本文選題：流動性過剩與短缺 + 流動性逆轉(zhuǎn)�。� 參考：《復(fù)旦大學(xué)》2012年博士論文

【摘要】：自改革開放以來,隨著經(jīng)濟(jì)快速持續(xù)增長,我國M2/GDP一直呈上升的態(tài)勢,位居世界前列,遠(yuǎn)遠(yuǎn)超過發(fā)達(dá)國家。在傳統(tǒng)數(shù)量論下,大量的“超額”貨幣導(dǎo)致物價水平上升,但是我國卻出現(xiàn)超額貨幣與低物價水平共存的“黃金組合”,有悖于傳統(tǒng)貨幣理論,“中國之謎”就此產(chǎn)生。很多經(jīng)濟(jì)學(xué)家一度對M2/GDP數(shù)值的變動持中性或肯定的態(tài)度。但進(jìn)入21世紀(jì)以來,世界范圍內(nèi)各主要經(jīng)濟(jì)體宏觀貨幣宏觀經(jīng)濟(jì)運行中貨幣流動性的變化方向一致：從2001年至2007年底,宏觀流動性呈現(xiàn)充裕甚至過剩的態(tài)勢,一直到2007年底,次貸危機(jī)全面爆發(fā),流動性隨之逆轉(zhuǎn),次貸危機(jī)繼續(xù)升級為經(jīng)濟(jì)危機(jī),由金融系統(tǒng)波及到實體經(jīng)濟(jì),此時流動性極度短缺。各國為緩解危機(jī)的沖擊,及時大規(guī)模的實施救市措施,向經(jīng)濟(jì)注入流動性,2009年中開始,流動性又從短缺轉(zhuǎn)換為過剩。“失蹤貨幣”紛紛涌現(xiàn),沖擊價格指數(shù)(CPI)和資產(chǎn)價格,導(dǎo)致全球范圍內(nèi)的滯脹。 貨幣流動性通過各種傳導(dǎo)機(jī)制,對實體經(jīng)濟(jì)和虛擬經(jīng)濟(jì)產(chǎn)生重要影響,導(dǎo)致實體經(jīng)濟(jì)與虛擬經(jīng)濟(jì)之間的傳統(tǒng)均衡不復(fù)存在,成為宏觀經(jīng)濟(jì)平穩(wěn)運行的關(guān)鍵因素。由于現(xiàn)代金融體系結(jié)構(gòu)的變化,流動性傳導(dǎo)機(jī)制有所更新,宏觀流動性對資產(chǎn)價格、大宗商品價格以及通脹不再遵循傳統(tǒng)簡單的傳導(dǎo)路徑,實體經(jīng)濟(jì)也在一定程度上屈從于虛擬經(jīng)濟(jì)和金融環(huán)境的波動。當(dāng)前國際經(jīng)濟(jì)金融形勢錯綜復(fù)雜、幾大實體經(jīng)濟(jì)由盛及衰又紛紛探底回升、再到二次衰退的國際大環(huán)境下,研究流動性過剩與短缺及其轉(zhuǎn)換機(jī)制,以及它們與實體經(jīng)濟(jì)和金融市場之間的關(guān)系,不僅是重要的理論問題,更是重要的現(xiàn)實問題,這也是目前我國宏觀經(jīng)濟(jì)政策決策中亟待回答的問題。因此,本文主要開展金融深化和貨幣競爭環(huán)境下中國經(jīng)濟(jì)中失蹤貨幣和流動性過剩并存現(xiàn)象的研究,作者希望通過對上述問題的研究分析可以為相關(guān)政策提供科學(xué)的定性和定量研究的依據(jù),并且對相關(guān)領(lǐng)域的研究有一定啟發(fā)。 從貨幣流動性、銀行和金融市場的流動性三個層次理解流動性,根據(jù)流動性的含義結(jié)合本文研究目的,將流動性過剩(短缺)定義為實際各個貨幣層次顯著的多于(少于)有效經(jīng)濟(jì)體系所需要的貨幣數(shù)量。流動性過剩與短缺主要的度量方法包括：貨幣主義流動性測度方法、馬歇爾K值與超額貨幣增長率以及基于流動性供求理論的測度方法。本文在典型化事實分析以及實證過程中,綜合采用各種指標(biāo)對美國、歐元區(qū)、中國以及全球流動性進(jìn)行度量分析。 從貨幣供求兩個方面研究流動性過剩與短缺的根源。在貨幣供給方面,貨幣供給主要受到政策以及輸入型流動性影響。針對中國近些年來出現(xiàn)流動性過剩和短缺并存的典型化事實,建立了開放的貨幣供給模型,考察中國國際收支雙順差在現(xiàn)有匯率制度下對央行貨幣供給的影響,尤其是中國短期國際資本流動,即常說的“熱錢”對于中國2008年之前的流動性過剩影響非常突出。在貨幣總需求方面,貨幣需求的變化則是源于產(chǎn)業(yè)結(jié)構(gòu),微觀主體預(yù)期等。研究中區(qū)分了實體經(jīng)濟(jì)和虛擬經(jīng)濟(jì)的二元貨幣經(jīng)濟(jì)體系結(jié)構(gòu)性的不同特征,重視兩個系統(tǒng)的貨幣流通速度的變動趨勢和影響因素對貨幣需求結(jié)構(gòu)性變化的解釋能力,同時研究了產(chǎn)業(yè)結(jié)構(gòu)變動對貨幣需求的影響。最后綜合考慮貨幣的總量供求均衡,將資產(chǎn)價格、通貨膨脹等納入模型,同時結(jié)合各種外生沖擊、貨幣當(dāng)局政策組合、微觀主體行為對流動性狀態(tài)的變動給予全面的描述,解釋主要經(jīng)濟(jì)因素的變化。給出不同口徑下的貨幣缺口,由實證結(jié)果可知：實體經(jīng)濟(jì)中,我國確實存在較大的貨幣流動性失衡的現(xiàn)象,流動性從1991年至2010年,先短缺轉(zhuǎn)而過剩。其中貨幣流動性緊縮更多是由危機(jī)或者突然轉(zhuǎn)向的貨幣政策所致,流動性過剩則是一個長期積累的過程,與國內(nèi)和外圍經(jīng)濟(jì)長期的貨幣供應(yīng)量以及寬松的貨幣政策環(huán)境有緊密聯(lián)系。 