流动性过剩条件下中国资本市场稳定性研究
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摘要
经济虚拟化程度的提高,使其成为与实体经济同等重要的经济持续稳定发展的核心因素。作为虚拟经济系统的最重要部分,稳定健康发展的资本市场对经济发展,优化资源配置和完善经济结构有着重要的影响。在金融危机爆发于发达国家继而蔓延到全世界的今天,中国如何面对经济全球化,如何保持国内资本市场的健康稳定发展,成为理论界和政府部门关注的热点问题。本文认为,以美国上世纪八十年代的滞胀为标志,货币与经济的虚拟化使得流动性过剩成为当代全球经济的常态。但流动性过剩并不必然导致资本市场不稳定,因此研究在流动性过剩条件下各种因素对资本市场影响,并根据中国的特色建立与之相适应的资本市场稳定的评估模型,建立金融危机的预警指标系统成为一个迫切的命题。
尽管国内外有关资本市场稳定影响的成果丰富,但多数关于流动性过剩对资本市场稳定的影响研究都局限于流动性过剩本身对资本市场稳定的影响,而对于间接因素的研究基本上是将其作为独立的影响因素进行分别研究,而没有将流动性因素和其他因素相互作用下对资本市场的影响进行系统的影响机理研究。
本文基于已有的研究成果,厘定资本市场稳定的内涵,从理论上分析资本市场稳定的影响因素。通过对经济虚拟化现实的论证在费雪的货币公式的基础上提出基于实体经济商品价格与数量和资产价格与数量的货币公式,并通过对中国流动性过剩对资本市场稳定影响的实证分析。实证结果表明实体经济与流动性过剩对中国的资本市场存在着显著的影响。在此基础上,以流动性过剩为前提,从宏观因素,金融体系的不完善,资本市场的缺陷,投资者行为,制度因素等五个方面考证了这些因素相互作用下共同构成对资本市场稳定的作用机理。
在实证分析的基础上,本文结合IMF金融稳定评估模型尝试建立适合中国特色的资本市场稳定的评估模型,运用层次分析模型(AHP)和专家分析法(DELPHI)构建包括5个方面28个指标以及相应权重集的中国资本市场稳定性综合评价指标体系和风险预警机制,并实证测算了2007年的资本市场稳定性量度。最后,本文还从资本市场稳定机制的内部优化与外部保障两个方面提出了若干措施以加强中国资本市场的稳定性。
With the capitalization of economy, fictitious economy becomes a core issue to maintain the stable development of the modern economy. Being a key element of fictitious economy, a healthy and stable capital market is essential to ensure efficient use of economic resources and a healthy economic structure. As the impact of financial crisis keep expanding, preserving the stability of capital market is most important. How to preserve the stability of the capital market within the circumstance of economy globalization has drawn close attention to both government and economic scholars. Taking the stagflation in U.S. as a milestone, this thesis argues that virtualization of money and economy capitalization makes excess liquidity become a normal economic phenomenon. But excess liquidity not necessarily leads to the instability of capital market. Therefore, the tasks of investigating the factors that influence Chinese capital market based on Chinese characteristics, developing an appropriate model to assess the stability of the capital market as well as building a precaution index system become imminent.
Although the economic literature on analyzing the influence to capital market is abundant, almost all of the existing research is restricted to looking into the direct impact of excess liquidity on the capital market. The analysis of the impact from the indirect factors is, however, performed separately. Most existing research lack of a systematical approach in pursuing the indirect influence as well as a joint analysis on the direct and indirect factors that influence the capital market due to excess liquidity.
Based on the findings of existing research, this thesis reviews the theoretical analysis on capital market stability and the factors that influence the capital market. Under the environment of economy capitalization, we propose a monetary model that bases on real economic commodity price & quantity and capital asset price & quantity using the fishery monetary formula. The empirical results demonstrate that China real economy and excess liquidity has prominent impact on the capital market. Then, taking excess liquidity as a precondition, we study the mechanism that incorporates relative factors that influence Chinese capital market, such as faultiness of financial system and capital market, investor behavior, and institutional issues.
Based on empirical study, we also construct a Chinese capital market stability model which combines IMF's FSAP index system. Using this model, this dissertation establishes a relative index system and a financial crises precaution mechanism. This study includes 28 indices from 5 aspects, which is estimated using the AHP and DELPHI method under an excess liquidity circumstance. After evaluating the stability of Chinese capital market in 2007, this dissertation raises some important issues that are critical to the stability of Chinese capital market, e.g., the mechanism of internal optimization, the external safeguard.
