CAJ | 학술논문

本文以流动性的波动性度量流动性风险，从货币供应量和利率两个方面，应用VAR模型首次研究了我国货币政策对股票市场流动性风险的影响。研究发现，货币供应量变化与流动性风险负相关，其中，M2变化对流动性风险影响最大，M1变化的影响次之，M0变化的影响最小；利率对流动性风险有正向影响，但影响力度小于货币供应量变化的影响。研究还发现，牛市状态下，货币供应量变化和利率对流动性风险的影响周期长于熊市状态，利率对流动性风险的影响力度明显大于熊市状态；但熊市状态下，货币供应量变化对流动性风险的影响力度相对较大，其中，M0变化对流动件风除的影响明显大干牛市状杰．
본문이류동성적파동성도량류동성풍험，종화폐공응량화리솔량개방면，응용VAR모형수차연구료아국화폐정책대고표시장류동성풍험적영향。연구발현，화폐공응량변화여류동성풍험부상관，기중，M2변화대류동성풍험영향최대，M1변화적영향차지，M0변화적영향최소；리솔대류동성풍험유정향영향，단영향력도소우화폐공응량변화적영향。연구환발현，우시상태하，화폐공응량변화화리솔대류동성풍험적영향주기장우웅시상태，리솔대류동성풍험적영향력도명현대우웅시상태；단웅시상태하，화폐공응량변화대류동성풍험적영향력도상대교대，기중，M0변화대류동건풍제적영향명현대간우시상걸．
Measuring the liquidity risk by liquidity volatility and using VAR model, this paper analyzes the affections of Chinese monetary policy on its stock market liquidity risk from the aspects of money supply and interest rate. We find that the money supply＇ s changes have a negative influence on stock market liquidity risk. Among them, the changes of M2 have greatest influence on the risk, followed by changes of M1. Changes of MO have smallest influence on the risk. The interest rate has a positive influence on stock market liquidity risk, but the degree of the influence is smaller than money supply＇ s changes. We also find that, in bull situations, the influence periods of money supply＇ s changes and interest rate on liquidity risk are longer than in bear situations, the degree of the interest rate affection on liquidity risk is greater than in bear situations. In bear situations, the degrees of in- fluences of money supply＇ s changes on the risk are greater than in bull situations, especially, the degrees of M0＇s changes influencing on the risk are clearly greater than in bull situations.