流动性的度量及其与资产价格的关系

The Measurement of Liquidity and the Relationship between Liquidity and Asset Price

本文将流动性划分为货币流动性、银行系统流动性和市场流动性三个层次,总结了相应的可操作的度量方法,并通过中国数据进行了度量,从一个侧面论证了货币流动性是市场流动性的基础,以及市场流动性高时资产价格一般也较高的观点。基于货币流动性的基础性地位,本文进一步考察了货币流动性与资产价格的关系,发现超额货币流动性不仅影响股票的名义回报,还影响股票的真实回报;货币流动性在长期内受到股票真实回报的反作用,但这种作用可能是相对微小的。

The paper proposes three concepts of liquidity： monetary liquidity, banking system liquidity and market liquidity. The measurement of different liquidity is stated, as well as the closed relationship between different liquidity. Using China＇s data, the paper measures three kinds of liquidity in China＇s economy, finding that monetary liquidity is primary to the market liquidity and that asset price tends to rise when market liquidity is high, which is common sense. Given the primacy of monetary liquidity, the paper further invests the relationship between monetary liquidity and asset price. It is found that excess monetary liquidity affects both the nominal return and the real return of stock. During the long term, the monetary liquidity may be also affected by the real return of stock, which is, however, probably very small.