摘要
本文以流动性的波动性度量流动性风险,从货币供应量和利率两个方面,应用VAR模型首次研究了我国货币政策对股票市场流动性风险的影响。研究发现,货币供应量变化与流动性风险负相关,其中,M2变化对流动性风险影响最大,M1变化的影响次之,M0变化的影响最小;利率对流动性风险有正向影响,但影响力度小于货币供应量变化的影响。研究还发现,牛市状态下,货币供应量变化和利率对流动性风险的影响周期长于熊市状态,利率对流动性风险的影响力度明显大于熊市状态;但熊市状态下,货币供应量变化对流动性风险的影响力度相对较大,其中,M0变化对流动性风险的影响明显大于牛市状态。
Measuring the liquidity risk by liquidity volatility and using VAR model, this paper analyzes the affections of Chinese monetary policy on its stock market liquidity risk from the aspects of money supply and interest rate. We find that the money supply＇ s changes have a negative influence on stock market liquidity risk. Among them, the changes of M2 have greatest influence on the risk, followed by changes of M1. Changes of MO have smallest influence on the risk. The interest rate has a positive influence on stock market liquidity risk, but the degree of the influence is smaller than money supply＇ s changes. We also find that, in bull situations, the influence periods of money supply＇ s changes and interest rate on liquidity risk are longer than in bear situations, the degree of the interest rate affection on liquidity risk is greater than in bear situations. In bear situations, the degrees of in- fluences of money supply＇ s changes on the risk are greater than in bull situations, especially, the degrees of M0＇s changes influencing on the risk are clearly greater than in bull situations.
出处
《经济管理》
CSSCI
北大核心
2011年第3期8-16,共9页
Business and Management Journal ( BMJ )
关键词
货币供应量
利率
流动性风险
money supply
interest rate
liquidity risk
