摘要
历史上资产价格过度波动引发金融动荡的历史事件不胜枚举,其中较为著名的有1637年郁金香狂热、1720年南海泡沫、1907年美国银行业危机、1929年华尔街崩盘、1987年“黑色星期一”……进入20世纪90年代,随着金融自由化、金融创新和信息技术的发展,资本市场的规模不断扩大、市场化程度不断提高,然而,这并未平息金融体系的剧烈动荡以及由此引致的实体经济衰退,日本“迷失的十年”、亚洲金融危机、美国次级贷款危机接连发生。在世界范围内金融体系大变革的背景下,上述金融危机也体现了新的时代特点：首先,资本市场与货币市场、境内市场与国际市场的日益融通促使金融资产规模日益扩张,资产价格变化对市场主体(家庭、企业)所持有的资产价值和一国宏观经济的影响日益增大,资产价格过度波动愈来愈成为宏观经济的不稳定因素；其次,上述危机均发生在通货平稳运行的情况下,资产价格与一般商品、服务价格的趋势性背离使传统货币政策的制定与实施陷入两难困境。
目前,关于资产价格波动引致经济金融风险的系统性研究似乎并未引起足够的重视。关于金融危机的研究主要集中于银行业危机和货币危机,资产价格只是危机研究的附属研究对象；而在货币政策方面,资产价格也是长期游离于目标体系之外,关于资产价格能否纳入、如何纳入货币政策目标体系,至今尚无定论。这在以往资本市场不够发达,规模狭小的情况下尚可理解,而时至今日,资本市场的深度和广度空前发展,以价格剧烈波动和数量高速扩张为特征的金融资产膨胀日益严重地改变世界经济结构和发展节奏,以往有关资产价格与经济金融稳定的相关理论就显得相对滞后与疲软。
反观我国,尽管在历次金融危机中,我国虽能有效应对,但风险犹存。资本市场波动剧烈、在内外流动性夹击下资产价格泡沫隐现、金融风险突出。这一系列现实问题都迫使我们寻求资本市场的内在波动机制以及化解资产价格泡沫、防范金融风险的路径和答案。出于对上述问题的思考,本文企图从资本市场波动的内在机理出发,探究资产价格泡沫“膨胀—破裂”的周期性：运行机制及其与银行业危机和货币危机的传导机制,进而为制定科学、有效的风险防范和金融稳定政策提供理论依据。
全文分为六章。第一章对资本市场波动与金融危机的文献进行梳理与回顾,通过对马克思的虚拟资本理论及其凯恩斯、费雪、明斯基等人的经典模型的考察,为文章的后续展开奠定理论基础。
第二章从金融资产的特殊属性出发,通过戈登股利恒定增长模型阐述资产价格的价值决定机制以及内在价值的经验判断方法,同时依据该方法将我国资本市场与美国、香港、台湾等海外市场进行基础价值的对比分析,为全面认识我国资产价格整体水平提供事实依据。在此基础上,对资产价格过度波动进行定性和定量分析,并利用因素分析法探究我国资本市场的主要影响因素及其影响的频度和程度。
第三章首先分析有效假说市场的理论缺陷和面对金融异象陷入的困境；接着引入行为金融的分析方法,阐述了投资主体的过度自信、羊群效应以及正反馈交易等非理性行为特征,着重通过DSSW噪声交易模型分析投资者行为特征对资产价格泡沫的催生作用,从投资主体这一微观视角展开对资产价格波动以及泡沫衍生的理论分析。
第四章选取流动性过剩作为资产价格泡沫膨胀的宏观因素,分析流动性过剩引致资产价格泡沫的作用机制。根据开放经济下的银行资产负债表,货币供应量主要是由本国商业银行信贷和持有外汇储备构成,因此,从信贷扩张和资本流入两个角度分别探讨内源性流动性过剩和输入性流动性过剩对资产价格泡沫的作用机制。最后,通过建立回归模型对我国流动性过剩与资产价格泡沫进行实证分析。
第五章从资产价格波动视角系统考察金融危机的生成与扩散机制。首先,分析资产价格泡沫存续性条件和破裂的原因；然后探讨泡沫破裂引发银行业危机和货币危机的传导机制,并分别以次贷危机和亚洲金融危机为配合案例,生动描绘泡沫破裂引发危机的传导机制。
针对我国资本市场市场波动剧烈、价格泡沫隐现、金融风险突出的运行特征,第六章提出相应的调控措施：通过建立多层次资本市场抑制过度波动；通过科学的货币政策疏导流动性过剩,控制资产价格泡沫；通过建立金融危机的预警机制,化解系统性风险等。
本文拟实现的创新主要有：1、尝试将微观层面的投资者主体行为与宏观层面的流动性过剩相结合,分析资产价格泡沫“膨胀—破裂”的运行机制及其引发的金融危机的传导机制。就微观层面而言,资本市场是由无数投资者和投机者共同构成的博弈场所,因而对于资本市场脱离基本面因素的非理性波动唯有从行为金融的角度加以阐释,这为我们分析资产价格泡沫提供了可取的微观视角；然而在没有流动性支持的情况下,任何投资主体都无法将其主观意愿转化为投资现实,从而也就难以作用于资产价格。流动性在为资产价格提供资金支持的同时,也会影响投资主体预期,从而间接作用于资产价格。遵循这一脉络,并结合当前的经济环境,在宏观层面上,本文从流动性视角来分析资产价格泡沫膨胀的原因,这样也可以更好地理解泡沫破裂后信贷紧缩和资本逆流所引发金融危机的传导机制。
2、依据流动性的相关文献和开放经济下银行体系资产负债表说明的货币供给机制,将流动性过剩引致资产价格泡沫的机制划分为信贷扩张导致的内源性流动性冲击和资本流入导致的输入性流动性冲击,系统分析了流动性过剩对资产价格的作用机制。
3、系统性地研究了资产价格泡沫“膨胀—破裂”周期性运行与银行业危机和货币危机的互动机制。目前的金融危机理论主要集中于对银行业危机和货币危机的研究,对资本市场危机没有足够重视。但是众多危机事件表明,20世纪30年代美国经济大萧条和20世纪90年代日本的持续经济衰退都起因于银行信用深度介入资本市场,推动了资产价格泡沫的急剧膨胀,而泡沫的破裂则直接引发了银行信用出现内生性紧缩,进而导致整体经济进入长期衰退状态；1997年亚洲金融危机,资产价格泡沫与外资流入也存在相似的作用机制。本文系统性地分析资产价格与信贷扩张、资本流动的互动机制,旨在引起对这一现象与机理的重视。
4、在分析的基础上,提出应对世界金融危机对我国经济严重影响的措施和政策建议。
There are numerous historical events about the financial upheavals triggered by the excessive volatility of asset prices, such as the Tulip Fever in 1637,the South Sea Foam in 1720, American Banking Crisis in 1907, the collapse of Wall Street in 1929 and the Black Monday in 1987 and so on. In 1990s, with the trend of financial liberation and innovation as well as the development of information techniques, the capital market was expanding continuously, so as to its market tendency. However the excellent capital market could not balance the tremendous turbulence of financial system and the following real economic depression. So it came in succession the Lost Ten Years in Japan, Asia Financial Crisis and US Subprime Mortgage Crisis. In the circumstances of the great revolution of global financial system, the financial crisis, discussed above, embody some new characteristics:first of all, the combinations of capital market and money market as well as the accommodation of domestic market and international market are fostering the escalation the scale of financial asset. The change of asset price has exert great influence on the asset value held by market's principal parts, that are family and enterprise, and also on the nations'macroeconomic. Besides, the excessive volatility of asset prices is more and more becoming the incentive of the unstable macroeconomic. Secondly, the above crisis all happened when the circulating medium was working smoothly, while the establishment and implement of traditional money policy is in a dilemma because of the violation of asset price from common commodity and service price.
