基于资产期限结构的流动性过剩的内涵、测度与因子分析

本文基于资产期限结构探讨了流动性过剩的内涵,并对流动性过剩进行了定量测度和因子分析,在此基础上,提出了流动性过剩的管理思路与策略。基于资产期限结构的流动性过剩可以分解为一期滞后流动性过剩、货币期限结构与均衡比例期限升水变化率三个因子,实证分析结果表明,三个因子的均衡值均呈现季度循环的特征。中央银行应明确流动性过剩的下限和上限,在同一年度内应采取流动性管理策略保持流动性稳定提高,在不同年度应保持高流动性过剩与低流动性过剩之间的转换。为实现流动性过剩季度循环的均衡路径并使其保持在上下限范围内,中央银行可以选择流动性管理工具依据季度循环的特征调控货币期限结构与均衡比例期限升水。

The Intension,Measurement and Factor Analysis of Liquidity Surplus Based on Term Structure of Assets

This paper discusses the intension of liquidity surplus,makes a quantitative measurement and factor analysis based on the term structure of assets,and suggests the liquidity surplus management strategy.Based on the term structure of assets,Liquidity surplus can be decomposed into three factors:one-term lagged liquidity surplus,term structure of money,and ratio of equilibrium proportion maturity premium.Positive analysis indicates that equilibrium paths of three factors are characteristics of quarterly repetition.The central bank should specify the ceiling and floor of liquidity surplus,make sure liquidity surplus rise gradually within one year,and transform between high and low liquidity surplus when going beyond the year.To achieve the equilibrium values of liquidity surplus,liquidity managing tools should be used to control term structure of money and ratio of equilibrium proportion maturity premium which follow quarterly repeating paths.