内外失衡下的流动性供给、资产价格及货币政策选择
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摘要
上个世纪三十年代,崇尚“看不见的手”调节市场的国家遭遇了一场前所未有的经济危机,当人们从大萧条的阴影中走出时,开始反思政府在市场经济中的角色,于是强调政府干预的凯恩斯主义应运而生。同时经济学家也设想,假如时光倒流,中央银行是不是能在危机到来之前采取某种相应的货币政策使经济免于动荡,或者在泡沫崩溃之后能采取某种措施将危机损害尽量降低并加快复苏速度。
如果说大萧条时期人们担心的主要问题是“需求不足和流动性不足”的话,那么在接踵而至的1990年代日本金融危机和1998年东南亚金融危机中困扰发达国家和新兴市场经济体的问题反而变成了“流动性过剩”。进入21世纪,世界最大经济体美国又接连遭遇金融危机,危机的典型特征是经济失衡下流动性过剩导致了资产泡沫膨胀,泡沫最终破裂引发金融动荡。
分析每一次金融动荡,我们都会发现全球化过程中经济失衡是近年来历次危机的主要背景,而“流动性”和“资产泡沫”是危机的主要线索。于是,笔者希望通过研究,厘清经济内外失衡、流动性和资产价格之间的关系,以及中央银行采取何种货币政策中介目标更能有助于预防危机的发生和在危机之后促进经济尽快复苏。
消费不足和储蓄过度的内因加上不合理国际产业分工体系的外因造成了我国经济的内外失衡,这种失衡将会在今后较长时期内成为我国经济发展的主要背景,而不合理的国际货币体系导致的全球流动性过剩也时刻威胁着我国的金融安全。
如何应对流动性问题是研究的主线,本文首先分析流动性和流动性过剩,指出由于受到诸多因素干扰,流动性过剩在理论和实践上都难以明确界定和计量,因为谁也无法准确预测人类在贪婪与恐惧的本性下做出的对资产风险与收益的评估,央行自然也不例外。即使央行判断出流动性过剩也往往为时已晚,长期投资过热可能已经催生了资产泡沫,此时是否刺破泡沫又是一个艰难选择。那么对于金融稳定,央行能做的到底是什么呢?央行应当专注于自身的流动性供给状况,关注流动性供给与资产期限调整的关系进而与金融稳定的关系。当出现异常的短期与长期资产之间的替代时,央行应当相机运用利率、货币供给量等手段时刻影响公众的预期,通过影响公众的预期来抑制资产替代过程中的过分投机,从而有效避免金融动荡。可见央行的作用不在于判断出存在流动性过剩后采取何种对策,而是时刻相机调整流动性供给,旨在通过以警示和诱导改变公众预期的方法来有效地预先防止资产泡沫出现。
本文通过向量自回归模型(VAR)详细分析了对代表流动性的M1、金融机构贷款总额;代表通胀情况的CPI、PPI;代表资产价格的上证指数SHI、中房综合景气指数ZEI等六个变量,辨明各变量之间的相关性和Granger因果关系。单位根检验显示六个水平变量之间没有明显的协整关系,但每个变量都是一阶单整I(1),说明取差分之后的变量变得平稳,变量之间出现了稳定的协整关系。六变量之间的Granger因果关系分析表明:房产指数与金融机构信贷总量及M1都有双向因果关系,上证指数和M1也有双向因果关系,这就意味着货币供给和信贷规模都与股市和房地产等资产价格有很大的相关性。M1和房产景气指数领先于CPI,意味着资产价格膨胀最终会通过刺激需求引致通胀加剧。
计量结果表明,货币供给、信贷总额、资产价格、通胀指标之间存在着复杂的单向和双向关系,所以文章认为试图通过控制单一货币政策中介目标来避免“流动性过剩”和“流动性黑洞”,确保资产价格不背离其基础价值似乎是个无法完成的任务,因为人们至今未能给出一个判断资产价格泡沫的恰当标准,更不用说通过政策变量来控制泡沫了。所以盯紧和控制多个货币政策中介目标,相机抉择调控流动性供给不失为现阶段我国中央银行的理性选择。
当经济紧缩时中央银行应及时注入流动性,经济过热危及金融稳定时相机运用利率杠杆和控制信贷规模和货币供给。从计量结果我们发现,M1、信贷总量都与资产价格高度相关,货币投放超量和金融过度支持都会使流动性过剩,继而引发资产泡沫形成。因此现阶段对货币供应量的控制仍然十分必要,同时也要盯紧金融机构的信贷量。既然货币政策的真正作用在于晴雨表式的引导和未雨绸缪的预警和威慑,那么中央银行最需要维护的就是自身信誉和政策执行效率。
In the 1930’s the market economic countries, which advocate“invisible hands”encountered with a severe economic crisis. When recovered from this recession, the Keynesianism, which emphasizes on government interventions, has become the mainstream after rethink profoundly on government’s function upon the market economics. Meanwhile, economists were assuming, could the crisis be avoided if the government had applied some monetary policy before the crisis, or could the damage be reduced and recovery speeded up if the government had taken some more immediate action after the collapse down.
