本文關(guān)鍵詞：流動(dòng)性沖擊與資產(chǎn)價(jià)格波動(dòng)研究　出處：《上海社會(huì)科學(xué)院》2013年博士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 流動(dòng)性 流動(dòng)性沖擊 流動(dòng)性管理 資產(chǎn)價(jià)格波動(dòng) 傳導(dǎo)效應(yīng)

【摘要】：爆發(fā)于2007年的次貸危機(jī)是進(jìn)大21世紀(jì)以來(lái)影響最為深遠(yuǎn)的全球性經(jīng)濟(jì)事件。危機(jī)爆發(fā)后,世界主要經(jīng)濟(jì)體奉行凱恩斯主義的衣缽,采取向處于破產(chǎn)邊緣的金融機(jī)構(gòu)大量注資、大幅降低基準(zhǔn)利率、放松信貸和上馬大型基建項(xiàng)目等措施。然而,政策干預(yù)效果與采取措施初衷相去甚遠(yuǎn)：一方面實(shí)體經(jīng)濟(jì)復(fù)蘇之路并不平坦,美國(guó)經(jīng)濟(jì)復(fù)蘇之路仍然非常漫長(zhǎng),歐洲仍然在泥潭中掙扎,日本經(jīng)濟(jì)持續(xù)低迷,新興經(jīng)濟(jì)體陷入經(jīng)濟(jì)增速顯著下行的困境；另一方面成熟經(jīng)濟(jì)體虛擬資產(chǎn)價(jià)格載高歌猛進(jìn),隨著各國(guó)央行資產(chǎn)負(fù)債表迅速膨脹,成熟經(jīng)濟(jì)體如美國(guó)、英國(guó)和法國(guó)代表性股票指數(shù)已接近或超過(guò)經(jīng)濟(jì)基本面強(qiáng)勁的2000年和2007年水平。這種實(shí)體經(jīng)濟(jì)與虛擬經(jīng)濟(jì)背離現(xiàn)象值得警惕和深思。 回顧20世紀(jì)以來(lái),全球經(jīng)濟(jì)所發(fā)生的每一次泡沫,如20世紀(jì)20年代美國(guó)經(jīng)濟(jì)、20世紀(jì)80年代口本經(jīng)濟(jì)、20世紀(jì)90年代的墨西哥經(jīng)濟(jì)、1997年之前亞洲經(jīng)濟(jì)、20世紀(jì)末的美國(guó)互聯(lián)網(wǎng)泡沫和21世紀(jì)初美國(guó)經(jīng)濟(jì)的繁榮,每次危機(jī)爆發(fā)前人們都有充足的理由說(shuō)“這次不一樣”,即經(jīng)濟(jì)繁榮可以持續(xù)。然而,如果仔細(xì)分析每次經(jīng)濟(jì)從繁榮走向蕭條的過(guò)程,每次危機(jī)前后都會(huì)伴隨著“流動(dòng)性急劇擴(kuò)張—流動(dòng)性逆轉(zhuǎn)—流動(dòng)性短缺”的流動(dòng)性沖擊過(guò)程,與其同時(shí)存在的是“資產(chǎn)價(jià)格急劇上漲—資產(chǎn)價(jià)格承壓—資產(chǎn)價(jià)格暴跌”的資產(chǎn)價(jià)格急劇波動(dòng)現(xiàn)象,驗(yàn)證了羅格夫和雷恩哈特的新著《這次不一樣?》中所強(qiáng)調(diào)的主旨——“這次沒(méi)什么不一樣”。 在現(xiàn)有世界經(jīng)濟(jì)體系中,大多數(shù)經(jīng)濟(jì)體對(duì)內(nèi)實(shí)行信用貨幣制度和對(duì)外實(shí)行有管理浮動(dòng)匯率制度,始終臨保持合適流動(dòng)性以促進(jìn)經(jīng)濟(jì)持續(xù)健康增長(zhǎng)和保持資產(chǎn)價(jià)格穩(wěn)定的艱難抉擇。因此,對(duì)于流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)的研究,特別是流動(dòng)性沖擊與資產(chǎn)價(jià)格波動(dòng)在不同經(jīng)濟(jì)體及不同發(fā)展階段的經(jīng)驗(yàn)總結(jié)不僅能夠?qū)Ρ据喗?jīng)濟(jì)危機(jī)未來(lái)演繹過(guò)程有更深入理解,而且對(duì)于制定合理的宏觀經(jīng)濟(jì)政策具有十分重要意義。 本文以“流動(dòng)性沖擊與資產(chǎn)價(jià)格波動(dòng)研究”為題,重點(diǎn)關(guān)注“流動(dòng)性沖擊(Shock)→資產(chǎn)價(jià)格波動(dòng)(Volatility)"這一過(guò)程,對(duì)流動(dòng)性沖擊與資產(chǎn)價(jià)格波動(dòng)間的傳導(dǎo)理論機(jī)制及相互影響的跨國(guó)實(shí)踐進(jìn)行全面而系統(tǒng)的研究分析。全文共包括五個(gè)重要組成部分： 第一部分厘清概念和要點(diǎn)。系統(tǒng)梳理流動(dòng)性、流動(dòng)性沖擊、資產(chǎn)價(jià)格、資產(chǎn)價(jià)格波動(dòng)、流動(dòng)性沖擊與資產(chǎn)價(jià)格波動(dòng)等相關(guān)理論,對(duì)于流動(dòng)性、流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)等重要概念予以明確界定并提出計(jì)量指標(biāo),從而為后續(xù)討論提供明確概念前提。 第二部分構(gòu)建理論框架。