流动性冲击与资产价格波动研究
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摘要
爆发于2007年的次贷危机是进大21世纪以来影响最为深远的全球性经济事件。危机爆发后,世界主要经济体奉行凯恩斯主义的衣钵,采取向处于破产边缘的金融机构大量注资、大幅降低基准利率、放松信贷和上马大型基建项目等措施。然而,政策干预效果与采取措施初衷相去甚远：一方面实体经济复苏之路并不平坦,美国经济复苏之路仍然非常漫长,欧洲仍然在泥潭中挣扎,日本经济持续低迷,新兴经济体陷入经济增速显著下行的困境；另一方面成熟经济体虚拟资产价格载高歌猛进,随着各国央行资产负债表迅速膨胀,成熟经济体如美国、英国和法国代表性股票指数已接近或超过经济基本面强劲的2000年和2007年水平。这种实体经济与虚拟经济背离现象值得警惕和深思。
回顾20世纪以来,全球经济所发生的每一次泡沫,如20世纪20年代美国经济、20世纪80年代口本经济、20世纪90年代的墨西哥经济、1997年之前亚洲经济、20世纪末的美国互联网泡沫和21世纪初美国经济的繁荣,每次危机爆发前人们都有充足的理由说“这次不一样”,即经济繁荣可以持续。然而,如果仔细分析每次经济从繁荣走向萧条的过程,每次危机前后都会伴随着“流动性急剧扩张—流动性逆转—流动性短缺”的流动性冲击过程,与其同时存在的是“资产价格急剧上涨—资产价格承压—资产价格暴跌”的资产价格急剧波动现象,验证了罗格夫和雷恩哈特的新著《这次不一样?》中所强调的主旨——“这次没什么不一样”。
在现有世界经济体系中,大多数经济体对内实行信用货币制度和对外实行有管理浮动汇率制度,始终临保持合适流动性以促进经济持续健康增长和保持资产价格稳定的艰难抉择。因此,对于流动性冲击和资产价格波动的研究,特别是流动性冲击与资产价格波动在不同经济体及不同发展阶段的经验总结不仅能够对本轮经济危机未来演绎过程有更深入理解,而且对于制定合理的宏观经济政策具有十分重要意义。
本文以“流动性冲击与资产价格波动研究”为题,重点关注“流动性冲击(Shock)→资产价格波动(Volatility)"这一过程,对流动性冲击与资产价格波动间的传导理论机制及相互影响的跨国实践进行全面而系统的研究分析。全文共包括五个重要组成部分：
第一部分厘清概念和要点。系统梳理流动性、流动性冲击、资产价格、资产价格波动、流动性冲击与资产价格波动等相关理论,对于流动性、流动性冲击和资产价格波动等重要概念予以明确界定并提出计量指标,从而为后续讨论提供明确概念前提。
第二部分构建理论框架。在对马克思“资本循环理论”分析基础上,基于保埃直达等学者所提出的理念和相关模型,以经济主体资本项目和经常项目核算为起点,分别构建封闭式和开放式经济体之流动性冲击的产生及其影响的理论框架；由货币供求“二分法”过渡至货币数量“二分法”,结合Abel&Bernanke模型的深入挖掘,构建流动性冲击到资产价格波动的一、二阶传导机制理论框架；进一步揭示不同经济发展阶段下的流动性冲击和资产价格波动的传导特征,为后续对相关经济体实证研究作好理论铺垫。
第三部分为流动性冲击和资产价格波动的国际经验研究。分别对部分代表性发达经济体和新兴经济体之流动性冲击和资产价格波动的实践进行系统性研究：一方面从定性角度对代表性国家特定阶段的流动性冲击和资产价格波动特征进行深入研究,另一方面从定量角度检验流动性冲击和资产价格波动间的相互作用机制。
第四部分为中国的流动性冲击和资产价格波动研究。重点对中国改革开放以来的流动性冲击和资产价格波动现象予以系统整理,得出中国流动性冲击和资产价格波动特征。
第五部分为流动性冲击与资产价格波动研究的启示。根据理论分析及总结不同经济体流动性冲击和资产价格波动特征,明确提出货币政策应关注资产价格变化(解决了货币政策是否需要关注资产价格问题),而且应关注主资产价格变化(解决了货币政策应关注哪类资产问题)。同时,根据各国实证结果及中国实际情况,提出当前中国房地产的主资产特征日益明显,并从流动性冲击与资产价格波动角度对中国汇率制度安排、金融创新及金融监管提出相应的对策建议。
The Sub-prime crisis is the most profound global economic event since the beginning of21century. After the outbreak of the crisis, most countries adopted the keynesian and actively took steps, such as capital injection, interest rate cut, easy credit and great construction project launch. However, the results are not as good as we expected. For one thing, it's a long way for the recovery of U.S. economy; Europe is bogged down in struggling against debt crisis, Japan's economy is still weak, and the emerging countries fall into the predicament of significantly downward. For another, the price of virtual assets rise rapidly, because of the quick and powerful propulsion of these policies, the central banks'balance sheet expand rapidly, the representative stock indexes of U.S., British and French have already exceeded or got close to the highest level with solid economic fundamentals in year2000or2007. The inconsistence between the real economy and virtual economy is worth our vigilance and ponder.
