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1、貨幣政策下流動(dòng)性過剩的實(shí)證研究華中科技大學(xué)碩士學(xué)位論文貨幣政策下流動(dòng)性過剩的實(shí)證研究姓名:王文婷申請(qǐng)學(xué)位級(jí)別:碩士專業(yè):金融學(xué)指導(dǎo)教師:方壯志2010-05-19摘要2009年金融危機(jī)以來,各國(guó)紛紛推出擴(kuò)張性的財(cái)政與貨幣政策,向市場(chǎng)注入了大量的流動(dòng)性,市場(chǎng)資金逐步寬裕。當(dāng)經(jīng)濟(jì)逐步擺脫國(guó)際金融危機(jī)的陰影走向正軌時(shí),上半年激增的銀行信貸引起了各界對(duì)流動(dòng)性過剩的擔(dān)憂。在此背景下,本文試圖通過研究中國(guó)的流動(dòng)性以及導(dǎo)致流動(dòng)性存在的因素,著重討論貨幣政策常用的工具對(duì)流動(dòng)性所產(chǎn)生的沖擊時(shí)效及其程度?;诖罅康南嚓P(guān)文獻(xiàn),本文首先找出適用于中國(guó)流動(dòng)性的衡量指標(biāo),
2、界定流動(dòng)性過剩區(qū)間,討論流動(dòng)性過剩期間的特征,從理論上探討這些特征出現(xiàn)的原因。本文將影響流動(dòng)性的因素分為五大制度原因,選取相應(yīng)的代表變量與流動(dòng)性指標(biāo)聯(lián)立建立VAR模型。重點(diǎn)討論了政府解決流動(dòng)性常用的手段對(duì)現(xiàn)實(shí)的短期和長(zhǎng)期的影響。本文認(rèn)為:因?yàn)槔蕦?duì)貨幣政策的反應(yīng)最為敏感,短期中貨幣政策可以通過對(duì)同業(yè)拆借利率、存貸款利率的調(diào)節(jié),迅速調(diào)整流動(dòng)性過剩;其次是存款準(zhǔn)備金率,且它在中長(zhǎng)期中的效果更加明顯;長(zhǎng)期中,可以同時(shí)通過控制信貸和存款準(zhǔn)備金率的作用來解決流動(dòng)性問題。而匯率與國(guó)際收支方面的政策只作為輔助政策,因?yàn)閰R率與國(guó)際收支對(duì)實(shí)體經(jīng)濟(jì)的影響更大,這兩
3、種政策對(duì)流動(dòng)性的調(diào)節(jié)是通過實(shí)體的經(jīng)濟(jì)活動(dòng)對(duì)貨幣流動(dòng)性的吸收來實(shí)現(xiàn),而且外匯占款對(duì)流動(dòng)性的調(diào)節(jié)作用更強(qiáng)。本文結(jié)合中國(guó)的實(shí)際貨幣政策,探討了政策的效果。關(guān)鍵詞:流動(dòng)性過剩向量自回歸模型貨幣政策工具IAbstractSincethe2009financialcrisis,maincountrieshavesetupexpansionaryfiscalandmonetarypolicies.Butthesepoliciesinjectmuchliquidityintothemarket.Whentheeconomyisgraduallygettingb
4、etter,theexcessliquidityappearsmainlybecauseoftheexpansionarypolicies.Inthispaper,itfocusesonChina'sliquidity,andamidthosefactorscausingliquidity,itemphasizestheextendimpactontheliquidityofmonetarypolicies.Basedonthedefinitionofexcessliquidityanditsmeasurementvariables,
5、thepaperdiscussesthecharacteristicsandspanofexcessliquidityanditstheoreticalreason.Secondly,basedonprevioussurvey,wechoosefivemainpolicyinstrumentswhichaffectexcessliquidityasfactorstosetupaVARmodel.Asaresult,intheshort-termtheexcessliquiditycan9><>beadjustedbytheinterbankin
6、terestrates,depositandloaninterestrateatonce.Sincetheseratesaresensitiveandcanrespondtheinformationatafastspeed.Inthemediumorinthelongterm,theadjustmentofthedepositreserveratiohasmoreobviouseffects.Thisgivesussomepolicyimplications,inordertoremainproperliquidity,intheshortru
7、n,wecandependoninterbankinterestrates,depositandloaninterestratetoadjustexcessliquidityandinthelongrunwecancontrolcreditfundandadjustthedepositreserveratiosimultaneously.Accordingtothispaper,theflexibleexchangeratepolicyandthebalanceofpaymentsaremorerelatedtotherealeconomyth
8、eyabsorbtheliquiditythroughtherealeconomicactivities,andalsothefundsoutstan