摘要
近些年,全球范围内资产价格和物价水平不断走高成为备受瞩目的全球性经济现象。为了探讨资产价格上涨和通胀发展的助推因素,本文实证研究了全球流动性扩张对世界范围内主要国家和地区宏观经济的影响作用。首先,本文从全球范围内金融数据中识别出了货币政策、信贷供给和信贷需求三个维度的全球流动性因子,再基于施加符号约束识别的因子模型,针对全球流动性进行测量。随后,本文在面板向量自回归模型(PVAR)框架下实证分析了全球流动性动态的经济效应。研究结果表明,全球流动性已经成为资产价格上涨的重要推力,而且在较长的时期内会引发通货膨胀。而在短期内,全球流动性扩张会带来市场利率的显著下降,也会加大本币升值压力,推动居民消费以及经济增长。经过进一步验证,上述实证研究结果具有稳健性。最后,本文结合实证研究结论,提出了加强宏观审慎监管等政策建议,以保障宏观经济健康稳定发展。
In recent years,global asset prices and various price levels have continued to rise,which has become a new economic phenomenon that has attracted much attention.To explore the driving factors of global asset price rise and inflation,this paper focuses on the impact of global liquidity expansion on the macroeconomy in major countries or regions worldwide.First,this paper identifies three dimensions of global liquidity factors:monetary policy,credit supply,and credit demand from financial data around the world,and then measures global liquidity based on the factor model identified with sign constraints.Subsequently,this paper empirically analyzes the economic effects of global liquidity dynamics within a panel vector autoregressive model(PVAR)framework.The research results show that global liquidity has become an important driving force for asset price rises,and it will cause inflation over a more extended period.In the short term,the expansion of global liquidity will bring about a significant drop in market interest rates.It will also increase the pressure on the appreciation of the local currency,driving residents’consumption and economic growth.After further verification,the above empirical research results are robust.Finally,based on the empirical research conclusions,this paper puts forward policy suggestions such as strengthening macro-prudential supervision to ensure the healthy and stable development of the macroeconomy.
出处
《金融监管研究》
CSSCI
北大核心
2022年第10期25-45,共21页
Financial Regulation Research
基金
国家自然科学基金面上项目(71673205)的资助
武汉大学自主科研项目(人文社会科学)(2022HWRW036)的研究成果
“中央高校基本科研业务费专项资金”的资助
关键词
全球流动性
经济效应
测量
识别
PVAR
Global Liquidity
Economic Effect
Measurement
Identification
PVAR
作者简介
张天顶,经济学博士,教授、博士生导师,武汉大学经济与管理学院,联系方式:ordin@126.com;李汶骏,世界经济专业硕士研究生,武汉大学经济与管理学院
