全球流动性的概念、驱动与溢出效应:一个文献评述
摘要
全球金融危机后,全球流动性作为国际金融体系的一个重大问题被国际社会提出。围绕该问题的研究在近几年不断升温并取得了一定的进展。发展中国家在现行国际货币体系中处于不利的地位。从上世纪八十年代以来,发达国家的货币政策变动、跨境资本流动及汇率波动时常对发展中国家的实际经济与金融市场产生冲击。因此,这场讨论对发展中国家是十分有利的,在国际金融治理框架和发展中国家本身的政策应对方面都提供了丰富的政策涵义,中国没有理由对此缺乏关注。那么,如何理解全球流动性的概念?它受哪些因素驱动以及通过何种机制溢出地影响世界各国?本文对现有文献中的代表性观点进行梳理和评述,为未来的研究打下基础,并提出建议。
引文
[1]埃森格林.嚣张的特权.中信出版社,2011.
[2]方意,赵胜民,谢晓闻.货币政策的银行风险承担分析——兼论货币政策与宏观审慎政策协调问题.管理世界,2012(11):9-19.
[3]高海红.全球流动性风险和对策.国际经济评论,2012(2).
[4]何知仁,潘英丽.国际货币基金组织配额改革的基本原则与功能分离.国际经济评论,2014(1):137-149.
[5]系统重要性央行的全球影响及国际协调.首届国际金融中青年学者研讨会.北京,2015.
[6]金中夏,郭凯.遗失的美元:全球货币总量统计的巨大遗漏.国际经济评论,2012(3).
[7]金中夏.全球流动性管理与中央银行的作用.国际经济评论,2011(6).
[8]李洁,张天顶.全球流动性扩张及其对资本市场的影响.金融研究,2010(10).
[9]刘东民.后危机时代的流动性过剩与全球流动性管理.国际经济评论,2011(5):152-160.
[10]刘海影.内生性信贷、全球流动性与金融市场不稳定性.工作论文,2015.
[11]刘骏民,段彦飞.全球流动性膨胀的历史与逻辑.经济学家,2008(6).
[12]潘沁,徐康宁.全球流动性过剩传导的典型化事实研究.世界经济研究,2008(8).
[13]潘沁,余珊萍.流动性过剩国际传导机制的截面实证研究.国际金融研究,2008(8).
[14]潘英丽.关于国际货币体系重构的中国方案.载潘英丽著《国际货币与金融体系改革研究》格致出版社与上海人民出版社,2012.
[15]潘英丽,何知仁.加强国际金融协调、防范全球系统性风险”,G20智库峰会中国启动会,北京,2015.
[16]萨奇.国际货币基金组织五十年.国际金融研究,1994(9):4-9.
[17]莎莉·斯皮格尔.怎样规避资本管制以及为什么它们仍能有效.国际经济评论,2012(5).
[18]项卫星,刘晓鑫.美元本位制的问题及其可持续性.国际金融研究,2009(4).
[19]徐明东,陈学彬.货币环境、资本充足率与商业银行风险承担.金融研究,2012(7):48-62.
[20]张会清,王剑.全球流动性冲击对中国经济影响的实证研究.金融研究,2011(3).
[21]张天顶,李洁.全球流动性扩张的通货膨胀效应研究.国际金融研究,2011(3).
[22]张雪兰,何德旭.货币政策立场与银行风险承担——基于中国银行业的实证研究(2000-2010).经济研究,2012(5):31-44.
[23]中国经济增长与宏观稳定课题组,张平,刘霞辉等.外部冲击与中国的通货膨胀”,经济研究,2008(5).
[24]周小川.关于改革国际货币体系的思考.中国金融,2009(7).
[25]朱太辉.美元环流、全球经济结构失衡和金融危机.国际金融研究,2010(10).
[26]Abdel-Baki,M.,2010,“The Effects of Bank Reforms on the Monetary Transmission Mechanism in Emerging Market Economies:Evidence from Egypt,”African Development Review,22,526–539.
[27]Adrian,T.,and H.S.Shin,2010,“Liquidity and leverage,”Journal of Financial Intermediation,Vol.19,No.3,pp.418-437.
[28]——,2013,“Procyclical leverage and value-at-risk”,Review of Financial Studies,hht068.
[29]Aizenman,J.,G.K.Pasricha,2010,“Selective swap arrangements and the global financial crisis:Analysis and interpretation”,International Review of Economics and Finance,19,353–365.
[30]Alessi,L.,C.Detken,2011,“Quasi real time early warning indicators for costly asset price boom/bust cycles:A role for global liquidity”,European Journal of Political Economy,27,520-533.
[31]Alpanda,S.,and U.Aysun,2012,“Global Banking and the Balance Sheet Channel of Monetary Transmission,”International Journal of Central Banking,8,141-175.
[32]Altunbas,Y.,L.Gambacorta,and D.Marqués-Ibá?ez.,2014,“Does Monetary Policy Affect Bank Risk-Taking?”International Journal of Central Banking,March,10:1,95-135.
[33]Akay,O.,M.D.Griffiths,V.Kotomin,and D.B.Winters,2013,“A look inside AMLF:What traded and who benefited,”Journal of Banking&Finance,37,1643-1657.
[34]Argitis,G.,Y.Dafermos,2011,“Finance,inflation and employment:a post-Keynesian/Kaleckian analysis”,Cambridge Journal of Economics,35,1015-1033.
[35]Azis,I.J.,H.S.Shin.,The Three Phases of Global Liquidity[M]//Managing Elevated Risk.Springer Singapore,2015:7-44.
[36]Bachmann,R.,E.R.Sims,2012,“Confidence and the transmission of government spending shocks”,Journal of Monetary Economics,59,235-249.