When we review each of the asset bubble since20th century, such as U.S.'s bubble in1920s, Japan's bubble in1980s, Mexico's bubble in year1994, Asian financial crisis in1997, U.S. IT bubble in2000and U.S. bubble before sub-prime crisis in2007. Every time, people seem to have abundant reasons to say that'this is not the same, and economic prosperity can be sustained'before crisis. However, if we analyse the process from boom to bust carefully, every crisis is accompanied by complete process of liquidity shock, at the beginning expanding sharpely, then reversing, and at last falling into great shortage. Meanwhile, every crisis is accompanied by complete process of asset price volatility, at the beginning increasing rapidly, then reversing, and at last collapsing. They all verify'this time is not different', which is the gist of Rogoff and Reinhart's latest book'this time is different?'
In the recent global economic system, most economies implement credit currency system inside and managed floating exchange rate system outside, and they always have to face the difficulty of keeping the proper level of liquidity to promote economic growth. So, the research on liquidity shock and asset price volatility, especially in different countries and different development periods, not only can help us to have a more in-depth understanding of the development of the recent economic crisis, but also have great significance for the reference of making reasonable macroeconomic policies.
This paper's title is'the research on liquidity shock and asset price volatility', this paper focuses on the process between liquidity shock and asset price volatility, does comprehensive research on the theoretical mechanism of liquidity shock and asset price volatility and their interaction in different countries. This paper has five important parts.
The first part, clarification of the concepts and keypoints. This paper introduces the theories of liquidity, liquidity shock, asset price and asset price volatility, liquidity shock and asset price volatility and so on. This paper clearly defines the important concepts and comes up the empirical indicators, which offers a clear conceptual premise for further discussion.
The second part, establishment of theoretical framework. Based on the analysis of the capital cycle theory of Karl Marx and other latest ideas and theoretical models, this paper chooses the measurement of current and financial accounts as the start point, comes up with the theoretical framework of the production of liquidity shock and its influence. Through the dichotomy of money supply and demand theory, and the dichotomy of quantity theory of money, this paper interagates them with Abel&Bernanke model, then establishes the first and second order transmission mechanism of liquidity shock and asset price volatility. Otherwise, the transmission of different development periods is also contained. This part offers theorical basis for the following discussion of relevant economies.
The third part, research on the international practice of liquidity shock and assets price volatility. this paper does research on the representatives of the developed and developing countries separately. For one thing, analyzes the transmission mechanism of these contries by qualitative research. For another, test the transmission mechanism of these contries by empirical research.
The fourth part, research on china's practice of liquidity shock and assets price volatility. This paper focuses on the practice of liquidity shock and assets price volatility since the beginning of reform and opening-up, and sums up the characteristics of liquidity shocks and asset price volatility of China.