Currently, people have not taken many eyes on the systematical research about the relationship between the excessive volatility of asset prices and economical financial crisis. The related studies are mainly about banking and money crisis. The asset price is only an additional object in the research of crisis. While to the policy of money, the asset price has being detached from the objective system for a long time. And there exist many aspects which are not ascertained till today, such as whether asset price can bring into the money policy's objective system or not, and if it could how it would be come true. The above problems can be understood in the former capital market which was not developed enough and its scale was too narrow. However today, according to the unprecedented development of the capital market's depth and breadth, and the changing world economic system and its developing rate, which are greatly influenced by the inflation of financial asset characterized with price volatility and quantity increased in a high speed, the former theories relating to the asset price and economical financial steady will become relatively lag and flexible.
Although China has avoided all previous crises, the dangerous of financial crisis also exists. The capital asset is fluctuating fiercely. The asset price bubble is looming and the financial crisis is standing out for the converging attack of domestic and aboard liquidity. So we are compelled to find the inherent volatility system of asset market and to resolve the problems of asset price bubble. With the consideration of above problems, this dissertation will study the periodicity circulate system of asset price bubble's "inflation-burst" and the transmit system of banking and money crisis.The purpose of this thesis is to provide theoretical basis for establishing scientific and effective crisis protection and financial steady policy.
This dissertation includes six chapters.The first chapter is the retrospect of some classical literatures relating about asset market volatility and financial crisis. The review of Marxian dummy capital theory and some classical models of Keynes, Fisher and Minsky is the basis of following discussion.
In chapter two, on the basis of financial asset's special attribute, I will expound the value decision system of asset price and its inherent value's experience judgment with Gordon dividend constant growth model. And the foundation value will be contrastive analyzed between Chinese capital markets with overseas markets such as US,Hong Kong, Taiwan with the method that the Gordon Model contains simultaneously, so as to understand the overall level of asset price in Chinese capital market. On the basis of the correct understanding of asset prices, the excessive fluctuations will be analyzed with qualitative and quantitative method. And then, the major effect factor and their frequency and the degree in Chinese capital market will be measured in the Factor Analytic Method.
The third chapter first analyzes the theory flaw of EMH and the difficult position of EMH caused by financial heteromorphy's;and then the Behavior Finance's analysis method will be leaded. In which method, the investor contain the non-rational behavior characteristic such as excessively self-confident, the flock of sheep effect as well as the regeneration transaction and so on. In this part, the DSSW model will be introduced to analyze the catalytic role of investor behavior characteristics in asset price bubble. In brief, the generation of asset price is be analyzed in the micro view from the investor perspective.