[37]Baks,K.,C.Kramer,1999,“Global Liquidity and Asset Prices:Measurement,Implications and Spillovers”,IMF Working Paper,WP/99/168.
[38]Bekaert,G.,M.Hoerova,and M.Lo Duca,2013,“Risk,uncertainty and monetary policy,”Journal of Monetary Economics,60(7),pp.771-788.
[39]Bekaert,G.,C.R.Harvey,and A.Ng,2005,“Market integration and contagion”,Journal of Business,39-69.
[40]Belke,A.,W.Orth,and R.Setzer,2008,“Liquidity and the dynamic pattern of price adjustment:a global view”,Deutsche Bundesbank Discussion Paper,Series1:Economic Studies,No 25.
[41]Berger,H.,T.Harjes,2009,“Does Global Liquidity Matter for Monetary Policy in the Euro Area?”,International Finance,12:1,pp.33-55.
[42]Berkmen,S.P.,G.Gelos,R.Rennhack,and J.P.Walsh,2012,“The global financial crisis:Explaining cross-country differences in the output impact”,Journal of International Money and Finance,31,42–59.
[43]Bernanke,B.S.,J.Boivin,and P.Eliasz,2005,“Measuring the Effects of Monetary Policy:A Factor-Augmented Vector Autoregressive(FAVAR)Approach,”The Quarterly Journal of Economics,120,387-422.
[44]Bernanke,B.,2005,“The global saving glut and the U.S.current account deficit”,a speech at the Sandridge Lecture,Virginia Association of Economics,Richmond,Virginia,March 10,2005,http://www.federalreserve.gov/boarddocs/speeches/2005/200503102/.
[45]BIS Quarterly Review,2011,“International banking and financial market developments”.
[46]Borio,C.,2014,“Monetary policy and financial stability:what role in prevention and recovery?”,BIS working paper,No.440.
[47]Borio,C.,H.Zhu,2012."Capital regulation,risk-taking and monetary policy:A missing link in the transmission mechanism?,"Journal of Financial Stability,8(4),236-251.
[48]Borio,C.,H.James,and H.S.Shin,2014,“The international monetary and financial system:a capital account historical perspective”,BIS working paper,No.457.
[49]Bracke,T.,M.Fidora,2012,“The macro-financial factors behind the crisis:Global liquidity glut or global savings glut?”,North American Journal of Economics and Finance,23,185-202.
[50]Brana,S.,M.Djigbenou,and S.Prat,2012,“Global excess liquidity and asset prices in emerging countries:a PVAR approach”,Emerging Markets Review,13,256-267.
[51]Brockman,P.,D.Y.Chung,and C.Pérignon,2009,“Commonality in Liquidity:A Global Perspective”,Journal of Financial and Quantitative Analysis,Vol.44,No.4,pp.851–882.
[52]Broome,A.,2010,“The International Monetary Fund,crisis management and the credit crunch,”Australian Journal of International Affairs,64,37-54.
[53]Bruno,V.,and H.S.Shin,2013,“Capital flows and the Risk-Taking Chanel of Monetary Policy,Cross-border banking and global liquidity,”(No.w18942).National Bureau of Economic Research.
[54]–––––,2014,“Cross-Border Banking and Global Liquidity,”BIS Working Paper,No.458.
[55]Camdessus,M.,A.Lamfalussy,and T.Padoa-Schioppa,2011,“Reform of the International Monetary System:A Cooperative Approach for the Twenty First Century”.
[56]Canova,F.,2005,“The Transmission of U.S.Shocks to Latin Data”,Journal of Applied Econometrics,Vol.20,No.2,pp.229-51.
[57]Capistrán,C.,M.Ramos-Francia,2010,“Does Inflation Targeting Affect the Dispersion of Inflation Expectations?,”Journal of Money,Credit and Banking,42,113-134.
[58]Caruana,J.,2013a,“Global liquidity:where do we stand?Assessing global liquidity in a global framework,”in Bank of Korea annual conference.
[59]–––––,2013b,“Debt,global liquidity and the challenges of exit,”in the 8th FLAR-CAF International Conference on“External liquidity,economic policy and macroeconomic stability in the emerging and developing world”.
[60]Cerutti,E.,S.Claessens,and L.Ratnovski,2014,“Global liquidity and drivers of cross-border bank flows”,IMF working paper,WP/14/69.
[61]Cetorelli,N.,L.S.Goldberg,2011,“Global Banks and International Shock Transmission:Evidence from the Crisis,”IMF Economic Review,59,41-76.
[62]–––––,2012,“Banking Globalization and Monetary Transmission”,The Journal of Finance,Vol.67,No.5,pp.1811-1843.
[63]CGFS,2011,“Global liquidity-concept,measurement and policy implications”,CGFS Papers,No 45.
[64]Chen,S.,P.Liu,A.Maechler,C.Marsh,S.Saksonovs,and H.S.Shin,2012,“Exploring the Dynamics of Global Liquidity”,IMF Working Paper,WP/12/246.
[65]Chevallier,J.,2012,“Global imbalances,cross-market linkages,and the financial crisis:A multivariate Markov-switching analysis,”Economic Modelling,29,943-973.
[66]Chudik,A.,M.Fratzscher,2011,“Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model”,ECB Working Paper,No 1285.
[67]Chudik,A.,M.H.Pesaran,2011,“Infinite-dimensional VARs and factor models,”Journal of Econometrics,163,4-22.
[68]Chung,K.,JE.Lee,E.Loukoianova,H.Park,and H.S.Shin,2013,“Global Liquidity through the Lens of Monetary Aggregates”,IMF Working Paper,WP/14/9.
[69]Clark,P.B.,J.J.Polak,2002,“International Liquidity and the Role of the SDR in the International Monetary System”,IMF Working Paper,WP/02/217.