If the major concern of the Great Depression was lack of“liquidity or short in demand”, the financial crisis in Japanese and South-east Asia occurred in the 1990s’was a result of“excessive liquidity”. Also, the United States which suffers from the financial crisis is also a victim of continuous expansion and final burst of asset bubbles due to the liquidity excess.
When we analyze the above financial turbulence, we can easily find out the background of the crisis is always the economic imbalance during the economic globalization. The thread of the financial turbulence is always the“liquidity”and“asset bubbles”. Therefore, the author is trying to discover the relationship among economic imbalance, liquidity and asset price as well as which kind of Monetary Policy the central bank takes is more helpful to prevent the crisis and promote recovery from the economic crisis.
Insufficient consuming and excessive saving has become the internal factor for China’s economic imbalance, so as the irrational international industry separation system as the external factor. This internal and external imbalance will affect the financial security of China’s economic system.
How to deal with the liquidity has become the main thread of this essay. First of all, the essay defines liquidity and excess liquidity, conclude that the excess liquidity is hard to quantify neither in theory nor in practice. The reason is that: Since no one can predict the exact risk and return of assets in long-term under the natural sense of greed and dread, the central banks are also hard to make quick decisions. When finally the excess liquidity is determined by the central bank, long-term investment may have been overheated and formed a lot of asset bubbles. It would be too late for central banks to make decisions whether to eliminate the bubbles. After all, what can be done for the central banks to stabilize the finance market? The author believe that central bank should focus themselves more on their own liquidity supply, focus on the relationship between asset term adjustment, finance stability and liquidity supply. Whenever abnormal long and short term asset turnover shows up, central banks should make take good control over various monetary tools like interest rate, currency supply to influence the public expectation in order to restrain excessive speculation and avoid financial turbulence. From the above mentioned, it can be conclude that: The central bank should not take action until the excess liquidity is judged, but modify the liquidity supply from time to time, in order to warn and lead the public expectation and thus avoid the form of asset bubbles.
By using the vector auto regression model(VAR), the essay analyzes the following 6 variables and identifies their correlation Granger cause relation. M1 and total loans of financial institutions, which stands for the liquidity; CPI and PPI, which stands for inflation; Shanghai Security Index (SHI), which stands for asset prices; China housing Index (ZEI)
The Unit root test of stationarity shows that every variable is first-order cointegration I(1), it becomes stationary after difference process. There exists a stationery cointegration relationship between each variable. While the Granger cause relation analysis shows that the China housing Index (ZEI) has two way Granger cause relationship with total loans of financial institutions and M1; the Shanghai Security Index (SHI) also has two way Granger cause relationship M1. This result shows that the monetary supply and total loan amount has great correlation with asset prices such as stock price and housing price. The M1 and housing index are leading the CPI, which means the raise of asset prices will stimulate consuming and at last cause the deepening of inflation.
The Econometric method shows that, there is a complex one-way or two-way relationship among variables of monetary supply, total loan amount, asset price and inflation. Thus, author believes it is impossible to avoid“excessive liquidity”and“liquidity black holes”as well as maintain asset price stable by controlling a single monetary policy intermediate goal. Up to now, we can yet judge an appropriate level of asset bubbles, not to say controlling of them. Therefore, by taking into considerate a number of monetary policy intermediate goals and control accordingly has become the rational choice of China’s Central Bank.
When economy is moving towards recession, the central bank should provide adequate liquidity, while the economy is heated or stable, the central bank should tighten the monetary supply by controlling loan amount as well as using the interest rate leverage. The Econometric method shows the M1 and total loan amount are highly related with asset bubbles, while the excessive monetary supply and financial support will lead to excessive liquidity and thus cause asset bubbles. Therefore, it is of great significance to control monetary supply and keep an eye on loan amount of financial institutions. Since the real effect of monetary policy is to guide or warn the market, thus the credibility and efficiency has currently become what central bank need to maintain most.