In the fourth chapter, the excess liquidity has been selected as an asset price bubble of the macroeconomic factor, therefore, the focus of this chapter is to analyze the mechanism that how do asset price be caused by excess liquidity. According to the balance sheet of banks in the open economy, we can see that money supply is mainly held by domestic commercial bank credit and foreign exchange reserves composition, therefore,we can extend credit as endogenous liquidity and define the capital inflow as exogenous excess liquidity, and then the asset price bubble could be analyzed from these two aspects respectively. Finally, an empirical analysis on excess liquidity and asset price bubbles in Chinese capital market will be carried out with a regression model.
The purpose of chapter five is to review the generation and proliferation of financial crisis from the aspect of asset price fluctuation. First of all, this chapter will analysis what is the condition of asset price fluctuation continuously exists and why it collapses.In succession, the transmit system, with which the bubble burst causing banking and money crisis, will also be probed in this part. And the cases of sub prime mortgage crisis and Asia financial crisis will be exampled here to support theory of the transmit system discussed above.
For the capital asset is fluctuating fiercely and the asset price bubble is looming as well as the financial crisis is standing out in our domestic capital market, the sixth chapter will provide corresponding measures to control the circulated problems. The main steps are as follows. We should set up multi-level capital market to control the excessive fluctuate. And the scientific money policy should be established to ease the excess liquidity and to control asset price bubble. Besides, we can establish the warning system against the financial crisis to resolve the systematic crisis.
The innovation of this paper include:1.The expected innovations of this dissertation are as follows. First, the principal investor behavior in microcosmic level will be connected with the excess liquidity in macrocosmic aspect in order to analysis the operating mechanism of asset price bubble's "expansion-break" and the transmission mechanism of how it causes the financial crisis. In the aspect of microeconomic, since capital market is the competitive sites constituted by numerous investors and speculators, so we should explain the irrational fluctuations of capital market, separating from fundamental aspects, in the prospective of behavioral finance, so that we can attain the suitable micro perspective in the process of the analysis the asset price bubble. However, without the support of liquidity, no investor can translate his or her subjective will translate into invest reality. Thus the asset price can not be influenced either. The liquidity can provide the capital support to asset price. Meanwhile it can also influence the expectation of invertors as well as the asset price indirectly. According to this thread, and in the circumstance of current economic, we can reach the reason why the asset price bubble is swelling in the aspect of liquidity. So the transmission mechanism, with which the credit crunch and capital reflux cause the financial crisis, can also be understood easily.
2. According to the literature based on liquidity and the money support system showed by balance sheet of banking system in the open economy, this paper divides the mechanism causing the asset price bubble into internal liquidity impact caused by credit expansion and external liquidity impact caused by capital flows so as to analysis the action mechanism of excess liquidity on asset prices systemically.
3. The present thesis makes a systematic study on the periodicity of capital price foam's "explosion-collapse" and the interactive mechanism between bank crisis and currency crisis. Contemporary financial crisis theories are mainly focused on the study of bank crisis and currency crisis, but emphasis on the capital market crisis is not enough. However, past crisis events showed that American Great Depression in the 1930s and the Japanese constant economy recession in the 1990s both origin from the involvement of bank credit into capital market, which aggravated the rapid explosion of capital price foam and leads to a sustained recession of the entire economy. In the Asian financial crisis in 1997, the interactive mechanism between the capital price foam and the inflow of foreign capital is the same. The present thesis aims to arouse emphasis on the interactive mechanism between t the credit expansion, the capital flow and the capital price by making a systematic analysis on it.
4. On the basis of analysis, the present thesis suggests respondent strategies and policies to the severe influence of world financial crisis on China's economy.
引文
① Richard Lambert. Crashes, Bangs & Wallops. Financial Times,2008,08,07 Myron J. Gordon. The Investment, Financing, and Valuation of Corporation, Irwin series in economics,1962,256
②法新社：次贷危机引发2002年以来全球股市最大跌幅,第一财经日报,2008年8月7日。
③IMF(2009)发布的《全球金融稳定报告》指出，中国财政刺激计划、资本流入和快速信贷增长,都可能引发不可持续的资产价格泡沫。资产价格已经在一些市场明显上升,而对于流动性过剩和房地产市场价格泡沫的担忧,将在未来各国决定退出刺激政策时明显加剧,并可能造成市场波动。
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⑦苏联经济学家卢森贝在《<资本论>注释》一书中对虚拟资本的概念进行了注解,认为马克思的虚拟资本有狭义和广义两种内涵,其中狭义的虚拟资本包括公债券、股票和企业债券。
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44在Arrow和Deberu的完备市场分析体系中,商品是在时间和空间上可分的,每一种状态下的每一种商品都存在一个竞争性市场,投资者通过自己的主观偏好和财富约束确定每种状态下的最优消费量,从而形成均衡价格；因此每种均衡价格必然也与整体信息存在一一对应的关系,格罗斯曼(Grossman,1976、1978)证明了交易者在同质先验预期和常系数风险厌恶条件下,每一种均衡状态的资产价格是市场信息的充分统计量,即能够充分反映其他投资者所具备的信息函数,从而市场信息与资产均衡价格是可逆函数。
45 Samuelson. Paul A. Proof That Properly Anticipated Prices Flucauate Randomly. Indusrrial Management Revies,1965(Spring):41.
