流动性需求对我国宏观经济的影响机理研究

The Impact of Liquidity Demand on Macro-economy

本文构建了一个包含长期利率的动态一般均衡模型,从长短期利率之间的关系中提取出投资者对流动性的需求,从而研究流动性需求对宏观经济的影响。基于中国2006年到2014年的季度数据对模型进行贝叶斯估计及相关分析后发现:(1)包含流动性需求的一般均衡模型能在不扭曲宏观经济变量行为的同时很好地刻画投资者的流动性需求,长期利率和风险溢价的行为。(2)流动性需求的大小会影响到外生冲击对宏观经济的影响程度,并且流动性需求越大,外生冲击对宏观经济的影响越显著。(3)当存在流动性需求时,价格型货币政策能更有效地降低外生冲击对宏观经济的影响。(4)控制短期利率的同时适当地调整长期利率能提高央行对宏观经济的调控能力。

This paper introduces a dynamic stochastic general equilibrium model imbedding long term interest rate and the investors' liquidity demand is extracted from the relationship between short and long term interest rate to study the effect of liquidity demand on macro economy.Based on the quarterly data of china from 2006 to 2014,we find that:(1)the general equilibrium model including liquidity demand can describe the behavior of long-term interest rates and risk premium well without distorting macroeconomic variables' behavior.(2)the size of liquidity demand affects the impact of exogenous shocks on macro economy and the greater the liquidity demand,the more significant the impact of exogenous shocks on macro economy.(3)when there is liquidity demand,the priced monetary policy can reduce the impact of exogenous shocks on the macro economy more effectively.(4)in the current process of transformation from quantity monetary policy to priced monetary policy in China,the appropriate adjustment of long-term interest rates can improve central bank's impact on macro economic.