研究,2001年第3期
33、谢平、俞乔,1996,《中国市场过程中货币总量控制》[J],金融研究,1996年第3期
34、宁咏,《内生货币供给——理论假说与经验事实》,经济科学出版社,2000
35、孙伯银：《货币供给内生的逻辑》,中国金融出版社,2003
36、周晓明、朱光健,2002,《资本流动对我国货币供给的影响与对策》[J]国际金融研究,2002(9)
37、王建,2003,《货币增长过快、泡沫化美元与人民币汇率的关系问题》[J],经济管理文摘,2003(18)
38、朱孟楠、黄晓东,2005,《我国外汇储备与M2的协整和误差修正模型》 [J],广东社会科学,2005(3)
39、余晓东：《资产价格波动与货币政策、金融监管》,博士学位论文,2006
40、谢经荣：《地产泡沫与金融危机：国际经验及其借鉴》,经济管理出版社,2002
41、李文军,2002,《货币政策与股市的互动关系》,中国网
42、楚尔鸣,2005,《中国证券市场货币政策传导效应的实证分析》,湖南农业大学学报(社会科学版),2005(10)
43、周京奎,2006,《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》,上海经济研究,2006(4)
44、周英章,孙崎岖,2002,《股市价格、货币供应量与货币政策——中国1993-2001年的实证分析》,石油大学学报(社会科学版),2002(5)
45、中经网统计数据库
46、中国人民银行网站：中国货币政策执行报告1999—2006
47、中华人民共和国国家统计局网站,http://www.stats.gov.cn/
48、A.H.Hansen.Fiscal policy and Business cycles.New York:W.W,Norton and company,1941
49、Calvo,Guillermo A,Leiderman,Leonardo and Reinhart,Carmen M.,"Inflows of Capital to Developing Countries in the1990s",Journal of Economic Perspectives,Spring 1996
50、Levine, Ross, and Zervos, Sara,1998, Stock markets, banks, and economic growth, American Economic Review,88,P537-558[J]
51、Maurice Obstfeld.The Global Capital Market[J], Benefactor or Menace 1998.4
52、Myers.The Capital Structure Puzzle[J], Journal of Finance,1983.7
53、Pagano, Marco,1993, Financial markets and growth, European Economics Review[J].37
54、Douglas W.Diamond and Philip H.Dybvig,1983,"Bank Runs,Deposit Insurance,and Liquidity", Journal of Political Economy, vol.91
55、John P.Calverley: 《从股市到楼市的繁荣幻象》,北京师范大学出版社,2006
56、Hicks:《A THEORY OF ECONOMIC HISTORY》,英国牛津大学出版社,1969
57、Baks, K. and C. Kramer (1999). Global liquidity and asset prices: Measurement, im-plications, and spillovers. IMF Working Paper No 168.
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