46 Benoit Mandelbort. Forecasts of Future Prices,Unbiased Markets, and "Maringale" Models. The Jouranl of Business. Vol.39. No.1,Part 2:Supplement on Security Prices,1966(Jan):24.
47 Roberts,Harry.Stock Market "Patterns" and Financial Analysis:Methodological Suggestions. Journal of Finance.1959(44):1-10.
48 Eugene F. Fama.Efficient Capital Markets:A Review of Theory and Empirical Work. The Journal of Finance. Vol.25. No.2.1969(May.1970):383-417.
49 Sharp, William. Capital Asset Prices:A Theory of Market Equilibrium under Condition of Risk. Journal of Finance.1964(Sep).
50 参见兹维·博迪和罗伯特·C·莫顿：《金融学》(中译本),中国人民大学出版社2000年版,第331页。
51 John Y. Campbell & John H. Cochrane..Explaining the Poor Performance of Consumption-based Asset Pricing Models, Journal of Finance, American Finance Association, vol.55(6),2000(December):2863-2878.
52 Robert C. Merton. An Intertemporal Capital Asset Pricing Model, Economitrica, Volume 41, Issue5,1973(Sep): 867-887.
53 Breeden, D. T. An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities, Journal of Financial Economics,1979(7):265-296.
54 Jensen,Michael C. Some anomalous evidence regarding market efficiency. Journal of Financial Economics. Elsevier, vol.6(2-3),1978:95-101..
55 Shiller, Robert J. Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?, American Economic Review. American Economic Association, vol.71(3),1981(June):421-36.
57 Banze.R. W, The Relationship Between Return and Mauket Value of Common Stock. Journal of Financial Economics,1981(9):3-18.
58 Eugene F. Fama. Efficient Capital Markets:Ⅱ, Journal of Finance,,46(5),1991(Dec):1575-1617.
59 Grossman,Sanford J. and Stiglitz, Joseph E. Inforamtion and Competitive Price Systems. The American Economic Review,1976:246-253..
60 Kahneman, D., and Tversky, A.On the psychology of prediction. Psychological Review,1973(80):237-251. Tversky, A.,& Kahneman, D. Availability:A heuristic for judging frequency and probability. Cognitive Psychology,1973(5):207-232. Tversky, A., and Kahneman, D. Judgment under uncertainty:Heuristics and biases. Science,1974(185): 1124-1131.
61 Kahneman, D., andTversky, A. Prospect theory:An analysis of decisions under risk. Econometrica, 1979(47):313-327.
62 Scharfstein, D,S., Stein, J.C. Herd Behavior and Investment, Amercian Economic Review,1990(80):465-479.
63即年终提供投资组合报告时,增加进气表现不错的股票,抛出业绩较差的股票。见Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W. Contrarian Investment, Extrapolation, and Risk, Journal of Finance, American Finance Association, vol.49(5),1994(December).:1541-1578.
64 Andrei Shleifer. Inefficient Market:An Introduction to Behavior Finance, Oxford University Press,2000
65 F.Black. Noise. The Journal of Finance,1986.
66 David Hirshleifer. Invester Psychology and Asset Pricing, Journal of Finance,2001, LVI(4):1533-1597.
67 Nicholas Barberis and Richard H. Thaler. A Survey of Behavioral Finance. NBER working paper National Bureau of Economic Research,2002.
68 Rajnish Mehra and Edward C. Prescott. The Equity Premium A Puzzle. Journal of Monetary Economics, 1985(15):145-161.
71 Fama. Market Efficiency, Long-term returns, and Behavioral Finance. Journal of Financial Economics 1998(49):283-306.
72查理斯·麦基：《非同寻常的大众幻想与群众性癫狂》,李绍光等译,中国金融出版社2000年版。
73 The New Palagrave:A Dictionary of Economics, edited by John Eatwell, Murray Milgate,and Peter Newman, New York, Stockton Press,1987:211
74 Joseph E. Stiglitz. Symposium on Bubbles. The Journal of Economic Perspectives,Vol.4,No.2.1990 (Spring,): 13-18.
75彼得·加伯：《泡沫的秘密：早期金融狂热的基本原理》,陈小兰译,北京：华夏出版社2003年版。
76 Shiller. Robert J. Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?, American Economic Review, American Economic Association, vol.71(3),1981(June):421-36.
77 Nicholas Barberis, Andrei Shleifer, Robert Vishny.A Model of Investor Sentiment, Journal of Financial Economics Volume:49, Issue:3,1998:307-343.
78 Froot, Kenneth A & Scharfstein, David S & Stein, Jeremy C,1993. Risk Management:Coordinating Corporate Investment and Financing Policies,Journal of Finance, American Finance Association, vol.48,1993:1629-1658.
79安德瑞·史莱佛：《并非有效的市场——行为金融学导论》,中国人民大学出版社2003年版,第153页。
80 J. Bradford DeLong, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann. Positive-Feedback Investment Strategies and Destabilizing Rational Speculation,Journal of Finance 45:2,1990 (June):374-397.
81 J. Bradford DeLong, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann. Noise Trader Risk in Financial Markets, Journal of Political Economy 98:4,1990(August):703-738.
82张灿：《金融泡沫理论研究》,上海财经大学出版社2003年版。
83金德环：《中国证券市场波动与控制研究》,上海财经大学出版社2003年版。
84董贵昕：《金融泡沫的形成、运行与控制研究》,复旦大学出版社2005年版。
85资料来源：http://www.treas.gov/tic/tiederiv/.shtml.