在對(duì)馬克思“資本循環(huán)理論”分析基礎(chǔ)上,基于保埃直達(dá)等學(xué)者所提出的理念和相關(guān)模型,以經(jīng)濟(jì)主體資本項(xiàng)目和經(jīng)常項(xiàng)目核算為起點(diǎn),分別構(gòu)建封閉式和開(kāi)放式經(jīng)濟(jì)體之流動(dòng)性沖擊的產(chǎn)生及其影響的理論框架；由貨幣供求“二分法”過(guò)渡至貨幣數(shù)量“二分法”,結(jié)合AbelBernanke模型的深入挖掘,構(gòu)建流動(dòng)性沖擊到資產(chǎn)價(jià)格波動(dòng)的一、二階傳導(dǎo)機(jī)制理論框架；進(jìn)一步揭示不同經(jīng)濟(jì)發(fā)展階段下的流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)的傳導(dǎo)特征,為后續(xù)對(duì)相關(guān)經(jīng)濟(jì)體實(shí)證研究作好理論鋪墊。 第三部分為流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)的國(guó)際經(jīng)驗(yàn)研究。分別對(duì)部分代表性發(fā)達(dá)經(jīng)濟(jì)體和新興經(jīng)濟(jì)體之流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)的實(shí)踐進(jìn)行系統(tǒng)性研究：一方面從定性角度對(duì)代表性國(guó)家特定階段的流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)特征進(jìn)行深入研究,另一方面從定量角度檢驗(yàn)流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)間的相互作用機(jī)制。 第四部分為中國(guó)的流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)研究。重點(diǎn)對(duì)中國(guó)改革開(kāi)放以來(lái)的流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)現(xiàn)象予以系統(tǒng)整理,得出中國(guó)流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)特征。 第五部分為流動(dòng)性沖擊與資產(chǎn)價(jià)格波動(dòng)研究的啟示。根據(jù)理論分析及總結(jié)不同經(jīng)濟(jì)體流動(dòng)性沖擊和資產(chǎn)價(jià)格波動(dòng)特征,明確提出貨幣政策應(yīng)關(guān)注資產(chǎn)價(jià)格變化(解決了貨幣政策是否需要關(guān)注資產(chǎn)價(jià)格問(wèn)題),而且應(yīng)關(guān)注主資產(chǎn)價(jià)格變化(解決了貨幣政策應(yīng)關(guān)注哪類(lèi)資產(chǎn)問(wèn)題)。同時(shí),根據(jù)各國(guó)實(shí)證結(jié)果及中國(guó)實(shí)際情況,提出當(dāng)前中國(guó)房地產(chǎn)的主資產(chǎn)特征日益明顯,并從流動(dòng)性沖擊與資產(chǎn)價(jià)格波動(dòng)角度對(duì)中國(guó)匯率制度安排、金融創(chuàng)新及金融監(jiān)管提出相應(yīng)的對(duì)策建議。
[Abstract]:The subprime crisis broke out in 2007 in twenty-first Century since the impact of the most far-reaching event. The global economic crisis, the world's major economies to pursue Keynes's legacy to the brink of bankruptcy of financial institutions to inject substantial funds significantly reduced the benchmark interest rate, the relaxation of credit and launched large-scale infrastructure projects and other measures. However, the effect of intervention policies and measures from the original intention: on the one hand, the recovery of the real economy is not a smooth road, the economic recovery of the road is still very long, Europe still struggling in the mire, the Japanese economy sustained downturn, economic growth in emerging economies was down dilemma; on the other hand the mature economies of fictitious assets prices set with stride forward singing militant songs. The central bank balance sheet expansion, mature economies such as the United States, Britain and France representative stock index has been close to or exceed the economy The basic level is strong in 2000 and 2007. The deviation between the real economy and the virtual economy is worth vigilant and thought-provoking.