研究分析全球流動性過剩與短缺的現(xiàn)象,對全球范圍內(nèi)的M2/GDP的長期趨勢進(jìn)行跨國比較和分析,對貨幣流動性在國際間的傳導(dǎo)進(jìn)行考察,證實了輸入型流動性的存在。在此基礎(chǔ)上,采用馬爾科夫機(jī)制轉(zhuǎn)移模型,深入分析流動性狀態(tài),將流動性狀況變動與經(jīng)濟(jì)基本因素相結(jié)合進(jìn)行考察,總結(jié)流動性的轉(zhuǎn)換機(jī)制。貨幣流動性的狀態(tài)變化不僅可以反映出實體經(jīng)濟(jì)運行情況和貨幣供求關(guān)系,更能即時的反映虛擬經(jīng)濟(jì)的發(fā)展趨勢,以及其與實體經(jīng)濟(jì)的匹配程度。使用中國月度經(jīng)濟(jì)數(shù)據(jù),經(jīng)過嚴(yán)格處理,構(gòu)建了流動性總量指標(biāo)的馬爾科夫機(jī)制轉(zhuǎn)移模型,通過對馬爾科夫機(jī)制轉(zhuǎn)換模型系統(tǒng)的模擬分析,得出結(jié)論：為刺激經(jīng)濟(jì)發(fā)展而采取寬松的貨幣政策,流動性隨著經(jīng)濟(jì)的繁榮而日益累積過剩,物價水平攀升,金融市場泡沫膨脹,貨幣政策轉(zhuǎn)向,經(jīng)濟(jì)危機(jī)埋下隱患。由某一突發(fā)事件(例如金融機(jī)構(gòu)倒閉等)引致危機(jī)爆發(fā),流動性在之前政策調(diào)控、危機(jī)影響以及市場預(yù)期等的共同作用下短期內(nèi)逆轉(zhuǎn)。相反,由短缺轉(zhuǎn)換為過剩,則在經(jīng)濟(jì)基本面和政策的影響下緩慢發(fā)生。給出過剩與短缺相互轉(zhuǎn)換概率以及各個狀態(tài)的期望持續(xù)期。模型所估算出的流動性過剩的期望持續(xù)期較長。流動性短缺伴隨著流動性的劇烈波動,其發(fā)生概率位于0.8,并且流動性嚴(yán)重短缺出現(xiàn)的時間點一般位于危機(jī)發(fā)生后半年之內(nèi),并且短缺出現(xiàn)之前流動性處于很大程度的過剩。
[Abstract]:Since the reform and opening up, with the rapid and sustained economic growth, China's M2/GDP has been in the upward trend, in the forefront of the world, far more than the developed countries. Under the traditional quantity theory, a large amount of "excess" money leads to the rising price level. However, the "gold combination" which coexisted between the excess money and the low price level has appeared in our country, which is contrary to the transmission. The "Chinese mystery" came into being. Many economists had a neutral or affirmative attitude towards the changes in the M2/GDP value. But since twenty-first Century, the change of monetary liquidity in the macro monetary macro-economic operation of the world's major economies was consistent: from 2001 to the end of 2007, the macro liquidity was presented. By the end of 2007, the subprime crisis broke out in an all-round way, the liquidity was reversed, the subprime crisis continued to escalate to the economic crisis, the financial system spread to the real economy, and the liquidity was extremely short. In order to alleviate the impact of the crisis, the financial system was carried out in a timely and large scale to inject liquidity into the economy, 2009 In the middle of the year, liquidity has shifted from shortage to excess. "Missing currencies" have sprung up, hitting the price index (CPI) and asset prices, leading to stagflation around the world.