86资料来源：IMF.The World Economic Outlook,2007.
87《新帕尔格雷夫经济学大词典》,第3卷,第229页,Liquidity词条(经济科学出版社1996年版)
88流动性这一概念最早可以追溯到1930年凯恩斯的著作《货币论》,认为“国债及短期贷款比投资具有流动性——也就是说,更有把掘在短期内变现不发生损失,而投资则比预付款的流动性更好”。
89凯恩斯：《就业利息和货币通论》,徐毓枬译,商务印书馆,1983版,第43页。
90参见：Robinson·John, The Rate of Interest. In J·Robinson,, The Generalization of the General Theory and Other Essays, Macmillan.1979. First Published in 1951.
91希克斯在流动性偏好理论基础上将流动性资产划分为交易资产、储蓄资产和为获取收入而持有的投资资产,参见《价值与资本》,商务印书馆1962年版。
92凯恩则通过一个扩展模型重新证明了投机需求的有效性,参见：Kahn·Richard,Some Notes on Liquidity Preference, Selected Essays on Employment and Growth. Cambridg University Press,1972.
93 Korkut. Aaaet Price Bubbles. Liquidity Preference and The Business Cycle, Metroeconomica,2006(2):57
94转引自唐双宁：关于解决流动性过剩问题的初步思考,《经济研究》2007年第9期。
95 Hirshleifer,J. The Investment Decision. International Encyclopedia of the Social Sciences 1968(8):194-202.
96 Engle and Lange. Measuring, Forecasting and Explaining Time Varying. Liquidity in the Stock Market,Journal of Financial Markets,2001:113-142.
97 Demsetz, H. The costs of Transacting, Quarterly Journal of Economics,1968(82):33-53.
98 Ohara, M. and Oldfield, G. The Microeconomics of Market Making. Journal of Financial And Quantitative Analysis,1986(21):361-376.
99 Kyle,Albert S. Continuous Auctions and Insider Trading. Econometrica Vol 53, No.6,1985 (Nov): 1315-1335.
100吴晓灵：流动性过剩与金融市场风险,《中国金融》,2007年19期,第8页。
101 Roger W. Ferguson. Asset Prices and Monetary Liquidity,2005, http://www.federalreserve.gov.
102 Thorsten Polleit and Dieter Gerdesmeier. Measures of Excess Liqiudity. ECB Working Paper Series,2006(Aug):5.
103 Magnus Saxegaard. Excess Liquidity and Effectiveness of Monetary Policy:Evidence from Sub-Saharan Africa. IMF, Working Paper,WP/06115:12.
104余永定：理解流动性过剩,《国际经济评论》2007年第7—8期,第5页。
105任碧云、王越凤：中国流动性过剩原因辨析,《经济理论与经济管理》2007年第2期。
106 Carpio,Gerard & Honohan,Patrick.Excess liquidity and monetary overhangs,World Development,vol.21(4), 1993(Apri1):523-533.
107 陆磊:论银行体系的流动性过剩,《金融研究》,2007年,第1期.谢百三,刘岩准备金率与股市：疏导流动性过剩的两大途径,《价格理论与实践》,2007年第2期。
108张新泽：关于流动性几个问题的研究,《金融研究》,2008年第3期。
109戴金平(2007)指出货币供给增加形成巨额存款可能是造成商业银行流动性资产过多的重要因素之一但并不是唯一原因,如商业银行流动性过剩也有可能是由于投资需求不旺盛,而导致贷款需求不足与萎缩。
110唐双宁：关于流动性过剩问题的初步思考,《经济研究》,2007年第9期。
111 Elhiraika. Adam B. Risk-sharing and the supply of agricultural credit:A case study of Islamic finance in Sudan, Journal of Agricultural Economics,1996(3):390-402.
112 Adam B Elhiraika. Islamic Financial System and Savings:An Empirical Assessment, Islamic Development Bank working paper No.1683,1996(8).
113 Joachim Fels. Is Global Excess Liquidity Drying Up?, Global Economic Forum,2005(Nov):8.
114张新泽：关于流动性几个问题的研究,《金融研究》,2008年第3期。
115彭方平、展凯、李琴：流动性过剩与央行货币政策有效性,《管理世界》,2008年第5期。
116 Magnus Saxegaard. Excess Liquidity and the Effectiveness of Monetary Policy:Evidence from Sub-Saharan Africa, IMF Working Papers 2006.陆磊：论银行体系的流动性过剩,《金融研究》,2007年,第]期。
117北京大学中国经济研究中心宏观组：流动性的度量及其与资产价格的关系,《金融研究》2008,第9期。
118张明：流动性过剩的测量、根源和风险涵义,《世界经济》2007第11期。
119朱庆(2006),超额货币率(EM)=货币供给增长率—经济增长率—物价上涨率。一般用GDP增长率近似代替经济增长率,用居民消费价格指数代替物价上涨率。
120 Claudio Borio, William English, Andrew Filardo. A Tale of Two Perspectives:Old or New Challenges for Monetary Policy? BIS Working Paper No.127,2003 (February).
121 Allen. Franklin and Gale, Douglas M., Financial Contagion. Journal of Political Economy, Vol.108, No.1, 2000(February).