尽管国内外有关资本市场稳定影响的成果丰富,但多数关于流动性过剩对资本市场稳定的影响研究都局限于流动性过剩本身对资本市场稳定的影响,而对于间接因素的研究基本上是将其作为独立的影响因素进行分别研究,而没有将流动性因素和其他因素相互作用下对资本市场的影响进行系统的影响机理研究。
本文基于已有的研究成果,厘定资本市场稳定的内涵,从理论上分析资本市场稳定的影响因素。通过对经济虚拟化现实的论证在费雪的货币公式的基础上提出基于实体经济商品价格与数量和资产价格与数量的货币公式,并通过对中国流动性过剩对资本市场稳定影响的实证分析。实证结果表明实体经济与流动性过剩对中国的资本市场存在着显著的影响。在此基础上,以流动性过剩为前提,从宏观因素,金融体系的不完善,资本市场的缺陷,投资者行为,制度因素等五个方面考证了这些因素相互作用下共同构成对资本市场稳定的作用机理。
在实证分析的基础上,本文结合IMF金融稳定评估模型尝试建立适合中国特色的资本市场稳定的评估模型,运用层次分析模型(AHP)和专家分析法(DELPHI)构建包括5个方面28个指标以及相应权重集的中国资本市场稳定性综合评价指标体系和风险预警机制,并实证测算了2007年的资本市场稳定性量度。最后,本文还从资本市场稳定机制的内部优化与外部保障两个方面提出了若干措施以加强中国资本市场的稳定性。
With the capitalization of economy, fictitious economy becomes a core issue to maintain the stable development of the modern economy. Being a key element of fictitious economy, a healthy and stable capital market is essential to ensure efficient use of economic resources and a healthy economic structure. As the impact of financial crisis keep expanding, preserving the stability of capital market is most important. How to preserve the stability of the capital market within the circumstance of economy globalization has drawn close attention to both government and economic scholars. Taking the stagflation in U.S. as a milestone, this thesis argues that virtualization of money and economy capitalization makes excess liquidity become a normal economic phenomenon. But excess liquidity not necessarily leads to the instability of capital market. Therefore, the tasks of investigating the factors that influence Chinese capital market based on Chinese characteristics, developing an appropriate model to assess the stability of the capital market as well as building a precaution index system become imminent.
Although the economic literature on analyzing the influence to capital market is abundant, almost all of the existing research is restricted to looking into the direct impact of excess liquidity on the capital market. The analysis of the impact from the indirect factors is, however, performed separately. Most existing research lack of a systematical approach in pursuing the indirect influence as well as a joint analysis on the direct and indirect factors that influence the capital market due to excess liquidity.
Based on the findings of existing research, this thesis reviews the theoretical analysis on capital market stability and the factors that influence the capital market. Under the environment of economy capitalization, we propose a monetary model that bases on real economic commodity price & quantity and capital asset price & quantity using the fishery monetary formula. The empirical results demonstrate that China real economy and excess liquidity has prominent impact on the capital market. Then, taking excess liquidity as a precondition, we study the mechanism that incorporates relative factors that influence Chinese capital market, such as faultiness of financial system and capital market, investor behavior, and institutional issues.
Based on empirical study, we also construct a Chinese capital market stability model which combines IMF's FSAP index system. Using this model, this dissertation establishes a relative index system and a financial crises precaution mechanism. This study includes 28 indices from 5 aspects, which is estimated using the AHP and DELPHI method under an excess liquidity circumstance. After evaluating the stability of Chinese capital market in 2007, this dissertation raises some important issues that are critical to the stability of Chinese capital market, e.g., the mechanism of internal optimization, the external safeguard.
引文
[1]数据来自于IMF2002年度金融稳定报告,第179页。
[1]蒋祥林,2003:《中国股票市场波动性影响因素研究》,天津大学博士学位论文,pp10
[1]易宪容,黄少军(2005)在《现代金融理论前沿》中运用有效市场理论与CAPM模型对股票价格反映信息的合理尺度进行了详细的研究。易宪容、黄少军,2005:《现代金融理论前沿》,中国金融出版社,P93-98
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[1]大量的研究从微观的角度论述在流动性过剩的情况下,会增强投资人的风险偏好,从而增强资本市场的不稳定性。参见Rajah,R.,2006,"monetary policy and incentives." Address Given at Central Banks in the 21st Century Conference.
[2]Gouteron,S.and Szpiro D.,Excess Monetary Liquidity and Asset Prices.http://www.banque-france.fr/gb/publications/ner/1-131.htm,3 June 2005.
[1]关于流动性过剩的测量方法的详细总结,参见张明,2007:《流动性过剩的测量、根源和风险涵义》,《世界经济》,第11期。
[2]Gramer,J.S,1986,The Volume of Transactions and the Circulation of Money in the United States,1950-1979,Journal of Business and Economic Statistics,(4).