Through various transmission mechanisms, monetary liquidity has an important impact on the real economy and virtual economy, which leads to the traditional equilibrium between the real economy and the virtual economy, which has become the key factor for the smooth operation of the macro-economy. The price, commodity price and inflation no longer follow the traditional simple transmission path. The real economy is also succumbed to the fluctuation of the virtual economy and the financial environment to a certain extent. The current international economic and financial situation is intricate, and the major real economies are from prosperity and decline to the bottom of the world, and then to the international environment of the two recession, It is not only an important theoretical problem, but also an important practical problem, which is not only an important theoretical issue but also an important practical problem, which is also an urgent question to be answered in our macroeconomic policy decision. Therefore, this article is mainly carried out under the environment of financial deepening and monetary competition. In the study of the coexistence of missing currency and excess liquidity in the country's economy, the author hopes to provide a scientific basis for the qualitative and quantitative research of relevant policies through the analysis of the above problems, and to a certain extent to the research in the related fields.
From three levels of liquidity, banking and financial market liquidity, the liquidity is understood. According to the meaning of the liquidity and the purpose of this study, the excess liquidity (shortage) is defined as the amount of money needed by the effective economic system more than (Shao Yu) effective economic system. The main measurement method of excess liquidity and shortage It includes the method of measuring the liquidity of monetarism, the Marshall K value and the rate of excess money growth and the measurement method based on the theory of liquidity supply and demand. In this paper, in the typical fact analysis and empirical process, various indicators are used to measure the flow of the United States, the euro Zone, China and the world.
The origin of excess liquidity and shortage is studied from two aspects of money supply and demand. In terms of money supply, money supply is mainly influenced by policy and input type liquidity. In view of the typical fact that China has emerged in recent years, an open currency supply model has been established to examine the double surplus of balance of payments in China. The influence of the current exchange rate system on the monetary supply of the central bank, especially the short-term international capital flow in China, which is often said by "hot money", has a very prominent effect on China's excess liquidity before 2008. In terms of the general demand for money, the change of money demand is derived from industrial structure and microcosmic subject expectation. The two yuan monetary economic system of economic and virtual economy has different structural characteristics, pay attention to the change trend of the speed of currency circulation in two systems and the explanatory power of the influence factors on the structural change of money demand. At the same time, it studies the influence of the change of industrial structure on the demand of money. Price, inflation and so on are incorporated into the model. At the same time, a comprehensive description of the changes in the main economic factors is given in combination with the various exogenous shocks, the monetary authorities' policy combination and the changes of the micro subject behavior in the convective state. The monetary gap under different calibre is given. The empirical results show that in the real economy, our country does have a larger size. The phenomenon of imbalances in monetary liquidity, from 1991 to 2010, is from the shortage to excess. The monetary liquidity contraction is caused by the monetary policy of crisis or abrupt change, and the excess liquidity is a long-term accumulation process, the long-term money supply and the loose monetary policy environment in the domestic and peripheral economies. There's a close connection.
Study and analyze the phenomenon of global liquidity surplus and shortage, compare and analyze the long-term trend of M2/GDP in the world, examine the transmission of monetary liquidity in the world, and confirm the existence of input type liquidity. On this basis, the Markoff mechanism transfer model is used to analyze the flow state, and the flow will be analyzed. The change of dynamic status and the basic factors of economy are combined to investigate and summarize the transformation mechanism of liquidity. The state change of monetary liquidity can not only reflect the relationship between the real economy and the money supply and demand, but also reflect the development trend of the virtual economy, and the matching degree with the real economy. According to the strict processing, the Markoff mechanism transfer model of the total liquidity index is constructed. Through the simulation analysis of the Markoff mechanism transformation model system, the conclusion is drawn that the loose monetary policy is adopted to stimulate the economic development, and the liquidity becomes more and more accumulated with the prosperity of the economy, the price level is rising, and the price level is rising. Market bubble inflation, monetary policy change, economic crisis buried hidden dangers. A sudden incident (such as financial institutions, such as bankruptcy) caused a crisis, liquidity in the previous policy regulation, the impact of the crisis and market expectations in the short term reversal. On the contrary, from shortage to excess, in the shadow of the economic fundamentals and policy The probability of surplus and shortage interconversion and the expected duration of each state are given. The expectation of excess liquidity estimated by the model lasts longer. The probability of liquidity shortage accompanied by severe volatility of liquidity is 0.8, and the time point for the occurrence of severe liquidity shortage is generally located in the crisis. In the latter half of the year, liquidity is in a great degree of surplus before the shortage.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F224;F822;F726

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