122 Illing, Gerhard, Financial Fragility, Bubbles and Monetary Policy, CESifo Working Paper Series No 449, 2001(April).
123 Tim Gogdon. Money and Asset Price in Boom and Bust, Institute of Economic Affairs,2005.
124 Christiano, Lawrence J., Motto, Roberto and Rostagno, Massimo. The Great Depression and the Friedman-Schwartz Hypothesis, FRB of Cleveland Working Paper No.03-18,2004 (January).
125王建：流动性过剩与地产、股市泡沫问题,《金融经济》2007年,第3期。
126张明：流动性过剩的测量、根源和风险涵义,《世界经济》2007年,第11期。
127华伟荣、张志伟、宋宇：我国货币政策与证券市场波动的关联性实证研究,深圳证券交易所第六届会员单位、基金公司研究成果评选,2003。
128楚尔鸣、肖珑、石华军；中国股市政策性波动的原因分析——一种新的契约理论分析框架,《石家庄经济学院学报》,2006年第3期。
129周京奎：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年第4期。
130北京大学中国经济研究中心宏观组：流动性的度量及其与资产价格的关系,《金融研究》2008,第9期。
131林乐芬、高文芳：我国货币流动性过剩的影响因素分析,《经济纵横》,2008年,第3期。
132邵蔚：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3期。
133劳伦斯·S·科普兰：《汇率与国际金融》(康以同等译),中国金融出版社,2002年版。
134 Franklin Allen, Douglas Gale.Optimal Financial Crises, Journal of Finance, American Finance Association, vol.53(4),1998(8):1245-1284.
136 Herring. Wachter. Real Estate Booms and Banking Busts:An International Perspective. Uninversity of Pennsylvania.center for Finacial Institutions Working Paper.1999(Jul):99-127.
137 Sylvain Gouter and Daniel Szpiro. Excess money liquidity and asset price, Banque de France,2005.
138肖本华： 投资成本、信贷扩张与资产价格,《世界经济》,2008年第9期。
139参见姚枝仲、张亚斌：中国资本项目的变化及其宏观影响,《世界经济》,2001年第8期。
140 见田索华：《国际资本流动与货币政策效应》,复旦大学出版社2008年版,第363页。
141约翰·伊特维尔、默里·米尔盖特、彼得·纽曼：《新帕尔格雷夫大辞典(2)》,经济科学出版社,1992年版,第67页。该词条释义是由John Williamson (1992)提出,并为学术界所普遍接受。
142见陈雨露：《国际资本流动的经济分析》,中国金融出版社1997年版,第239页。
143如果外国资本流动中的直接投资采用非货币资本,如人力资源、生产技术和设备等,并不直接通过银行体系,那么其产生的国内信用扩张和货币供给压力会相对小一些。
144 Bosworth. B. P.. and Susan M. Collins.Capital Flows to Developing Economies:Implications for Saving and Investment. Bookings Papers on Economic Acivivy.1999 (1):143-180.
145 Calvo. Guillermo. A., Lennardo Leiderman. and Carman M. Reinhart. Capital and Real Exchange Rate Appreciation in Latin America:The Role of External Factors. IMF Staff Papers.1993 (40):108-151.
146李翀：《短期资本流动的成因、效应与风险》,人民出版社2004年版,第127页。
147国际货币基金组织：《国际资本市场：发展、前景和政策》中译本,中国金融出版社,1996年版,第116页。
148详见赵桂枝、吴江：九十年代以来国际金融市场的新特点,《辽宁经济》,1999年第2期。
149覃东海：全球流动性过剩的根源与风险,《中国外汇》,2008年第1期。
150转引自：刘洁：《繁荣或危机：透视流动性过剩》,中国金融出版社2008年版,第313页。
151英国《金融时报》2008年2月12日报道。
153覃东海：全球流动性过剩的根源与风险,《中国外汇》,2008第1期。
154见中国人民共和国财政部网站http://www.mof.gov.cn/
155德意志银行2008年发表的研究报告指出,人民币的升值预期是导致热钱大规模入境的主要原因,估算数据显示,2008年1-4月流入中国境内的热钱约为3700亿美元。张明(2009)利用“热钱=外汇储备增加额—贸易顺差—FDI—汇率变动造成的估值效应”的方法估算得,2009年第三季度热钱流入规模合计为596亿美元,尽管略低于第二季度879亿美元的流入,但绝对规模还是相当大的。
156刘洁：《繁荣或危机：透视流动性过剩》,中国金融出版社2008年版,第208页。
157俞建国：对我国储蓄与投资失衡问题的思考,《宏观经济研究》,2008年第6期。
158鲍尔：经济结构失衡下的“流动性泛滥”,《中国房地产报》,2007年6月4日。
159具体可参见：成思危主编：《开放进程中的中国虚拟经济》,南开大学出版社,2007年版。
162关于我国金融市场利率基准指标的选取可以参看：戴国强、梁福涛：中国金融市场基准利率选择的经验分析,《世界经济》2006年第4期以及蒋贤锋、王贺、史永东：我国金融市场中基准利率的选择,《金融研究》,2008年第10期。