[70]Corsetti,G.,A.Meier,and G.Müller,2009,“Cross-border spillovers from fiscal stimulus”,Discussion Paper,Centre for Economic Policy Research,NO.7535.
[71]D’Agostino,A.,P.Surico,2009,“Does Global Liquidity Help to Forecast U.S.Inflation?”,Journal of Money,Credit and Banking,Vol.41,No.2-3.
[72]Darius,R.,S.Radde,2010,“Can Global Liquidity Forecast Asset Prices?”,IMF Working Paper,WP/10/196.
[73]Didier,T.,C.Hevia,and S.L.Schmukler,2012,“How resilient and countercyclical were emerging economies during the global financial crisis?,”Journal of International Money and Finance,31,2052-2077.
[74]Draghi,M.,2013,“Stable Euro,Strong Europe”,in the Wirtschaftstag 2013.
[75]Ehrmann,M.,M.Fratzscher,and R.Rigobon,2011,“Stocks,Bonds,Money Markets and Exchange Rates:Measuring International Financial Transmission,”Journal of Applied Econometrics,26,948-974.
[76]Eichengreen,B.,2009,“Out of the Box Thoughts about the International Financial Architecture”,IMF working paper,WP/09/116.
[77]Eichengreen,B.,R.Hausmann,and U.Panizza,2007,“Currency Mismatches,Debt Intolerance,and Original Sin--Why They Are Not the Same and Why It Matters,”?A Published Volume from the National Bureau of Economic Research:Capital Controls and Capital Flows in Emerging Economies:Policies,Practices and Consequences.
[78]Eichengreen,B.,et al.,2011,Rethinking Central Banking,Committee on International Economic Policy and Reform,Brookings Institution.
[79]Eickmeier,S.,L.Gambacorta,and B.Hofmann,2013,“Understanding Global Liquidity”,BIS Working Paper,No 402.
[80]Eickmeier,S.,K.Pijnenburg,2013,“The Global Dimension of Inflation–Evidence from Factor-Augmented Phillips Curves”,Oxford Bulletin of Economics and Statistics,75.
[81]Evans,G.W.,E.Guse,and S.Honkapohja,“Liquidity traps,learning and stagnation,”European Economic Review,52,1438-1463.
[82]Faia,E.,E.Iliopulos,2011,“Financial openness,financial frictions and optimal monetary policy,”Journal of Economic Dynamics&Control,35,1976-1996.
[83]Forbes,Rigobon,2002,“No contagion,only interdependence:Measuring stock market co-movements”,The Journal of Finance,57(5),2223-2261.
[84]FSB,2013,“Overview of Progress in the Implementation of the G20 Recommendations for Strengthening”,Report of Financial Stability Board to G20 Leaders.
[85]Gorton,Gary and Andrew Metrick,2012,“Securitized Banking and the Run on Repo,”Journal of Financial Economics,104(3),425-451.
[86]He,Dong,and Honglin Wang,2012,“Dual-track interest rates and the conduct of monetary policy in China,”China Economic Review,23,928-947.
[87]Helbling T.,R.Huidrom,M.A.Kose,and C.Otrok,2011,“Do credit shocks matter?A global perspective,”European Economic Review,55,340-353.
[88]Haidar,J.I.,2012,“Currency crisis transmission through international trade”,Economic Modelling,29,151-157.
[89]Hannoun,H.,2014,“The global financial cycle and how to tame it”in International Symposium of the Banque de France“Central banking:the way forward?”.
[90]Holmstr?m,B.,Tirole,J.,1997,“Financial Intermediation,Loanable Funds,and the Real Sector”,Quarterly Journal of Economics,112(3),663-91.
[91]Huang,Y.S.,F.M.Song,and Yz.Wang,2012,“Monetary Policy and Corporate Investment:Evidence from Chinese Micro Data,”China&World Economy,Vol.20,No.5.
[92]Jeanne,O.,A.Korinek,2010,“Managing Credit Booms and Busts:A Pigouvian Taxation Approach”,Working Paper,University of Maryland.
[93]Jeon,B.N.,M.P.Olivero,and J.Wu,2013,“Multinational banking and the international transmission of financial shocks:Evidence from foreign bank subsidiaries,”Journal of Banking&Finance,37,952-972.
[94]Jiménez,G.,S.Ongena,J.L.Peydró-Alcalde and J.Saurina,2014,“Hazardous Times for Monetary Policy:What Do TwentyThree Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk?”,Econometrica,82,463-505.
[95]Kahler,M.,2010,“Asia and the Reform of Global Governance,”Asian Economic Policy Review,5,178–193.
[96]Kazi,I.A.,H.Wagan,and F.Akbar,2013,“The changing international transmission of U.S.monetary policy shocks:Is there evidence of contagion effect on OECD countries”,Economic Modelling,30,90–116.
[97]Kessler,S.,B.Scherer,2011,“Hedge fund return sensitivity to global liquidity,”Journal of Financial Markets,14,301-322.
[98]Kim,W.J.,S.Hammoudeh,2013,“Impacts of global and domestic shocks on inflation and economic growth for actual and potential GCC member countries,”International Review of Economics and Finance,27,298-317.
[99]Kim,S.,2001,“International transmission of U.S.monetary policy shocks:Evidence from VAR’s,”Journal of Monetary Economics,48,339-372.
[100]Kocherlakota,N.,2010,“Taxing Risk and the Optimal Regulation of Financial Institution”,Economic Policy Paper 10-3,Federal Reserve Bank of Minneapolis.
[101]Kollmann,R.,Z.Enders,and G.J.Müller,2011,“Global banking and international business cycles”,European Economic Review,55,407-426.
[102]Koop,Gary.,R.Leon-Gonzalez,and R.W.Strachan,2009,“On the evolution of the monetary policy transmission mechanism,”Journal of Economic Dynamics&Control,33,997–1017.
