全球流动性冲击对我国股市波动的影响研究——基于MS-VAR模型的分析  

Study on the Impact of Global Liquidity Shock on China's Stock Market Volatility——Based on the Analysis of MS-VAR Model

作　　者：王涛[1] 赵晶[1] 姜伟[1] Wang Tao,Zhao Jing,Jiang Wei(Beijing University of Technology, Beijing 10012)

机构地区：[1]北京工业大学,北京100124

出　　处：《金融发展研究》2018年第5期3-10,共8页Journal Of Financial Development Research

摘　　要：本文基于1999—2016年相关变量的月度数据,借助非线性的马尔科夫区制转换向量自回归模型(MS-VAR),描绘了具备非线性、时变性特征的全球流动性在不同区制状态下(全球流动性水平低速增长、混合波动增长、高速增长)对我国股市波动的影响,考察了在不同区制下全球流动性冲击对我国股市的传导渠道,并提出了应对冲击实现高效率流动性管理的相关建议。实证检验结果表明:全球流动性冲击通过三条渠道共同发挥作用传递到我国的股票市场,其中资本渠道与贸易渠道占有相对主导地位。在我国短期内仍实行资本管制的情况下,利率渠道并未成为传递或放大全球流动性冲击对我国股市产生影响的主要渠道。短期来看,资本管制是应对冲击的有效手段。但从长期来看,应从积极、持续推进汇率制度改革与人民币国际化进程,保证财政政策与货币政策的独立性与灵活性等方面入手,同时也应注意协调好人民币国际地位的提高、资本管制的放开、灵活的汇率制度之间的关系。Based on the monthly data from 1999 to 2016,this paper constructs a Markov-Switching Vector Auto Regression model（MS-VAR） which can describe the impact of global liquidity with nonlinear and time-varying characteristics on China’s stock market volatility in different regimes including increasing at low speed, moderate speed and high speed. This paper also captures the transmission channel of global liquidity in order to provide policy suggestions for managing liquidity more effectively. The results show that there are three main channels for global liquidity shock to pass into China’s stock market including capital channel,trade channel and interest rate channel. And capital channel and trade channel play the leading role while interest rate channel is in the non-dominant position to transmit or amplify the impact of global liquidity shock because of capital control in the short term. Therefore,it’s still an essential way to handle liquidity shock by capital control in the short term. But in the long run,the government should focus on promoting reform of the exchange rate regime and the process of RMB internationalization actively and continually and ensuring the independence and flexibility of fiscal policy and monetary policy. At the same time,it’s also essential to coordinate the relationship among improving the international status of RMB,the liberalization of capital controls and flexible exchange rate regime.

关 键 词：全球流动性 马尔科夫区制转换向量自回归模型 股市波动 

分 类 号：F830[经济管理—金融学]