货币市场流动性分层:度量、成因和影响  

Money market’s liquidity stratification: Measures, causes and effects

作　　者：胡悦 吴文锋[2] 石川林 HU Yue;WU Wen-feng;SHI Chuan-lin(School of Business,East China University of Science and Technology,Shanghai 200237,China;Antai College of Economics and Management,Shanghai Jiaotong University,Shanghai 200030,China)

机构地区：[1]华东理工大学商学院,上海200237 [2]上海交通大学安泰经济与管理学院,上海200030

出　　处：《管理科学学报》2022年第8期104-126,共23页Journal of Management Sciences in China

基　　金：国家社科基金资助重大项目(21ZDA047)。

摘　　要：国外文献发现,货币市场的运行情况和金融机构的融资环境会对实体经济和金融稳定产生显著影响,但较大的市场结构差异和较低的数据可得性限制了国内学者对这一问题的研究.利用质押式回购以及同业存单市场总共五个维度的指标,本文采用因子分析法构建了货币市场流动性分层指数.时间序列的分析表明,“包商事件”后货币市场的流动性分层迅速增加且其与金融机构违约风险的相关性显著下降,这反映出货币市场定价效率的下降.进一步的研究还发现,货币市场的流动性分层会增加低评级和民营企业的融资成本,并导致金融机构违约概率的上升和金融不稳定性的增加.本文在定量刻画货币市场流动性分层的同时,考察了其近期迅速上升的原因以及对实体企业融资和金融稳定的影响,为金融更好地支持实体经济发展提供了参考.Foreign literature has documented a significant impact of money market and institutional financing on financial stability;but the big differences in market structure and low availability of data hinder domestic scholars’ research on this issue. Using five indicators from collateralized repo market and interbank certificates of deposit market, this paper constructs an index of money market liquidity stratification in terms of factor analysis. Time series analysis shows that the money market liquidity stratification increases sharply and exhibits a weaker correlation with the default risk of financial institutions after the Baoshang Bank was taken over, which reflects a deterioration of price efficiency in money market. On top of that, money market liquidity stratification will also lead to an increase in the financial cost of low credit rating and private firms, default probability of financial institutions and financial instability. Overall, this paper measures the liquidity stratification of money market, examines the causes behind its sudden surge and explores its impact on corporate financing and financial stability, which has implications for how finance can support economy better.

关 键 词：货币市场 流动性分层 金融机构融资 企业融资 金融稳定 

分 类 号：F832.5[经济管理—金融学]