[103]Korajczyk,R.,Sadka,R.,2008,“Pricing the commonality across alternative measures of liquidity”,Journal of Financial Economics,87,45-72.
[104]Krugman,P.,1999,"O Canada–a neglected nation gets its Nobel,"Slate(magazine),Oct 19,http://www.slate.com/articles/business/the_dismal_science/1999/10/o_canada.html.
[105]Laeven,L.,H.Tong,2012,“US monetary shocks and global stock prices,”Journal of Financial Intermediation,21,530-547.
[106]Lewis,V.,C.Poilly,2012,“Firm entry,markups and the monetary transmission mechanism,”Journal of Monetary Economics,59,670–685.
[107]Lipińska,A.,M.Spange,and M.Tanaka,2011,“International Spillover Effects and Monetary Policy Activism”,Journal of Money,Credit and Banking,Vol.43,No.8.
[108]Love,I.,L.Zicchino,2006,“Financial development and dynamic investment behavior:Evidence from panel VAR”,The Quarterly Review of Economics and Finance,46,190–210.
[109]Lucas,Jr.,E.Robert,1976,“Econometric Policy Evaluation:A Critique”,Carnegie-Rochester conference series on public policy,Vol.1,North-Holland.
[110]Lumsdaine,R.L.,2009,“Correlation,Models,and Risk Management in Challenging Times,”Journal of Financial Econometrics,7,40-51.
[111]Lysandrou,P.,2011,“Global Inequality,Wealth Concentration and the Subprime Crisis:A Marxian Commodity Theory Analysis”,Development and Change,42(1):183-208.
[112]Matousek,R.,N.Sarantis,2009,“The bank lending channel and monetary transmission in Central and Eastern European countries,”Journal of Comparative Economics,37,321–334.
[113]Matsumoto,A.,2011,“Global Liquidity:Availability of Funds for Safe and Risky Assets”,IMF Working Paper,WP/11/136.
[114]Miranda-Agrippino,S.,Rey,H.,2013,“World Asset Markets and Global Liquidity”,working paper,London Business School.
[115]Mumtaz,H.,and P.Surico,2009,“The Transmission of International Shocks:A Factor-Augmented VAR Approach,”Journal of Money,Credit and Banking,Vol.41,No.1.
[116]Nelson,E.,2002,“Direct effects of base money on aggregate demand:theory and evidence,”Journal of Monetary Economics,49,687-708.
[117]Obstfeld,M.,K.Rogoff,“Exchange Rate Dynamics Redux”,Journal of Political Economy,Vol.103,No.3.
[118]Pattanaik S.,2009,“The Global Financial Stability Architecture Fails Again:sub-prime crisis lessons for policymakers,”Asian-Pacific Economic Literature,23,21-47.
[119]Perotti,E.,and J.Suarez,2010,“Regulation of Liquidity Risk”,Working Paper,University of Amsterdam.
[120]Pesaran,M.H.,T.Schuermann,and S.M.Weiner,“Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model”,Journal of Business&Economic Statistics,Vol.22,No.2,pp.129-162.
[121]Popov,A.,G.F.Udell,2012,“Cross-border banking,credit access,and the financial crisis,”Journal of International Economics,87,147-161.
[122]Raddatz,C.,S.L.Schmukler,2012,“On the international transmission of shocks:Micro-evidence from mutual fund portfolios,”Journal of International Economics,88,357-374.
[123]Rey,H.,2013,“Dilemma not Trilemma:The global financial cycle and monetary policy independence,”in Proceedings of the Federal Reserve Bank of Kansas City Economic Symposium at Jackson Hole.
[124]Rüffer,R.,L.Stracca,2006,“What is global excess liquidity,and does it matter?”,ECB Working Paper,No 696.
[125]Schnabl,G.,F.Schobert,2009,“Global Asymmetries in Monetary Policy Operations:Debtor Central Banks of the Mena Region,”The Manchester School,77,85–107.
[126]Schnabl,P.,2012,“The International Transmission of Bank Liquidity Shocks:Evidence from an Emerging Market”,The Journal of Finance,Vol.67,No.3,pp.897-932.
[127]Shin,H.S.,2012,“Global banking glut and loan risk premium”,IMF Economic Review,60(2):155-192.
[128]Shin,H.S.,2013,“The Second Phase of Global Liquidity and Its Impact on Emerging Economies”,in Asia Economic Policy Conference at the Federal Reserve Bank of San Francisco.
[129]Sousa,J.,A.Zaghini,2008,“Monetary Policy Shocks in the Euro Area and Global Liquidity Spillovers”,International Journal of Finance and Economics,13:205-218.
[130]Stein,J.C.,2012,“Monetary Policy as Financial Stability Regulation”,The Quarterly Journal of Economics,(2012)127,57-95.
[131]Subacchi,P.,et al.,2010,“Beyond the Dollar:Rethinking the International Monetary System”,A Chatham House Report,March,http://www.chathamhouse.org.uk.
[132]Subramanian,A.,M.Kessler,2012,“The Renminbi Bloc is Here:Asia Down,Rest of the World to Go?”,Working Paper,Peterson Institute for International Economics,WP 12-19.
[133]Svensson,Lars E.O.,1999,“Inflation targeting as a monetary policy rule,”Journal of Monetary Economics,43,607-654.
[134]Taguchi,H.,2011,“Monetary autonomy in emerging market economies:The role of foreign reserves,”Emerging Markets Review,12,371-388.
[135]Wongswan,J.,2009,“The response of global equity indexes to U.S.monetary policy announcements,”Journal of International Money and Finance,28,344-365.