163货币实际余额和上证综指采用月度资料是因为有关货币供给量的宏观经济信息是在每月末时由宏观监管当局向公众发布,这样可以较好包含货币供给预期外变动产生的影响,同时上证综指的月度指标可以减少与货币供给无关的噪音成分,更好反映货币政策影响。
164中登公司发布统计年报显示,截止2008年末各类机构投资者持有上市A股流通市值占比为54.62%,这是机构投资者首次超越散户。相信在超常规发展机构投资者的战略部署下,随着机构投资者迅速壮大,投资者结构会不断改善优化,并引导广大个体投资者走向成熟和理性,促进我国资本市场稳健、规范、高效地运行。
165在凯恩斯主义的标准IS-LM模型中,政府可以通过控制利率对资产价格产生影响。货币主义则认为政府公开市场购买在增加基础货币投放的同时,会减少证券存量,从而引起资产价格上升,这一过程在均衡利率的情况下也可能发生165。同时资产价格的变化也可能影响市场利率和货币供给量。在货币主义看来,证券存量未预期到的增加或减少会通过资产价格的变动对市场利率产生上升或下降的压力,在中央银行维持目标利率不变的政策指引下可能会被动增加货币投放量。我国学者尹中立(2007)从货币内生化角度探讨了资产价格上涨造成金融体系的信用扩张及其对流动性过剩的影响。
166 2005年之前超额货币增长率一直低于1995年。
167具体见：IMF：《全球金融稳定报告2008(4)》,中国金融出版社,2008年版以及肇越：《金融资产膨胀与货币政策困境》,社会科学文献出版社2005年版,第121页。
168肇越：《金融资产膨胀与货币政策困境》,社会科学文献出版社2006年版。
169 Frederic S. Mishkin and Eugene N. White. U.S. Stock Market Crashes and Their Aftermath:Implications for Monetary Policy, NBER Working Papers 8992,2002.
170见宾斯维杰：《股票市场,投机泡沫与经济增长》,张建森译,上海三联书店2003版。
171刘春航、张新：“繁华预期”、流动性变化和资产价格,《金融研究》,2007年第6期。
172数据来源于张灿：《金融泡沫理论研究》,上海财经大学出版社2001年版,第214页。
173查理斯·P·金德尔伯格：《疯狂、惊恐和崩溃：金融危机史》(朱朱隽,叶翔译),北京大学出版社2000年版。
174 Lagunoff,R. D., and S. L.Shreft. A Model of Financ Fragility,Journal of Economic Theory,2001(99): 220-264.
175 Kaminsky, G and Reinhart, C. The twin crises:The causes of banking and balance-of-payments problems, The American Economic Review,1999(89):473-500.
176 Kunt, Asli, Enrica Detragiache. The Determinants of Banking Crises in Developing and Developed Countries, IMF Staff Paper,1998(45):81-109. Reuven Glick and Michael Hutchison. Banking and currency crises; how common are twins? Proceedings, Federal Reserve Bank of San Francisco,1999(Sep):99-120.
177 Joon-Ho Hahm and Frederic S. Mishkin. Causes of the Korean Financial Crisis:Lessons for Policy, NBER Working Papers.2000.
178 Anne Vila. Asset Price Crises and Banking Crises:Some Empirical Evidence. Bank of England,2002.
179 Borio. C..N. Kennedy and S. Prowse. Exploring Aggregate Asset Price Fluctuations across Countries: Measurement. Determinants and Monetary Policy Implications, BIS Working Paper,1994(40).
150 Goodhart. C. Price Stability and Financial Fragility, in K. Sawamoto,Z. Nakajima and H. Taguchi eds. Financial Stability in a Changing Environment:Martins Press,1995.
181 Joon-Ho Hahm and Frederic S. Mishkin. Causes of the Korean Financial Crisis:Lessons for Policy,NBER Working Papers,2000.
182 Barry Eichengreen & Carlos Arteta. "Banking Crises in Emerging Markets:Presumptions and Evidence," Working Paper Series 1007.2000.
183 Kaminsky. G. and Reinhart. C. The twin crises:The causes of banking and balance-of-payments problems. The American Economic Review,1999(89):473-500. Claudio Borio and Philip Lowe. Asset prices, financial and monetary stability:exploring the nexus.BIS Working Paper.2002(114).
184 M. D. Bordo and 0. Jeanne. Boom-Busts in Asset Prices, Economic Instability, and Monetary Policy, NBER Working Paper No.8966,2002(May).