[3]Allen,R.A.,1994,New Uses of Money and the Collapse Velocity,Financial Crises & Recession in the Global Economy,Edward Elgar.
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[1]这里的“明道”、“暗道”是指资金的联结通道是否处于金融监管之下。
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汤洁荫,2008:《改革开放三十年资本市场课税的回顾与展望》,《中国金融》第19期,P51-52。
王国忠,2005:《当代经济的“二分法”:基于经济虚拟化的思考》,《财经研究》第11期。
王国忠,2006:《经济稳定的动态监测系统研究》,《经济理论与经济管理》,第3期
王国忠,2007:《货币政策的有效性研究--基于虚拟经济与实体经济关系的研究》,《经济学动态》,第7期
王华清,2004:《完善我国资本市场的战略思考》,《经济师》第3期。
王明华、黎志成,2005:《金融稳定评估指标体系:银行稳定的宏观成本控制研究》,《中国软科学》第9期,P126-132。
王伟,2008:《对我国多层次资本市场监管体系建设的思考》,《财会研究》第7期,P62-64。
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闻媛,2007:《关于我国证券税制体系构建的分析与思考》,《财经论丛》第3期,P35-39。
吴军,2005:《金融稳定框架分析与模型构建》,武汉大学博士学位论文,武汉大学。
吴光玲,2008:《关于加强资本市场基础性制度建设的思考》,《企业家天地(理论版)》第7期。
项燕霞,2004:《我国股票市场与货币政策关系的实证研究》,《新金融》第9期,P45-48。
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徐铮,2008:《内外均衡冲突与中国资本流动性过剩问题研究》,上海社会科学院博士学位论文,上海社会科学院。
杨丽,2004:《1998年以来我国货币政策有效性评析》,《金融研究》第11期。
杨琳,2002:《金融发展与实体经济增长》,中国金融出版社。
杨新松、龙革生,2006:《货币政策是否影响股票市场:基于中国股市的实证分析》,《中央财经大学学报》第3期,P39-44。
杨新松,2006:《中国货币政策的股票市场传导机制研究》,复旦大学博士学位论文,复旦大学,P56-78。
易纲、王召,2002:《货币政策与金融资产价格》,《经济研究》第3期,P13-20。
易宪容、黄少军,2005:《现代金融理论前沿》,中国金融出版社,P93-98。
余永定,2007:《理解流动性过剩》,《国际经济评论》第4期。
余元全,2007:《流动性过剩对资产价格膨胀的影响》,《浙江金融》第5期,P34-35。
袁欣,2004:《资本市场的结构与效率》,《经济师》第5期。
曾康霖,2007:《流动性过剩研究的新视角》,《财贸经济》第1期。
曾志坚,2007:《宏观经济变量对股票价格的影响研究》,《财经理论与实践》第1期。
张承惠,2003:《中国资本市场的结构调整》,《上海金融》第11期,P27-30。
张虹,2004:《提高资本市场效率要完善资本市场结构》,《党政干部学刊》第2期。
张岷,2007:《金融稳定评估指标体系的构建》,《统计与决策》第1期,P60-61。
张娟,2005:《企业资本结构与公司治理的关系研究》,《山东财经学院学报》第3期。
张晓峒,2000:《计量经济分析》,经济科学出版社。
张芸,2008:《加强社会信用体系建设的几点思考》,《河北金融》第10期。
张雪丽,2007:《开放经济条件下中国金融稳定研究》,东北财大博士学位论文,东北财大,P112-118。
张悦,2007:《流动性过剩中国经济的大考》,《中国国情国力》第6期,18-21
中国人民银行,2008:《2008年中国金融稳定报告》。
周小川,2004:《保持金融稳定防范道德风险》,《金融研究》第4期。
周远,2008:《我国资本市场层次结构问题研究》,天津财经大学硕士学位论文,天津大学
邹德文、张家峰、陈要军,2006:《中国资本市场的多层次选择与创新》,人民出版社,P23、P110-113。
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[1]蒋祥林,2003:《中国股票市场波动性影响因素研究》,天津大学博士学位论文,pp10
[1]易宪容,黄少军(2005)在《现代金融理论前沿》中运用有效市场理论与CAPM模型对股票价格反映信息的合理尺度进行了详细的研究。易宪容、黄少军,2005:《现代金融理论前沿》,中国金融出版社,P93-98
[1]参见邹德文、张家峰、陈要军,2006:《中国资本市场的多层次选择与创新》,人民出版社,P110一113
[1]长城证券-国通证券联合课题组,2001:《证券市场稳定机制与配套政策研究》,《中国证券报》。
[1]大量的研究从微观的角度论述在流动性过剩的情况下,会增强投资人的风险偏好,从而增强资本市场的不稳定性。参见Rajah,R.,2006,"monetary policy and incentives." Address Given at Central Banks in the 21st Century Conference.
