货币政策对流动性去向的动态影响  

Dynamic Effect Analysis of Liquidity Flow Direction from the Monetary Policy

作　　者：陈守东[1,2] 孙彦林[3] 刘洋[3] 

机构地区：[1]吉林大学数量研究中心 [2]吉林大学商学院 [3]吉林大学数量经济中心

出　　处：《财经科学》2015年第10期1-13,共13页Finance & Economics

基　　金：教育部人文社科重点研究基地重大项目:"中国系统性金融风险防范与金融稳定性计量研究"(项目编号:14JJD790043);国家社科基金项目"系统性金融风险与宏观审慎监管研究"(项目编号:12BJY158)的资助

摘　　要：流动性问题已然成为全球经济体面临的共同难题。由于流动性的去向与货币政策密切相关,因此本文在对流动性问题进行内生化解释的基础上,结合趋势分析,利用非参数贝叶斯框架下的无限区制Dirichlet-VAR模型分析经济变量间的多元时变Granger因果关系,得到考察变量间正向传导与反向倒逼的核心传导结构,据此分析货币政策对流动性的影响路径及流动性去向动态效应。研究发现,"宽货币"将导致通货膨胀,"宽信贷"将导致泡沫堆积;货币政策"新常态"处于渐进"稳态"阶段;被实体经济消化的流动性不是造成房地产市场非理性繁荣的重要原因,未被实体经济消化的流动性也不是股票市场过热的重要原因,但二者均受货币政策宏观调控的影响。The liquidity of the problem has become a common problem in the global economy. Therefore, the research on the problem of liquidity has caused wide attention. Because the whereabouts of liquidity are closely related to monetary policy, on the basis of the biochemical explanation of liquidity problems and combining trend analysis, this article analysis the multivariate time-varying Granger causality between economic variables using Dirichlet - VAR model with infinite region in the nonparametric Bayesian framework, and core conducting structure of the positive conduction and reverse force of variables are investigated. Then get the dynamic effects of monetary policy about liquidity on the path and liquidity flow direction. The study found that ＂broad money＂ lead to inflation and ＂loose credit＂ Hill lead to bubble accumulation; the ＂new normal＂ of monetary policy is in the gradual ＂steady state＂ stage; the flow in the real economy is not an important reason for the irrational boom of real estate market, the flow out the real economy is not an important reason for stock market overheat- ing either, but beth are subject to the impact of macroeconomic regulation and control of monetary policy.

关 键 词：货币政策 流动性去向 动态效应 

分 类 号：F822.0[经济管理—财政学]