一般均衡下的金融市场流动性黑洞研究  

Study on the Liquidity Black Holes in Financial Markets based on the General Equilibrium

作　　者：郭乃幸[1] 杨朝军[1] 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《投资研究》2011年第11期124-132,共9页Review of Investment Studies

基　　金：国家自然科学基金(基金号:70773075)证券市场流动性价值理论与实证分析技术研究

摘　　要：本文在一般均衡框架下建立了考虑投资者多样化程度,投机交易者比例以及宏观货币政策稳定性三因素的两期交易模型,得到了金融市场受到流动性冲击后可能出现的三种均衡状态。当流动性冲击加大时,市场在一定条件下无法找到合理的出清价格而出现大幅下跌从而引发流动性黑洞事件。研究表明:投资者越是多样化、投机交易者比例越小、宏观货币政策带来的流动性冲击越小,市场出现极端流动性黑洞的可能性就越小。Considering the investors＇ diversification, the ratio of speculators and stabilization of monetary policy, this paper introduces a two-term general equilibrium model of liquidity black hole. In addition, we find there are three kinds of market equi- libriums and the black hole is just one of these equilibriums. As the shock becomes bigger, the market may not be able to find a reasonable equilibrium price in certain condition and the liquidity black hole happens. The results show that the more diversi- fied investors, the lower ratio of speculators and the more stable monetary policy, the less possibilities that a liquidity black hole will occur.

关 键 词：流动性黑洞 流动性冲击 投资者多样性 货币政策 

分 类 号：F832.51[经济管理—金融学] F224