金融系统中多维度流动性的集成测度构建——基于MVGARCH-熵模型的研究

The Aggregating Measurement Construction of Multi-dimension Liquidity in Financial System Based on MVGARCH-Entropy Model Research

基于DEC-MVGARCH模型和熵值法构建了一类包含货币流动性、融资流动性和市场流动性的多维度金融系统流动性的集成测度方法。利用2006年10月-2015年9月的月度数据进行实证分析，结果表明：货币流动性和市场流动性在平稳期呈现正相关，在危机期间表现为负相关，融资流动性与货币流动性具有长期稳定的正相关性，市场流动性与融资流动性的相关性在危机期间较低，在危机后波动加剧且存在显著的正向流动性螺旋；金融系统的总体流动性以2011年2月为分界点具有明显的两阶段特征，分界点之前总体流动性均值较大且波动较小，分界点之后均值减小且波动加剧且流动性周期延长，货币政策的取向对总体流动性的状态变化影响显著。

The paper constructs an aggregating measurement of multi - dimension financial system liquidity based on DCC - MVGARCH model and entropy methodwhich includes monetary liquidity, funding liquidity and market liquidityThe empirical analysis of monthly data from October 2006 to September 2015 has suggested that,firstly, the dynamic correlation between monetary liquidity and market liquidity is positive on the plateau while becoming negative during crisis; there exists a long - term and stable positive correlation between funding liquidity and monetary liquidity; the correlation of market liquidity and funding liquidity is relatively low during crisis ,while its volatility increases and there exists the dramatically positive liquidity spiral after crisis. Secondly, the overall liquidity in financial system takes February 2011 as a branch - point and has an obvious two - stage feature ： it is high and its volatility is small before the point;it becomes small and volatility increases after the point and liquidity cycle has been extended;the orientation of monetary policy has a significant effect on the change of the overall liquiditv state.