Review since twentieth Century, every bubble occurred in the global economy, such as the U.S. economy in 1920s, in 1980s the economy, the economy of Mexico in 1990s, 1997 before the Asian economy, in twentieth Century the United States at the end of the Internet bubble and the beginning of the twenty-first Century American economic prosperity, every time before the crisis people have good reason to say "this is not the same." that is, economic prosperity can be sustained. However, if a careful analysis of each economy from prosperity to recession, every time before and after the crisis will be accompanied by a rapid expansion of liquidity - flow liquidity shock - reversal of liquidity shortage ", and at the same time there is a sharp rise in asset prices" - asset prices under pressure - asset prices "sharp asset price fluctuation, verification of Rogoff and Reinhard's new book" this is not the same as that in >? The theme - "nothing is different this time."
In the current world economic system, most economies to implement credit currency system of internal and external implementation of a managed floating exchange rate system, always maintain appropriate liquidity in order to promote the sustained and healthy economic growth and maintain the difficult choice of asset price stability. Therefore, the research on the liquidity shocks and asset price volatility, especially the liquidity shock and the volatility of asset prices in different economies in different stages of development and experience summary can not only have a better understanding of the current economic crisis of future development process, but also has important significance for the development of sound macroeconomic policies.
This paper is titled as "liquidity shocks and asset price volatility research", "focus on liquidity shocks to asset price volatility (Shock) (Volatility)" the process of transnational practices flow and interaction mechanism of conduction theory and impact of asset price volatility between the comprehensive and systematic study on the analysis. Includes five important parts:
The first part is to clarify the concept and main points. Systematic liquidity, liquidity shocks, asset prices, asset price volatility, liquidity shocks and asset price volatility and other related theories, for liquidity, clarifies the important concepts and put forward the measurement index of liquidity shocks and asset price fluctuations, thus providing a clear concept of the premise for further discussion.
The second part constructs the theoretical framework. In the analysis of Marx's "capital circulation theory" basis, proposed based on the concept of Baoai direct and other scholars and the relevant models to economic main current account and capital account accounting as a starting point, the theoretical framework of closed influence liquidity and open economy impact are constructed; the money supply and demand "dichotomy" transition to the quantity of money "dichotomy", combined with the mining depth of the AbelBernanke model, the construction of liquidity shocks to asset price volatility, two order transmission mechanism theory frame; conduction characteristics further reveal the liquidity shocks in the different stages of economic development and the fluctuation of asset prices, for the follow-up of the empirical study on preparing for the economy.
The third part is the research on international experience of liquidity shocks and asset price volatility. Respectively practice on liquidity of some representative developed and emerging economies and the impact of asset price volatility in systematic research: on the one hand, the liquidity impact on the representative country specific stage from the qualitative point of view and asset price volatility characteristics study of interaction mechanism on the other hand, from the view of quantitative inspection of liquidity shocks and asset price volatility between.
The fourth part is China's liquidity shock and asset price volatility. It focuses on China's liquidity shock and asset price volatility since the reform and opening up, and concludes the characteristics of China's liquidity shock and asset price volatility.
The fifth part is the enlightenment for liquidity shocks and asset price volatility research. According to the theoretical analysis and summary of different economies liquidity shocks and asset price volatility characteristics, proposed monetary policy should focus on changes in asset prices (the monetary policy needs to pay attention to the problem of asset price), and should pay attention to the main changes in asset prices (the currency what kind of policy should pay attention to assets). At the same time, according to the empirical results and China actual situation, put forward the main features of the current real estate assets China is becoming more and more obvious, and from liquidity shocks and asset price volatility of China exchange rate system, puts forward the corresponding countermeasures and suggestions of financial innovation and financial supervision.

【學(xué)位授予單位】：上海社會(huì)科學(xué)院
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F113

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