1商业银行的非核心负债一般指本地住户部门存款以外的负债(Chen等,2012)。
2 Azis和Shin(2015)提出的全球流动性的三个阶段是针对2008年全球金融危机而言的,三阶段具体指:危机前全球流动性泛滥的阶段、危机后中心国家采取量化宽松货币政策的阶段和量化宽松货币政策开始退出的阶段。
3 虽然Rey(2013)使用的术语是“全球金融周期”,但是全文的论述意味着“全球金融周期”与“全球流动性”共享同一个概念,亦符合Cerutti等(2014)给出的定义。不论“全球金融周期”还是“全球流动性”,它们都指向影响不同国家或地区的跨境资金流的全球资金供给因素。
[2]方意,赵胜民,谢晓闻.货币政策的银行风险承担分析——兼论货币政策与宏观审慎政策协调问题.管理世界,2012(11):9-19.
[3]高海红.全球流动性风险和对策.国际经济评论,2012(2).
[4]何知仁,潘英丽.国际货币基金组织配额改革的基本原则与功能分离.国际经济评论,2014(1):137-149.
[5]系统重要性央行的全球影响及国际协调.首届国际金融中青年学者研讨会.北京,2015.
[6]金中夏,郭凯.遗失的美元:全球货币总量统计的巨大遗漏.国际经济评论,2012(3).
[7]金中夏.全球流动性管理与中央银行的作用.国际经济评论,2011(6).
[8]李洁,张天顶.全球流动性扩张及其对资本市场的影响.金融研究,2010(10).
[9]刘东民.后危机时代的流动性过剩与全球流动性管理.国际经济评论,2011(5):152-160.
[10]刘海影.内生性信贷、全球流动性与金融市场不稳定性.工作论文,2015.
[11]刘骏民,段彦飞.全球流动性膨胀的历史与逻辑.经济学家,2008(6).
[12]潘沁,徐康宁.全球流动性过剩传导的典型化事实研究.世界经济研究,2008(8).
[13]潘沁,余珊萍.流动性过剩国际传导机制的截面实证研究.国际金融研究,2008(8).
[14]潘英丽.关于国际货币体系重构的中国方案.载潘英丽著《国际货币与金融体系改革研究》格致出版社与上海人民出版社,2012.
[15]潘英丽,何知仁.加强国际金融协调、防范全球系统性风险”,G20智库峰会中国启动会,北京,2015.
[16]萨奇.国际货币基金组织五十年.国际金融研究,1994(9):4-9.
[17]莎莉·斯皮格尔.怎样规避资本管制以及为什么它们仍能有效.国际经济评论,2012(5).
[18]项卫星,刘晓鑫.美元本位制的问题及其可持续性.国际金融研究,2009(4).
[19]徐明东,陈学彬.货币环境、资本充足率与商业银行风险承担.金融研究,2012(7):48-62.
[20]张会清,王剑.全球流动性冲击对中国经济影响的实证研究.金融研究,2011(3).
[21]张天顶,李洁.全球流动性扩张的通货膨胀效应研究.国际金融研究,2011(3).
[22]张雪兰,何德旭.货币政策立场与银行风险承担——基于中国银行业的实证研究(2000-2010).经济研究,2012(5):31-44.
[23]中国经济增长与宏观稳定课题组,张平,刘霞辉等.外部冲击与中国的通货膨胀”,经济研究,2008(5).
[24]周小川.关于改革国际货币体系的思考.中国金融,2009(7).
[25]朱太辉.美元环流、全球经济结构失衡和金融危机.国际金融研究,2010(10).
[26]Abdel-Baki,M.,2010,“The Effects of Bank Reforms on the Monetary Transmission Mechanism in Emerging Market Economies:Evidence from Egypt,”African Development Review,22,526–539.
[27]Adrian,T.,and H.S.Shin,2010,“Liquidity and leverage,”Journal of Financial Intermediation,Vol.19,No.3,pp.418-437.
[28]——,2013,“Procyclical leverage and value-at-risk”,Review of Financial Studies,hht068.
[29]Aizenman,J.,G.K.Pasricha,2010,“Selective swap arrangements and the global financial crisis:Analysis and interpretation”,International Review of Economics and Finance,19,353–365.
[30]Alessi,L.,C.Detken,2011,“Quasi real time early warning indicators for costly asset price boom/bust cycles:A role for global liquidity”,European Journal of Political Economy,27,520-533.
[31]Alpanda,S.,and U.Aysun,2012,“Global Banking and the Balance Sheet Channel of Monetary Transmission,”International Journal of Central Banking,8,141-175.
[32]Altunbas,Y.,L.Gambacorta,and D.Marqués-Ibá?ez.,2014,“Does Monetary Policy Affect Bank Risk-Taking?”International Journal of Central Banking,March,10:1,95-135.
[33]Akay,O.,M.D.Griffiths,V.Kotomin,and D.B.Winters,2013,“A look inside AMLF:What traded and who benefited,”Journal of Banking&Finance,37,1643-1657.
[34]Argitis,G.,Y.Dafermos,2011,“Finance,inflation and employment:a post-Keynesian/Kaleckian analysis”,Cambridge Journal of Economics,35,1015-1033.
[35]Azis,I.J.,H.S.Shin.,The Three Phases of Global Liquidity[M]//Managing Elevated Risk.Springer Singapore,2015:7-44.
[36]Bachmann,R.,E.R.Sims,2012,“Confidence and the transmission of government spending shocks”,Journal of Monetary Economics,59,235-249.
[37]Baks,K.,C.Kramer,1999,“Global Liquidity and Asset Prices:Measurement,Implications and Spillovers”,IMF Working Paper,WP/99/168.
[38]Bekaert,G.,M.Hoerova,and M.Lo Duca,2013,“Risk,uncertainty and monetary policy,”Journal of Monetary Economics,60(7),pp.771-788.
[39]Bekaert,G.,C.R.Harvey,and A.Ng,2005,“Market integration and contagion”,Journal of Business,39-69.