185 Bernanke, Ben and Cara Lown.The Credit Crunch, Brookings Papers on Economic Activity,1991(2),:205-39.
186弗拉基斯拉夫·伊诺泽姆采夫：并非如此严重的萧条—以积极的态度来看当前的危机,王哲编译,《经济社会体制比较》2009年第5期。
187杜厚文、初春莉：美国次级贷款危机：根源、走势、影响,《中国人民大学学报》,2008年第1期。
188孟辉、伍旭川：美国次贷危机与金融稳定,《中国金融》,2007年第18期。
189数据来源：金融界数据中心。
190张明：次贷危机的传导机制,《国际经济评论》,2008年7—8期。
191雷良海、魏遥：美国次贷危机的传导机制,《世界经济研究》2009年第1期。
192同上
193资料来源：第一财经日报(上海)2007年7月4日
194数据引自 裴桂芬等：《国际金融动荡研究》,人民出版社2003年版,第52页。
195陈学彬：《当代金融危机的形成、扩散与防范机制研究》,上海财经大学出版社2001年版,第56页。
196陈学彬：《当代金融危机的形成、扩散与防范机制研究》,上海财经大学出版社2001年版,第57页。
197中国证券监督管理委员会：《中国资本市场发展报告》,中国金融出版社2007年版,第79页。
198格力斯潘将企业债形容为银行业危机时候企业融资的“备用轮胎”,见John Hawkins,Bond Market and Banks in Emerging Economies. BIS Papers,2002(June):11. Guorong Jiang,Nancy Tang and Eve Law(2001)研究表明发达的债券市场能够平衡融资结构,有助于减少危机发生的可能性。
199粗略估计,美国资本市场2007年底,股票市值占资本市场11%～12%,低于债券市场的总市值占比13%-14%,衍生证券市场所占比重最大;这与我国股票市值大十债券,债券大于衍生品的结构正好相反。《中国证券报》,2007年12月11日。
200尚福林于2009年12月18日出席“2009财经年会”时披露的信息。
201中国证券监督管理委员会：《中国资本市场发展报告》,中国金融出版社2007版,第104页。
202中国人民银行金融稳定分析小组：《中国金融稳定报告2009》,中国金融出版社2009年版,第38页。
203通过购买投资银行出售的债务抵押债券(CDO),为其提供资金,从而扩充了投资银行购买抵押债券(MBS)的规模。
204刘钊：《股票市场脆弱性与金融稳定》,中国金融出版社2009年版,第247页
205 Bernanke. B and Blinder. A. Credit. Money.and Aggregate Demand. American Economic Review,1988(78): 435-439.
206 Ben Bernanke and Mark Gertler. Monetary policy and asset price volatility, Proceedings, Federal Reserve Bank of Kansas City,1999:77-128.
207 Frederic S. Mishkin and Eugene N. White. Stock Market Bubbles:When Does Intervention Work? Milken Institute Review.2003 (Second Quarter):44-52.
208 Gruen, David. Michael Plumb, and Andrew Stone. How Should Monetary Policy Respond to Asset-Price Bubbles? Reserve Bank of Australia Research Discussion Paper,2003(11).
209 Ben S. Bernanke. Deflation:Making Sure "It" Doesn't Happen Here,Federal Reserve.2002(Nov):22.
210 Ben Bernanke and Mark Gertler. Monetary policy and asset price volatility, Proceedings, Feder Reserve Bank of Kansas City,1999:77-128. Bernanke, B, and M. Gerlter. Should central banks respond to movements in asset prices? American Economic Review,2001(91):253.
211 Frederic S. Mishkin and Eugene N. White. Stock Market Bubbles:When Does Intervention Work? Milken Institute Review,2003(Second Quarter):44-52.
212 Cecchetti, Stephen. G,., Hans Genberg, John Lipsky, and Sushil Wadhwani. Asset Prices and Central Bank Policy, Geneva Reports on the World Economy 2, Centre for Economic Policy Research,2000.
213 Bordo, Michael D ane Jeanne, Olivier. Monetary Policy and Asset Prices:Does'Benign Neglect'Make Sense? International Finance, Blackwell Publishing, vol.5(2),2002(Summer):139-164.
214 Goodhart, Charles. What Weight Should Be Given to Asset Prices in the Measurement of Inflation? Economic Journal 111,2001 (June):335-356. Goodhart, Charles., and Boris Hofman. Asset Price. Financial Conditions and the Transmission of Monetary Policy, Federal Reserve Bank,2001 (Mar).
215 Boyan. Milanonic F., Stephen G., Gecchetti.,and Roisin O'Sullivan. Asset Prices in the Measurement of Inflatio. Working Paper no.8700,Nationl Bureau of Economic Research,2002(January).
216 Carsten Detken and Frank Smets. Asset price booms and monetary policy,Working Paper Series 364, European Central Bank.2004.
217转引自杨伟、谢海玉：资产价格与货币政策困境：“善意忽视”能解决问题吗?《国际金融研究》,2009年第11期。
218瞿强：资产价格与货币政策,《经济研究》,2001年第7期。
219黄达：《宏观调控与货币供给》,中国人民大学出版社,1999年版,第295页
220 Stephen G. Cecchetti. Monetary Policy and Capital Regulation:Is there a conflict? Money and Credit, 2007:224
221资料来源：21世纪经济报道：通胀预期与资产价格泡沫,2010年1月11日。
222资料来源：经济参考报：中国经济需警惕通胀预期与资产价格泡沫,2010年3月22日。
223郭田勇：资产价格、通货膨胀与中国货币政策体系的完善,《金融研究》,2006年第10期。
224资料来源：《国际金融报》,2009年8月6日。
225 Berg, Andrew, and Catherine Pattillo. Are Currency Crises Predictable? A Test, IMF Working Paper.,1998: 98-154.
226 M. Michaels. An Interview wi IiYa Prigogine. The Chaos Network,1992(4)
227资料来源：新华网www.news.cn
228 Paul Slovic. Perception of Risk. Science,1987:280-285
229 Covello V. T. Merkhofer M W. Risk Assessment Methods. Plenum Press. New York.1994:319.
230 Kaminsky, G. L., S. Lizondo and C. M. Reinhart. Leading Indicator of Currency Cris, IMF Working Papers. 45(1):1998:1-48.
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