如果说大萧条时期人们担心的主要问题是“需求不足和流动性不足”的话,那么在接踵而至的1990年代日本金融危机和1998年东南亚金融危机中困扰发达国家和新兴市场经济体的问题反而变成了“流动性过剩”。进入21世纪,世界最大经济体美国又接连遭遇金融危机,危机的典型特征是经济失衡下流动性过剩导致了资产泡沫膨胀,泡沫最终破裂引发金融动荡。
分析每一次金融动荡,我们都会发现全球化过程中经济失衡是近年来历次危机的主要背景,而“流动性”和“资产泡沫”是危机的主要线索。于是,笔者希望通过研究,厘清经济内外失衡、流动性和资产价格之间的关系,以及中央银行采取何种货币政策中介目标更能有助于预防危机的发生和在危机之后促进经济尽快复苏。
消费不足和储蓄过度的内因加上不合理国际产业分工体系的外因造成了我国经济的内外失衡,这种失衡将会在今后较长时期内成为我国经济发展的主要背景,而不合理的国际货币体系导致的全球流动性过剩也时刻威胁着我国的金融安全。
如何应对流动性问题是研究的主线,本文首先分析流动性和流动性过剩,指出由于受到诸多因素干扰,流动性过剩在理论和实践上都难以明确界定和计量,因为谁也无法准确预测人类在贪婪与恐惧的本性下做出的对资产风险与收益的评估,央行自然也不例外。即使央行判断出流动性过剩也往往为时已晚,长期投资过热可能已经催生了资产泡沫,此时是否刺破泡沫又是一个艰难选择。那么对于金融稳定,央行能做的到底是什么呢?央行应当专注于自身的流动性供给状况,关注流动性供给与资产期限调整的关系进而与金融稳定的关系。当出现异常的短期与长期资产之间的替代时,央行应当相机运用利率、货币供给量等手段时刻影响公众的预期,通过影响公众的预期来抑制资产替代过程中的过分投机,从而有效避免金融动荡。可见央行的作用不在于判断出存在流动性过剩后采取何种对策,而是时刻相机调整流动性供给,旨在通过以警示和诱导改变公众预期的方法来有效地预先防止资产泡沫出现。
本文通过向量自回归模型(VAR)详细分析了对代表流动性的M1、金融机构贷款总额;代表通胀情况的CPI、PPI;代表资产价格的上证指数SHI、中房综合景气指数ZEI等六个变量,辨明各变量之间的相关性和Granger因果关系。单位根检验显示六个水平变量之间没有明显的协整关系,但每个变量都是一阶单整I(1),说明取差分之后的变量变得平稳,变量之间出现了稳定的协整关系。六变量之间的Granger因果关系分析表明:房产指数与金融机构信贷总量及M1都有双向因果关系,上证指数和M1也有双向因果关系,这就意味着货币供给和信贷规模都与股市和房地产等资产价格有很大的相关性。M1和房产景气指数领先于CPI,意味着资产价格膨胀最终会通过刺激需求引致通胀加剧。
计量结果表明,货币供给、信贷总额、资产价格、通胀指标之间存在着复杂的单向和双向关系,所以文章认为试图通过控制单一货币政策中介目标来避免“流动性过剩”和“流动性黑洞”,确保资产价格不背离其基础价值似乎是个无法完成的任务,因为人们至今未能给出一个判断资产价格泡沫的恰当标准,更不用说通过政策变量来控制泡沫了。所以盯紧和控制多个货币政策中介目标,相机抉择调控流动性供给不失为现阶段我国中央银行的理性选择。
当经济紧缩时中央银行应及时注入流动性,经济过热危及金融稳定时相机运用利率杠杆和控制信贷规模和货币供给。从计量结果我们发现,M1、信贷总量都与资产价格高度相关,货币投放超量和金融过度支持都会使流动性过剩,继而引发资产泡沫形成。因此现阶段对货币供应量的控制仍然十分必要,同时也要盯紧金融机构的信贷量。既然货币政策的真正作用在于晴雨表式的引导和未雨绸缪的预警和威慑,那么中央银行最需要维护的就是自身信誉和政策执行效率。
In the 1930’s the market economic countries, which advocate“invisible hands”encountered with a severe economic crisis. When recovered from this recession, the Keynesianism, which emphasizes on government interventions, has become the mainstream after rethink profoundly on government’s function upon the market economics. Meanwhile, economists were assuming, could the crisis be avoided if the government had applied some monetary policy before the crisis, or could the damage be reduced and recovery speeded up if the government had taken some more immediate action after the collapse down.
If the major concern of the Great Depression was lack of“liquidity or short in demand”, the financial crisis in Japanese and South-east Asia occurred in the 1990s’was a result of“excessive liquidity”. Also, the United States which suffers from the financial crisis is also a victim of continuous expansion and final burst of asset bubbles due to the liquidity excess.