The fifth part, the inspiration from the research on the theory and practice of liquidity shock and assets price volatility. Based on the analysis of theory and practice, this paper sums up the experience and lessons of liquidity shock and assets price volatility, and clearly puts forward that monetary policies should focus on the changes of assets'price, especially the changes of the main assets'price. The former answers the question'whether monetary policies need to focus on assets'price', and the other give the answer to the question'what kind of asset should monetary policies focus on'. According to the empirical results of representative economies and the real situation of china, this paper proposes that it is obvious that the real estate has more and more main asset's characteristics. This paper also puts forward the corresponding suggestions for the exchange rate system arrangement, financial innovation, and financial regulation of china.
回顾20世纪以来,全球经济所发生的每一次泡沫,如20世纪20年代美国经济、20世纪80年代口本经济、20世纪90年代的墨西哥经济、1997年之前亚洲经济、20世纪末的美国互联网泡沫和21世纪初美国经济的繁荣,每次危机爆发前人们都有充足的理由说“这次不一样”,即经济繁荣可以持续。然而,如果仔细分析每次经济从繁荣走向萧条的过程,每次危机前后都会伴随着“流动性急剧扩张—流动性逆转—流动性短缺”的流动性冲击过程,与其同时存在的是“资产价格急剧上涨—资产价格承压—资产价格暴跌”的资产价格急剧波动现象,验证了罗格夫和雷恩哈特的新著《这次不一样?》中所强调的主旨——“这次没什么不一样”。
在现有世界经济体系中,大多数经济体对内实行信用货币制度和对外实行有管理浮动汇率制度,始终临保持合适流动性以促进经济持续健康增长和保持资产价格稳定的艰难抉择。因此,对于流动性冲击和资产价格波动的研究,特别是流动性冲击与资产价格波动在不同经济体及不同发展阶段的经验总结不仅能够对本轮经济危机未来演绎过程有更深入理解,而且对于制定合理的宏观经济政策具有十分重要意义。
本文以“流动性冲击与资产价格波动研究”为题,重点关注“流动性冲击(Shock)→资产价格波动(Volatility)"这一过程,对流动性冲击与资产价格波动间的传导理论机制及相互影响的跨国实践进行全面而系统的研究分析。全文共包括五个重要组成部分：
第一部分厘清概念和要点。系统梳理流动性、流动性冲击、资产价格、资产价格波动、流动性冲击与资产价格波动等相关理论,对于流动性、流动性冲击和资产价格波动等重要概念予以明确界定并提出计量指标,从而为后续讨论提供明确概念前提。
第二部分构建理论框架。在对马克思“资本循环理论”分析基础上,基于保埃直达等学者所提出的理念和相关模型,以经济主体资本项目和经常项目核算为起点,分别构建封闭式和开放式经济体之流动性冲击的产生及其影响的理论框架；由货币供求“二分法”过渡至货币数量“二分法”,结合Abel&Bernanke模型的深入挖掘,构建流动性冲击到资产价格波动的一、二阶传导机制理论框架；进一步揭示不同经济发展阶段下的流动性冲击和资产价格波动的传导特征,为后续对相关经济体实证研究作好理论铺垫。
第三部分为流动性冲击和资产价格波动的国际经验研究。分别对部分代表性发达经济体和新兴经济体之流动性冲击和资产价格波动的实践进行系统性研究：一方面从定性角度对代表性国家特定阶段的流动性冲击和资产价格波动特征进行深入研究,另一方面从定量角度检验流动性冲击和资产价格波动间的相互作用机制。
第四部分为中国的流动性冲击和资产价格波动研究。重点对中国改革开放以来的流动性冲击和资产价格波动现象予以系统整理,得出中国流动性冲击和资产价格波动特征。
第五部分为流动性冲击与资产价格波动研究的启示。根据理论分析及总结不同经济体流动性冲击和资产价格波动特征,明确提出货币政策应关注资产价格变化(解决了货币政策是否需要关注资产价格问题),而且应关注主资产价格变化(解决了货币政策应关注哪类资产问题)。同时,根据各国实证结果及中国实际情况,提出当前中国房地产的主资产特征日益明显,并从流动性冲击与资产价格波动角度对中国汇率制度安排、金融创新及金融监管提出相应的对策建议。
The Sub-prime crisis is the most profound global economic event since the beginning of21century. After the outbreak of the crisis, most countries adopted the keynesian and actively took steps, such as capital injection, interest rate cut, easy credit and great construction project launch. However, the results are not as good as we expected. For one thing, it's a long way for the recovery of U.S. economy; Europe is bogged down in struggling against debt crisis, Japan's economy is still weak, and the emerging countries fall into the predicament of significantly downward. For another, the price of virtual assets rise rapidly, because of the quick and powerful propulsion of these policies, the central banks'balance sheet expand rapidly, the representative stock indexes of U.S., British and French have already exceeded or got close to the highest level with solid economic fundamentals in year2000or2007. The inconsistence between the real economy and virtual economy is worth our vigilance and ponder.
