流动性紧缩的根源:基于量化研究的成因解析  

The Root Cause of Cash Crunch: A Quantitative Study in China

作　　者：陈华[1] 郑晓亚[2] 

机构地区：[1]中国人民银行金融研究所,北京100800 [2]上海财经大学博士后流动站,上海200433

出　　处：《会计与经济研究》2017年第6期79-95,共17页Accounting and Economics Research

基　　金：国家自然科学基金项目(71703165)

摘　　要：2013年6月,我国银行间市场爆发流动性干涸,市场利率快速攀升,期限结构出现倒挂。悲观的看法认为,本次流动性紧缩是系统性危机前兆,中国的明斯基时刻即将来临;另一种看法则认为,本次突发性流动性紧缩是货币政策冲击的结果。理清流动性紧缩的根源对我国未来经济发展走势的基础性研判具有重大意义。文章采用量化研究方法,以国债收益率作为研究对象,在利率期限结构的无套利仿射模型基础上引入结构VAR模型,将经济冲击分为总供给冲击、总需求冲击和货币政策冲击,进而分别从利率水平变动、利率曲线平坦化、利率流动性风险溢酬等三个方面研究不同冲击源对我国利率期限结构带来的影响。结果显示,流动性紧缩由非季节性的货币政策冲击带来,并非源自经济基本面变化。In June 2013,the cash crunch hit China ’s interbank market with the liquidity suddenly exhausting and interest rate sharply rising. In a pessimistic view,it’s a growing fear of financial systematic risk and a sign of approaching Minsky moment of China. However,from an optimistic perspective,the rate rising is ascribed to the monetary policy shock. To explore the driving forces behind the cash crunch is of great importance for making a basic judge of the trend of China’s future economic development. This paper adopts the quantitative research methods, selects the government bond yields as the research objective,uses the structural model（ SVAR） on the base of the affine non-arbitrage interest rate model,classifies economic shocks into aggregate supply shock,aggregate demand shock and monetary policy shock,and examines the effect of diverse economic shocks on the interest rate term structure in terms of interest rate level,flattening,and term premium. The results show that the cash crunch originates from monetary policy shock,not from fundamental economic changes.

关 键 词：流动性紧缩 明斯基时刻 货币政策 无套利仿射模型 结构VAR 

分 类 号：F830.9[经济管理—金融学]