基于资产期限结构的流动性过剩的内涵、测度与因子分析  

The Intension,Measurement and Factor Analysis of Liquidity Surplus Based on Term Structure of Assets

作　　者：郭凯[1] 孙音[1] 艾洪德[1] 

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《金融研究》2012年第1期180-193,共14页Journal of Financial Research

基　　金：国家自然科学基金(70873016);教育部人文社会科学规划项目(08JA790013);教育部人文社会科学青年项目(09YJC790028);辽宁省高等学校优秀人才支持计划(WJQ2011042)的资助

摘　　要：本文基于资产期限结构探讨了流动性过剩的内涵,并对流动性过剩进行了定量测度和因子分析,在此基础上,提出了流动性过剩的管理思路与策略。基于资产期限结构的流动性过剩可以分解为一期滞后流动性过剩、货币期限结构与均衡比例期限升水变化率三个因子,实证分析结果表明,三个因子的均衡值均呈现季度循环的特征。中央银行应明确流动性过剩的下限和上限,在同一年度内应采取流动性管理策略保持流动性稳定提高,在不同年度应保持高流动性过剩与低流动性过剩之间的转换。为实现流动性过剩季度循环的均衡路径并使其保持在上下限范围内,中央银行可以选择流动性管理工具依据季度循环的特征调控货币期限结构与均衡比例期限升水。This paper discusses the intension of liquidity surplus, makes a quantitative measurement and factor analysis based on the term structure of assets, and suggests the liquidity surplus management strategy. Based on the term structure of assets, Liquidity surplus can be decomposed into three factors ： one-term lagged liquidity surplus, term structui？e of money, and ratio of equilibrium proportion maturity premium. Positive analysis indi- cates that equilibrium paths of three factors are characteristics of quarterly repetition. The central bank should specify the ceiling and floor of liquidity surplus, make sure liquidity surplus rise gradually within one year, and transform between high and low liquidity surplus when going beyond the year. To achieve the equilibrium values of liquidity surplus, liquidity managing tools should be used to control term structure of money and ratio of equilibrium proportion maturity premium which follow quarterly repeating paths.

关 键 词：资产期限结构 流动性过剩 因子分析 流动性过剩管理策略 

分 类 号：F224[经济管理—国民经济] F820