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不同以往文献仅研究非流动性指标(illiquidity)影响,本文应用H P-Filter方法将非流动性分解成长期趋势与短期波动,研究过往20年美国股票市场流动性结构转变状况。研究发现:一是股市非流动性比率的结构改变与货币政策周期有关,代表利率背后代表的融资流动性,会与非流动性比率所代表的市场流动性会相互影响。我国在实现利率市场化同时,如何减少货币政策预期对股票市场流动性的影响是重要的议题。二是市场流动性具有“顺周期”行为,金融危机前的流动性宽松,是结构转变的主要原因。三是金融危机前短期流动性将会增加,危机发生后立即紧缩,监管机构因而可借鉴新巴赛尔协议III逆周期资本缓冲的预警框架,构建一套由事后被动管理转换成事前主动管理的流动性风险预警框架。
Different from previous literatures only studying the influence of illiquidity, this paper uses H P-Filter method to decompose non-liquidity into long-term trend and short-term volatility and to study the change of liquidity structure in the U.S. stock market over the past 20 years. The findings are as follows: First, the structural change of the non-liquidity ratio in the stock market is related to the monetary policy cycle. The liquidity represented by the representative interest rate will interact with the liquidity represented by the non-liquid ratio. At the same time of realizing the marketization of interest rate in our country, how to reduce the influence of expected monetary policy on the liquidity of the stock market is an important issue. Second, the liquidity in the market has a “pro-cyclical” behavior. Loose liquidity before the financial crisis is the main reason for the structural change. Thirdly, the short-term liquidity will increase before the financial crisis and will tighten immediately after the crisis. Therefore, the regulatory agencies can draw lessons from the precautionary framework of counter-cyclical capital buffer under the agreement of Basel II so as to construct a system that is transformed from post-event passive management to pro-active management Liquidity risk warning framework.