市场流动性与资产价格的非线性关系——基于MS-AR和TVP-SV-SVAR模型的时变分析

Nonlinear Nexus between Market Liquidity and Asset Price——A Time-varying Analysis Based on MS-AR and TVP-SV-SVAR Models

本文运用MS-AR模型揭示了中国市场流动性状态转换的非线性特征,在此基础上,以股价、房价、利率、汇率和债券价格为代表,通过TVP-SV-SVAR模型构建时变脉冲响应来分析市场流动性与资产价格之间的动态效应。结果表明:市场流动性的强弱状态划分清晰,且转换时点与金融事件一致;市场非流动性对资产价格的影响主要反映在股价、利率和债券价格上,且当期正向影响股票和债券价格,负向影响利率;资产价格对市场非流动性的影响在持续时间、作用方向和强度上具有明显的时变特征。股价上涨和下跌对市场非流动性的影响具有非对称性,房价在房地产繁荣时期对市场非流动性的影响更迅速,利率在经济低迷时期对市场非流动性的影响效果较弱,汇率在人民币升值幅度加快的背景下对市场非流动性的影响持续时间更长,债券价格对市场非流动性的长期影响在债市牛市或熊市阶段为负而在债市调整阶段为正。

This paper build a MS-AR model to describe the characters of regime switching for market liquidity.The time-varying relationships between market liquidity and asset prices are investigated based on TVP-SV-SVAR model,where stock price,housing price,interest rate,exchange rate and bond price are chosen as the proxy indicators of asset prices.The results show that the market liquidity can be obviously divided into two states,namely,strong and weak liquidity,and the switching times are consistent with financial events.The influences of market illiquidity on asset prices are mainly reflected in the stock price,bond price and interest rate.Market illiquidity has positive effect on stock price and bond price,while negative on interest rate.The direction,duration and strength of the impact of asset price on market illiquidity vary greatly over time.Specifically,the effect of stock price in decline stage is more obvious than in rising stage,the effect of housing price during the housing boom is much more quick,the effect of interest rate is inefficient in a down economy,and the effect of exchange rate maintain a longer time while the appreciation of RMB become fast,the long-term impact of bond prices on illiquidity is negative in the bull or bear stage of bond market and positive in the adjustment stage.