摘要
本文通过构建股市行业流动性的格兰杰因果网络,分别建立流动性联动溢出、流动性联动流入和流动性联动总和三个指标度量股市行业流动性联动效应,考察货币供给对流动性联动效应的影响机理。结果表明,当月货币供给充足时,三项流动性联动均明显降低,其中货币供给对流动性联动溢出的作用更强。新增货币供给对流动性联动的降低作用会在未来1~2个月发生反转,新增货币供给通过促进股票市场杠杆交易的中介渠道强化未来1~2个月的流动性联动效应,并且对流动性联动流入的增加作用更强。异质性分析表明,股市行情不佳时,当月新增货币供给对流动性联动的减弱作用更强。本文研究结论说明通过增加宏观流动性缓释股市流动性风险的方法存在弊端。
This paper build the stock market industry liquidity granger causality network to establish stock market industry liquidity commonality spillover,liquidity commonality inflow and the sum of liquidity commonality respectively to measure the industry liquidity commonality effect of the stock market and examines the influence mechanism of money supply on the three.The results show that when the money supply is sufficient in the month,three industry liquidity commonality is significantly reduced,among which the money supply has a stronger effect on the liquidity commonality spillover.This effect of new money supply on liquidity commonality will reverse in the next one to two months,the new money supply will strengthen the liquidity commonality efeet in the next one to two months through the intermediary channels promoting leveraged trading in the stock market and have a stronger effect on the increase of the liquidity commonality inflow.Heterogeneity analysis shows that when the stock market condition is poor,the new money supply in the month will have a stronger effect on the liquidity commonality.The conclusion of this paper shows that the method of releasing the stock market liquidity risk by increasing the macro liquidity has drawbacks.
作者
吴颉
冯浩原
杨晓光
Wu Jie;Feng Haoyuan;Yang Xiaoguang
出处
《金融学季刊》
2023年第3期71-96,共26页
Quarterly Journal of Finance
基金
国家自然科学基金重大项目(72192804、T2293771)的资助
关键词
流动性联动
格兰杰因果网络
货币供给
liquidity commonality
Granger causality network
money supply
作者简介
吴颉,中国科学院数学与系统科学研究院、中国科学院大学博士研究生;冯浩原,中国科学院大学经济与管理学院、中国科学院虚拟经济与数据科学研究中心硕士研究生;通讯作者:杨晓光,中国科学院数学与系统科学研究院、中国科学院大学研究员,联系方式:杨晓光,北京市海淀区中关村东路55号,E-mail:xgyang@iss.ac.cn
