金融体系流动性传导的外汇视角分析

近两年来,我国经济金融领域出现了较为突出的流动性过剩问题,外汇储备、银行存差和证券价格都出现了大幅的增长和上升。本文通过构建货币分析模型,利用包含一个最近通胀周期的月度数据,运用协整理论和VAR模型检验等方法,通过将外汇储备资产纳入货币存量考察,对金融体系包括外汇市场、银行市场和证券市场之间资金流动和传导的特征进行分析。检验结果表明,以外汇储备衡量的国际收支变化和调节机制并非一种被动的平衡,金融体系三个市场之间存在着较为顺畅的资金传导和流动渠道,在三者的相互传导影响关系中,外汇市场对银行市场和证券市场的影响较大,银行市场对证券市场也有较为显著的影响,而证券市场对其他两个市场的影响则微乎其微。

Liquidity Conducting in Financial Systems from the Perspective of International Reserves

In the past few years,China's financial system has experienced a serious fluidity surplus problem.The international reserves,the credit balance and the securities prices all rise significantly.The paper analyzes the liquidity of financial system including foreign exchange market,bank market and securities market by setting up a currency analytic model,which is based on the monthly dates of an inflation cycle,the theory of co-integration and the VAR model.The result indicates that the change of our country's international payment weighted by the reserves and the adjustment mechanism isn't a passive balance.However,there is a much smooth conducting and flowing channel among the three markets.For the three mutual conduction relationship,the foreign exchange market has an important influence on the other two markets,and the bank market also has a very remarkable influence on the stock market whereas the stock's nearly has no influence on the others.