[40]Belke,A.,W.Orth,and R.Setzer,2008,“Liquidity and the dynamic pattern of price adjustment:a global view”,Deutsche Bundesbank Discussion Paper,Series1:Economic Studies,No 25.
[41]Berger,H.,T.Harjes,2009,“Does Global Liquidity Matter for Monetary Policy in the Euro Area?”,International Finance,12:1,pp.33-55.
[42]Berkmen,S.P.,G.Gelos,R.Rennhack,and J.P.Walsh,2012,“The global financial crisis:Explaining cross-country differences in the output impact”,Journal of International Money and Finance,31,42–59.
[43]Bernanke,B.S.,J.Boivin,and P.Eliasz,2005,“Measuring the Effects of Monetary Policy:A Factor-Augmented Vector Autoregressive(FAVAR)Approach,”The Quarterly Journal of Economics,120,387-422.
[44]Bernanke,B.,2005,“The global saving glut and the U.S.current account deficit”,a speech at the Sandridge Lecture,Virginia Association of Economics,Richmond,Virginia,March 10,2005,http://www.federalreserve.gov/boarddocs/speeches/2005/200503102/.
[45]BIS Quarterly Review,2011,“International banking and financial market developments”.
[46]Borio,C.,2014,“Monetary policy and financial stability:what role in prevention and recovery?”,BIS working paper,No.440.
[47]Borio,C.,H.Zhu,2012."Capital regulation,risk-taking and monetary policy:A missing link in the transmission mechanism?,"Journal of Financial Stability,8(4),236-251.
[48]Borio,C.,H.James,and H.S.Shin,2014,“The international monetary and financial system:a capital account historical perspective”,BIS working paper,No.457.
[49]Bracke,T.,M.Fidora,2012,“The macro-financial factors behind the crisis:Global liquidity glut or global savings glut?”,North American Journal of Economics and Finance,23,185-202.
[50]Brana,S.,M.Djigbenou,and S.Prat,2012,“Global excess liquidity and asset prices in emerging countries:a PVAR approach”,Emerging Markets Review,13,256-267.
[51]Brockman,P.,D.Y.Chung,and C.Pérignon,2009,“Commonality in Liquidity:A Global Perspective”,Journal of Financial and Quantitative Analysis,Vol.44,No.4,pp.851–882.
[52]Broome,A.,2010,“The International Monetary Fund,crisis management and the credit crunch,”Australian Journal of International Affairs,64,37-54.
[53]Bruno,V.,and H.S.Shin,2013,“Capital flows and the Risk-Taking Chanel of Monetary Policy,Cross-border banking and global liquidity,”(No.w18942).National Bureau of Economic Research.
[54]–––––,2014,“Cross-Border Banking and Global Liquidity,”BIS Working Paper,No.458.
[55]Camdessus,M.,A.Lamfalussy,and T.Padoa-Schioppa,2011,“Reform of the International Monetary System:A Cooperative Approach for the Twenty First Century”.
[56]Canova,F.,2005,“The Transmission of U.S.Shocks to Latin Data”,Journal of Applied Econometrics,Vol.20,No.2,pp.229-51.
[57]Capistrán,C.,M.Ramos-Francia,2010,“Does Inflation Targeting Affect the Dispersion of Inflation Expectations?,”Journal of Money,Credit and Banking,42,113-134.
[58]Caruana,J.,2013a,“Global liquidity:where do we stand?Assessing global liquidity in a global framework,”in Bank of Korea annual conference.
[59]–––––,2013b,“Debt,global liquidity and the challenges of exit,”in the 8th FLAR-CAF International Conference on“External liquidity,economic policy and macroeconomic stability in the emerging and developing world”.
[60]Cerutti,E.,S.Claessens,and L.Ratnovski,2014,“Global liquidity and drivers of cross-border bank flows”,IMF working paper,WP/14/69.
[61]Cetorelli,N.,L.S.Goldberg,2011,“Global Banks and International Shock Transmission:Evidence from the Crisis,”IMF Economic Review,59,41-76.
[62]–––––,2012,“Banking Globalization and Monetary Transmission”,The Journal of Finance,Vol.67,No.5,pp.1811-1843.
[63]CGFS,2011,“Global liquidity-concept,measurement and policy implications”,CGFS Papers,No 45.
[64]Chen,S.,P.Liu,A.Maechler,C.Marsh,S.Saksonovs,and H.S.Shin,2012,“Exploring the Dynamics of Global Liquidity”,IMF Working Paper,WP/12/246.
[65]Chevallier,J.,2012,“Global imbalances,cross-market linkages,and the financial crisis:A multivariate Markov-switching analysis,”Economic Modelling,29,943-973.
[66]Chudik,A.,M.Fratzscher,2011,“Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model”,ECB Working Paper,No 1285.
[67]Chudik,A.,M.H.Pesaran,2011,“Infinite-dimensional VARs and factor models,”Journal of Econometrics,163,4-22.
[68]Chung,K.,JE.Lee,E.Loukoianova,H.Park,and H.S.Shin,2013,“Global Liquidity through the Lens of Monetary Aggregates”,IMF Working Paper,WP/14/9.
[69]Clark,P.B.,J.J.Polak,2002,“International Liquidity and the Role of the SDR in the International Monetary System”,IMF Working Paper,WP/02/217.
[70]Corsetti,G.,A.Meier,and G.Müller,2009,“Cross-border spillovers from fiscal stimulus”,Discussion Paper,Centre for Economic Policy Research,NO.7535.
[71]D’Agostino,A.,P.Surico,2009,“Does Global Liquidity Help to Forecast U.S.Inflation?”,Journal of Money,Credit and Banking,Vol.41,No.2-3.
[72]Darius,R.,S.Radde,2010,“Can Global Liquidity Forecast Asset Prices?”,IMF Working Paper,WP/10/196.