When we review each of the asset bubble since20th century, such as U.S.'s bubble in1920s, Japan's bubble in1980s, Mexico's bubble in year1994, Asian financial crisis in1997, U.S. IT bubble in2000and U.S. bubble before sub-prime crisis in2007. Every time, people seem to have abundant reasons to say that'this is not the same, and economic prosperity can be sustained'before crisis. However, if we analyse the process from boom to bust carefully, every crisis is accompanied by complete process of liquidity shock, at the beginning expanding sharpely, then reversing, and at last falling into great shortage. Meanwhile, every crisis is accompanied by complete process of asset price volatility, at the beginning increasing rapidly, then reversing, and at last collapsing. They all verify'this time is not different', which is the gist of Rogoff and Reinhart's latest book'this time is different?'
In the recent global economic system, most economies implement credit currency system inside and managed floating exchange rate system outside, and they always have to face the difficulty of keeping the proper level of liquidity to promote economic growth. So, the research on liquidity shock and asset price volatility, especially in different countries and different development periods, not only can help us to have a more in-depth understanding of the development of the recent economic crisis, but also have great significance for the reference of making reasonable macroeconomic policies.
This paper's title is'the research on liquidity shock and asset price volatility', this paper focuses on the process between liquidity shock and asset price volatility, does comprehensive research on the theoretical mechanism of liquidity shock and asset price volatility and their interaction in different countries. This paper has five important parts.
The first part, clarification of the concepts and keypoints. This paper introduces the theories of liquidity, liquidity shock, asset price and asset price volatility, liquidity shock and asset price volatility and so on. This paper clearly defines the important concepts and comes up the empirical indicators, which offers a clear conceptual premise for further discussion.
The second part, establishment of theoretical framework. Based on the analysis of the capital cycle theory of Karl Marx and other latest ideas and theoretical models, this paper chooses the measurement of current and financial accounts as the start point, comes up with the theoretical framework of the production of liquidity shock and its influence. Through the dichotomy of money supply and demand theory, and the dichotomy of quantity theory of money, this paper interagates them with Abel&Bernanke model, then establishes the first and second order transmission mechanism of liquidity shock and asset price volatility. Otherwise, the transmission of different development periods is also contained. This part offers theorical basis for the following discussion of relevant economies.
The third part, research on the international practice of liquidity shock and assets price volatility. this paper does research on the representatives of the developed and developing countries separately. For one thing, analyzes the transmission mechanism of these contries by qualitative research. For another, test the transmission mechanism of these contries by empirical research.
The fourth part, research on china's practice of liquidity shock and assets price volatility. This paper focuses on the practice of liquidity shock and assets price volatility since the beginning of reform and opening-up, and sums up the characteristics of liquidity shocks and asset price volatility of China.
The fifth part, the inspiration from the research on the theory and practice of liquidity shock and assets price volatility. Based on the analysis of theory and practice, this paper sums up the experience and lessons of liquidity shock and assets price volatility, and clearly puts forward that monetary policies should focus on the changes of assets'price, especially the changes of the main assets'price. The former answers the question'whether monetary policies need to focus on assets'price', and the other give the answer to the question'what kind of asset should monetary policies focus on'. According to the empirical results of representative economies and the real situation of china, this paper proposes that it is obvious that the real estate has more and more main asset's characteristics. This paper also puts forward the corresponding suggestions for the exchange rate system arrangement, financial innovation, and financial regulation of china.
引文
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