When we analyze the above financial turbulence, we can easily find out the background of the crisis is always the economic imbalance during the economic globalization. The thread of the financial turbulence is always the“liquidity”and“asset bubbles”. Therefore, the author is trying to discover the relationship among economic imbalance, liquidity and asset price as well as which kind of Monetary Policy the central bank takes is more helpful to prevent the crisis and promote recovery from the economic crisis.
Insufficient consuming and excessive saving has become the internal factor for China’s economic imbalance, so as the irrational international industry separation system as the external factor. This internal and external imbalance will affect the financial security of China’s economic system.
How to deal with the liquidity has become the main thread of this essay. First of all, the essay defines liquidity and excess liquidity, conclude that the excess liquidity is hard to quantify neither in theory nor in practice. The reason is that: Since no one can predict the exact risk and return of assets in long-term under the natural sense of greed and dread, the central banks are also hard to make quick decisions. When finally the excess liquidity is determined by the central bank, long-term investment may have been overheated and formed a lot of asset bubbles. It would be too late for central banks to make decisions whether to eliminate the bubbles. After all, what can be done for the central banks to stabilize the finance market? The author believe that central bank should focus themselves more on their own liquidity supply, focus on the relationship between asset term adjustment, finance stability and liquidity supply. Whenever abnormal long and short term asset turnover shows up, central banks should make take good control over various monetary tools like interest rate, currency supply to influence the public expectation in order to restrain excessive speculation and avoid financial turbulence. From the above mentioned, it can be conclude that: The central bank should not take action until the excess liquidity is judged, but modify the liquidity supply from time to time, in order to warn and lead the public expectation and thus avoid the form of asset bubbles.
By using the vector auto regression model(VAR), the essay analyzes the following 6 variables and identifies their correlation Granger cause relation. M1 and total loans of financial institutions, which stands for the liquidity; CPI and PPI, which stands for inflation; Shanghai Security Index (SHI), which stands for asset prices; China housing Index (ZEI)
The Unit root test of stationarity shows that every variable is first-order cointegration I(1), it becomes stationary after difference process. There exists a stationery cointegration relationship between each variable. While the Granger cause relation analysis shows that the China housing Index (ZEI) has two way Granger cause relationship with total loans of financial institutions and M1; the Shanghai Security Index (SHI) also has two way Granger cause relationship M1. This result shows that the monetary supply and total loan amount has great correlation with asset prices such as stock price and housing price. The M1 and housing index are leading the CPI, which means the raise of asset prices will stimulate consuming and at last cause the deepening of inflation.
The Econometric method shows that, there is a complex one-way or two-way relationship among variables of monetary supply, total loan amount, asset price and inflation. Thus, author believes it is impossible to avoid“excessive liquidity”and“liquidity black holes”as well as maintain asset price stable by controlling a single monetary policy intermediate goal. Up to now, we can yet judge an appropriate level of asset bubbles, not to say controlling of them. Therefore, by taking into considerate a number of monetary policy intermediate goals and control accordingly has become the rational choice of China’s Central Bank.
When economy is moving towards recession, the central bank should provide adequate liquidity, while the economy is heated or stable, the central bank should tighten the monetary supply by controlling loan amount as well as using the interest rate leverage. The Econometric method shows the M1 and total loan amount are highly related with asset bubbles, while the excessive monetary supply and financial support will lead to excessive liquidity and thus cause asset bubbles. Therefore, it is of great significance to control monetary supply and keep an eye on loan amount of financial institutions. Since the real effect of monetary policy is to guide or warn the market, thus the credibility and efficiency has currently become what central bank need to maintain most.
引文
1刘春航、张新,“繁华预期”、流动性变化和资产价格,金融研究,2007.6.
2朱一鸿,我国流动性过剩问题的根源及治理对策评价,宁波大学学报,2008.1.
1后格林斯潘时代的美联储货币政策展望,经济科学出版社,2008.9:P122～124
1姜波克,国际金融新论,复旦大学出版社,1997.12:P72
1姜波克,国际金融学,高等教育出版社,1999.8:P202～215
1“Excesss liquidity”refers to a positive deviation of the actual money stock,while a“liquidity shortfall”is a negative deviation ECB MB(Europeon Central bank,Monthly Bulletion),May 2001.
1张勇,《论中国货币政策传导机制的不确定性》,2006.11,P122-123.
1 [英]克里斯·布鲁克斯(Chris Brooks )金融计量经济学导论,西南财经大学出版社,2005.6,P347
1金德尔伯格:《经济过热、经济恐慌及经济崩演—金融危机史》,北京大学出版社,2001年版:P23、P63。
1成家军,资产价格与货币政策,社会科学文献出版社,2004.12:P155~158,部分数据经整理。
1向松祚、邵智宾,伯南克的货币理论和政策哲学,北京大学出版社,2008.1:P250
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