[73]Didier,T.,C.Hevia,and S.L.Schmukler,2012,“How resilient and countercyclical were emerging economies during the global financial crisis?,”Journal of International Money and Finance,31,2052-2077.
[74]Draghi,M.,2013,“Stable Euro,Strong Europe”,in the Wirtschaftstag 2013.
[75]Ehrmann,M.,M.Fratzscher,and R.Rigobon,2011,“Stocks,Bonds,Money Markets and Exchange Rates:Measuring International Financial Transmission,”Journal of Applied Econometrics,26,948-974.
[76]Eichengreen,B.,2009,“Out of the Box Thoughts about the International Financial Architecture”,IMF working paper,WP/09/116.
[77]Eichengreen,B.,R.Hausmann,and U.Panizza,2007,“Currency Mismatches,Debt Intolerance,and Original Sin--Why They Are Not the Same and Why It Matters,”?A Published Volume from the National Bureau of Economic Research:Capital Controls and Capital Flows in Emerging Economies:Policies,Practices and Consequences.
[78]Eichengreen,B.,et al.,2011,Rethinking Central Banking,Committee on International Economic Policy and Reform,Brookings Institution.
[79]Eickmeier,S.,L.Gambacorta,and B.Hofmann,2013,“Understanding Global Liquidity”,BIS Working Paper,No 402.
[80]Eickmeier,S.,K.Pijnenburg,2013,“The Global Dimension of Inflation–Evidence from Factor-Augmented Phillips Curves”,Oxford Bulletin of Economics and Statistics,75.
[81]Evans,G.W.,E.Guse,and S.Honkapohja,“Liquidity traps,learning and stagnation,”European Economic Review,52,1438-1463.
[82]Faia,E.,E.Iliopulos,2011,“Financial openness,financial frictions and optimal monetary policy,”Journal of Economic Dynamics&Control,35,1976-1996.
[83]Forbes,Rigobon,2002,“No contagion,only interdependence:Measuring stock market co-movements”,The Journal of Finance,57(5),2223-2261.
[84]FSB,2013,“Overview of Progress in the Implementation of the G20 Recommendations for Strengthening”,Report of Financial Stability Board to G20 Leaders.
[85]Gorton,Gary and Andrew Metrick,2012,“Securitized Banking and the Run on Repo,”Journal of Financial Economics,104(3),425-451.
[86]He,Dong,and Honglin Wang,2012,“Dual-track interest rates and the conduct of monetary policy in China,”China Economic Review,23,928-947.
[87]Helbling T.,R.Huidrom,M.A.Kose,and C.Otrok,2011,“Do credit shocks matter?A global perspective,”European Economic Review,55,340-353.
[88]Haidar,J.I.,2012,“Currency crisis transmission through international trade”,Economic Modelling,29,151-157.
[89]Hannoun,H.,2014,“The global financial cycle and how to tame it”in International Symposium of the Banque de France“Central banking:the way forward?”.
[90]Holmstr?m,B.,Tirole,J.,1997,“Financial Intermediation,Loanable Funds,and the Real Sector”,Quarterly Journal of Economics,112(3),663-91.
[91]Huang,Y.S.,F.M.Song,and Yz.Wang,2012,“Monetary Policy and Corporate Investment:Evidence from Chinese Micro Data,”China&World Economy,Vol.20,No.5.
[92]Jeanne,O.,A.Korinek,2010,“Managing Credit Booms and Busts:A Pigouvian Taxation Approach”,Working Paper,University of Maryland.
[93]Jeon,B.N.,M.P.Olivero,and J.Wu,2013,“Multinational banking and the international transmission of financial shocks:Evidence from foreign bank subsidiaries,”Journal of Banking&Finance,37,952-972.
[94]Jiménez,G.,S.Ongena,J.L.Peydró-Alcalde and J.Saurina,2014,“Hazardous Times for Monetary Policy:What Do TwentyThree Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk?”,Econometrica,82,463-505.
[95]Kahler,M.,2010,“Asia and the Reform of Global Governance,”Asian Economic Policy Review,5,178–193.
[96]Kazi,I.A.,H.Wagan,and F.Akbar,2013,“The changing international transmission of U.S.monetary policy shocks:Is there evidence of contagion effect on OECD countries”,Economic Modelling,30,90–116.
[97]Kessler,S.,B.Scherer,2011,“Hedge fund return sensitivity to global liquidity,”Journal of Financial Markets,14,301-322.
[98]Kim,W.J.,S.Hammoudeh,2013,“Impacts of global and domestic shocks on inflation and economic growth for actual and potential GCC member countries,”International Review of Economics and Finance,27,298-317.
[99]Kim,S.,2001,“International transmission of U.S.monetary policy shocks:Evidence from VAR’s,”Journal of Monetary Economics,48,339-372.
[100]Kocherlakota,N.,2010,“Taxing Risk and the Optimal Regulation of Financial Institution”,Economic Policy Paper 10-3,Federal Reserve Bank of Minneapolis.
[101]Kollmann,R.,Z.Enders,and G.J.Müller,2011,“Global banking and international business cycles”,European Economic Review,55,407-426.
[102]Koop,Gary.,R.Leon-Gonzalez,and R.W.Strachan,2009,“On the evolution of the monetary policy transmission mechanism,”Journal of Economic Dynamics&Control,33,997–1017.
[103]Korajczyk,R.,Sadka,R.,2008,“Pricing the commonality across alternative measures of liquidity”,Journal of Financial Economics,87,45-72.
[104]Krugman,P.,1999,"O Canada–a neglected nation gets its Nobel,"Slate(magazine),Oct 19,http://www.slate.com/articles/business/the_dismal_science/1999/10/o_canada.html.
[105]Laeven,L.,H.Tong,2012,“US monetary shocks and global stock prices,”Journal of Financial Intermediation,21,530-547.