[2]Gouteron,S.and Szpiro D.,Excess Monetary Liquidity and Asset Prices.http://www.banque-france.fr/gb/publications/ner/1-131.htm,3 June 2005.
[1]关于流动性过剩的测量方法的详细总结,参见张明,2007:《流动性过剩的测量、根源和风险涵义》,《世界经济》,第11期。
[2]Gramer,J.S,1986,The Volume of Transactions and the Circulation of Money in the United States,1950-1979,Journal of Business and Economic Statistics,(4).
[3]Allen,R.A.,1994,New Uses of Money and the Collapse Velocity,Financial Crises & Recession in the Global Economy,Edward Elgar.
[1]Goldsmith,Raymond W.,1969,"Financial Structure and Development"[M],New Haven:Yale University Press
[2]数据来自于IMF2002年度金融稳定报告,第179页。
[1]成思危,2003:《虚拟经济探微》,《南开学报(哲学社会科学版)》,第2期。
[1]这里的“明道”、“暗道”是指资金的联结通道是否处于金融监管之下。
[2]钱小安,2001:《货币市场与资本市场之间的联结机制及其疏导》,《金融研究》,第9期,67-73。
[1]邹德文、张家峰、陈要军,2006:《中国资本市场的多层次选择与创新》,人民出版社。
[1]董少鹏,2008:《抓好内在稳定机制的六大环节》,证券日报,8月4日。
[1]秦玉峰,朱启晨,2008:《试述我国资本市场发展不足》,《商业研究》,第10期。
[1]魁奈,1981:赋税论[A],魁奈经济著作选集[C],北京,商务印书馆,191-201。
[1]董少鹏,2008:《抓好内在稳定机制的六大环节》,证券日报,8月4日
班耀波、齐春宇,2003:《机构投资者:稳定市场还是加剧波动》,《经济评论》第6期,P94-98。
陈平、龙华,2003:《中国股市涨跌停绩效的经验分析及政策建议》,《世界经济》第2期,P68-79。
陈剑平,2008:《资本市场的中国国有上市公司治理研究》,《社科纵横》第3期,P43-44。
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成思危,2003:《虚拟经济论丛》,民主与建设出版社,P51。
成思危,2003:《虚拟经济探微》,《南开学报(哲学社会科学版)》第2期。
戴永秀、张柳梅,2008:《我国上市公司资本结构与公司治理的探究》,《科技和产业》第1期,P69-72。
董少鹏,2008:《抓好内在稳定机制的六大环节》,《证券日报》,8月4日。
杜敏杰、田新民,2006:《股票市场非系统性风险的交易行为解释》,《经济与管理研究》第3期。
杜军,2006:《中国股市涨跌幅限制效应理论与实证研究》,《工业技术经济》,第3期。
段小茜,2007:《金融稳定界说:定义、内涵及制度演进》,《财经科学》第1期,P1-2。
弗里德曼,1969《货币最优数量和其他论文》,美国芝加哥大学出版社
高全胜,2006:《宏观压力背景下股票市场风险的稳定性研究》,《中央财经大学学报》第9期,P50-56。
郭金龙、李文军,2004:《我国股票市场发展与货币政策互动关系的实证分析》,《数量经济技术经济研究》第6期,P18-27。
哈继铭,2007:《全球流动性过剩、资产价格与中国经济的发展》,《中国金融》第22期,P22-24。
华仁海、丁秀玲,2003:《我国股票市场收益、交易量、波动性动态关系的实证分析》,《财贸经济》第12期,P36-40。
华民,2008:《全球流动性过剩仍将持续》,《SHANGHAI&HONGKONG ECONOMY》第1期,P22。
黄霞,2007:《流动性过剩与资产泡沫膨胀下的中国金融稳定问题研究》,厦门大学博士学位论文,厦门大学。
胡琦、庞秀梅,2000:《对涨跌停板制度的探讨》,《浙江金融》第6期,P34-35。
蒋祥林,2002:《中国股票市场波动性影响因素研究》,天津大学博士学位论文,天津大学,5-12。
金德环,李胜利,2004:《我国证券市场价格与货币供应量互动关系的研究》,《财经研究》第4期
孔曙东、梅气、王勇,2002:《从股市暴跌透析我国股票市场混乱和波动的根源》,《财经科学》第2期,P1-6。
凯恩斯,1997:《就业利息和货币通论》,中译本,商务印书馆。
魁奈,1981:《赋税论》,载于魁奈《经济著作选集》,商务印书馆,P191-201。
李丰才,2008:《我国资本市场制度文化创新问题探索》,《社会科学家》第5期,P107-108。
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