上海金融
上海金融
상해금융
Shanghai Finance
2010年
12期
64~71
,共null页
货币供应量 利率 流动性风险
貨幣供應量 利率 流動性風險
화폐공응량 리솔 류동성풍험
Money Supply; Interest Rate; Liquidity Risk
本文首先应用模型刻划了我国股票市场流动性变化特征,并以非预期流动性度量流动性风险;其次从货币供应量和利率两个方面,应用VAR模型分析了我国货币政策与流动性风险的关系。研究发现M2的变化对流动性风险影响最大,准M2、M1的变化次之,M0、准M1的变化最小;流动性风险对准M1变化影响最大,对M1、M2变化次之,对准M2和M0变化几乎没有影响。利率与流动性风险相互影响很小。
本文首先應用模型刻劃瞭我國股票市場流動性變化特徵,併以非預期流動性度量流動性風險;其次從貨幣供應量和利率兩箇方麵,應用VAR模型分析瞭我國貨幣政策與流動性風險的關繫。研究髮現M2的變化對流動性風險影響最大,準M2、M1的變化次之,M0、準M1的變化最小;流動性風險對準M1變化影響最大,對M1、M2變化次之,對準M2和M0變化幾乎沒有影響。利率與流動性風險相互影響很小。
본문수선응용모형각화료아국고표시장류동성변화특정,병이비예기류동성도량류동성풍험;기차종화폐공응량화리솔량개방면,응용VAR모형분석료아국화폐정책여류동성풍험적관계。연구발현M2적변화대류동성풍험영향최대,준M2、M1적변화차지,M0、준M1적변화최소;류동성풍험대준M1변화영향최대,대M1、M2변화차지,대준M2화M0변화궤호몰유영향。리솔여류동성풍험상호영향흔소。
The paper firstly portrays characteristics of China's stock market liquidity dynamics by models and measures the level of liquidity risk in unexpected liquidity.Secondly,the paper analyzes the connection between monetary policy and the liquidity risk from perspectives of money supply and interest rate by using VAR model.The result shows that: Changes of M2 have the greatest impact on liquidity risk,followed by changes of Quasi-M2 and M1,and the impact of changes of M0 and Quasi-M1 are the minimum.Liquidity risk has the greatest impact on changes of Quasi-M1,followed by changes of M1 and M2,and hardly has impact on Quasi-M2 and M0.The mutual influence between interest rate and liquidity risk is very little.