[106]Lewis,V.,C.Poilly,2012,“Firm entry,markups and the monetary transmission mechanism,”Journal of Monetary Economics,59,670–685.
[107]Lipińska,A.,M.Spange,and M.Tanaka,2011,“International Spillover Effects and Monetary Policy Activism”,Journal of Money,Credit and Banking,Vol.43,No.8.
[108]Love,I.,L.Zicchino,2006,“Financial development and dynamic investment behavior:Evidence from panel VAR”,The Quarterly Review of Economics and Finance,46,190–210.
[109]Lucas,Jr.,E.Robert,1976,“Econometric Policy Evaluation:A Critique”,Carnegie-Rochester conference series on public policy,Vol.1,North-Holland.
[110]Lumsdaine,R.L.,2009,“Correlation,Models,and Risk Management in Challenging Times,”Journal of Financial Econometrics,7,40-51.
[111]Lysandrou,P.,2011,“Global Inequality,Wealth Concentration and the Subprime Crisis:A Marxian Commodity Theory Analysis”,Development and Change,42(1):183-208.
[112]Matousek,R.,N.Sarantis,2009,“The bank lending channel and monetary transmission in Central and Eastern European countries,”Journal of Comparative Economics,37,321–334.
[113]Matsumoto,A.,2011,“Global Liquidity:Availability of Funds for Safe and Risky Assets”,IMF Working Paper,WP/11/136.
[114]Miranda-Agrippino,S.,Rey,H.,2013,“World Asset Markets and Global Liquidity”,working paper,London Business School.
[115]Mumtaz,H.,and P.Surico,2009,“The Transmission of International Shocks:A Factor-Augmented VAR Approach,”Journal of Money,Credit and Banking,Vol.41,No.1.
[116]Nelson,E.,2002,“Direct effects of base money on aggregate demand:theory and evidence,”Journal of Monetary Economics,49,687-708.
[117]Obstfeld,M.,K.Rogoff,“Exchange Rate Dynamics Redux”,Journal of Political Economy,Vol.103,No.3.
[118]Pattanaik S.,2009,“The Global Financial Stability Architecture Fails Again:sub-prime crisis lessons for policymakers,”Asian-Pacific Economic Literature,23,21-47.
[119]Perotti,E.,and J.Suarez,2010,“Regulation of Liquidity Risk”,Working Paper,University of Amsterdam.
[120]Pesaran,M.H.,T.Schuermann,and S.M.Weiner,“Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model”,Journal of Business&Economic Statistics,Vol.22,No.2,pp.129-162.
[121]Popov,A.,G.F.Udell,2012,“Cross-border banking,credit access,and the financial crisis,”Journal of International Economics,87,147-161.
[122]Raddatz,C.,S.L.Schmukler,2012,“On the international transmission of shocks:Micro-evidence from mutual fund portfolios,”Journal of International Economics,88,357-374.
[123]Rey,H.,2013,“Dilemma not Trilemma:The global financial cycle and monetary policy independence,”in Proceedings of the Federal Reserve Bank of Kansas City Economic Symposium at Jackson Hole.
[124]Rüffer,R.,L.Stracca,2006,“What is global excess liquidity,and does it matter?”,ECB Working Paper,No 696.
[125]Schnabl,G.,F.Schobert,2009,“Global Asymmetries in Monetary Policy Operations:Debtor Central Banks of the Mena Region,”The Manchester School,77,85–107.
[126]Schnabl,P.,2012,“The International Transmission of Bank Liquidity Shocks:Evidence from an Emerging Market”,The Journal of Finance,Vol.67,No.3,pp.897-932.
[127]Shin,H.S.,2012,“Global banking glut and loan risk premium”,IMF Economic Review,60(2):155-192.
[128]Shin,H.S.,2013,“The Second Phase of Global Liquidity and Its Impact on Emerging Economies”,in Asia Economic Policy Conference at the Federal Reserve Bank of San Francisco.
[129]Sousa,J.,A.Zaghini,2008,“Monetary Policy Shocks in the Euro Area and Global Liquidity Spillovers”,International Journal of Finance and Economics,13:205-218.
[130]Stein,J.C.,2012,“Monetary Policy as Financial Stability Regulation”,The Quarterly Journal of Economics,(2012)127,57-95.
[131]Subacchi,P.,et al.,2010,“Beyond the Dollar:Rethinking the International Monetary System”,A Chatham House Report,March,http://www.chathamhouse.org.uk.
[132]Subramanian,A.,M.Kessler,2012,“The Renminbi Bloc is Here:Asia Down,Rest of the World to Go?”,Working Paper,Peterson Institute for International Economics,WP 12-19.
[133]Svensson,Lars E.O.,1999,“Inflation targeting as a monetary policy rule,”Journal of Monetary Economics,43,607-654.
[134]Taguchi,H.,2011,“Monetary autonomy in emerging market economies:The role of foreign reserves,”Emerging Markets Review,12,371-388.
[135]Wongswan,J.,2009,“The response of global equity indexes to U.S.monetary policy announcements,”Journal of International Money and Finance,28,344-365.
1商业银行的非核心负债一般指本地住户部门存款以外的负债(Chen等,2012)。
2 Azis和Shin(2015)提出的全球流动性的三个阶段是针对2008年全球金融危机而言的,三阶段具体指:危机前全球流动性泛滥的阶段、危机后中心国家采取量化宽松货币政策的阶段和量化宽松货币政策开始退出的阶段。
3 虽然Rey(2013)使用的术语是“全球金融周期”,但是全文的论述意味着“全球金融周期”与“全球流动性”共享同一个概念,亦符合Cerutti等(2014)给出的定义。不论“全球金融周期”还是“全球流动性”,它们都指向影响不同国家或地区的跨境资金流的全球资金供给因素。