| Since 1990 s,financial crises have often emerged independently of economic crises and have shown a trend of increasing frequency,expanding scope and deepening depth.In especially,the subprime mortgage crisis in the United States eventually turned into a tsunami that affected global financial markets.The financial crisis caused tremendous damage to economic development.As is reported by Reuters in 2010,by the fourth quarter of 2008,the final U.S.gross domestic product fell by an annualised rate of 6.3 percent,the biggest quarterly decline since in the first quarter of 1982,when the U.S.economy plunged into its worst recession in 60 years,given the devastating effects of the financial crisis.Because of its wide scope,governments and international financial organizations attach great importance to maintaining the stability of financial system.Solving the problem of financial instability has become a worldwide research topic.To some extent,the essence of finance lies in its liquidity(Charles R.Morris,2004).Liquidity is the core of modern financial markets and the blood carrier of financial allocation resource.The Southeast Asian financial crisis in 1997,the subprime mortgage crisis in the United States in 2008 and the European sovereign debt crisis in 2010 all began with the busting of the asset price bubble.Excess liquidity and its reversal are seen as an important cause of this phenomenon,in both the financial market system and in the banking system.The imbalance of liquidity and the huge fluctuation of liquidity are the drivers of the instability of the financial system.As a result of Basel III,liquidity regulation has been raised to the same importance as capital regulation.Only by clearly understanding the influence mechanism of liquidity imbalance and liquidity shock on the stability of financial system and its management countermeasures,can we fundamentally maintain the imbalance within a controllable range,realizing the stability of financial system,and effectively preventing financial crisis.Chinese financial system has not suffered any direct losses in the international financial crisis,but it has been tested alternately by excess liquidity and illiquidity.Although these shocks have not so far been huge enough to trigger an economic crisis in China,it does not mean that our financial system is stable.Asset prices bubbling,leverage rising faster,a large number of risks have been accumulated in the financial sector.The subprime mortgage crisis in Europe and the United States and the sovereign debt crisis show that developed countries with efficient financial markets and a sound legal system are even prone to serious liquidity crises.For the emerging financial markets such as China,the financial bodies are not very mature,and the financial instruments are not yet developed.It is more necessary to prepare ahead of time,prevent troubles,accurately grasp the actual situation of liquidity imbalance,and deeply study the underlying causes of liquidity imbalance under many surface characteristics.Understand clearly the influence mechanism of liquidity imbalance on the stability of financial system,influence path,influence effect and dynamic evolution process,and take effective measures to solve many problems caused by liquidity.In order to reduce the negative impact of liquidity imbalance on the stability of financial system,based on the above background and the problems need solving,this paper chooses to study the impact of liquidity imbalance on financial stability in China.The innovation points of this paper are:Firstly,it provides a new perspective for the theory of financial stability.This paper studies financial stability from the perspective of liquidity imbalance and the inherent instability of the financial system.Previous studies have focused on the effects of liquidity risk,liquidity shocks and liquidity fluctuations on the stability of the financial system,rather than analyzed from the point of disequilibrium.At the same time,this paper mainly studies the influence of the liquidity imbalance on the internal factors of the financial system,and through the financial system internal instability mechanism,the results in the financial risk agglomeration process.Secondly,it enriches the connotation of liquidity research and provides the basis for liquidity management.According to the diversity and complexity of liquidity characteristics,combined with the current situation of domestic in order to the overall liquidity imbalance and foreign financial markets,from multi-dimension such as total,structure or macro,micro or static,dynamic this paper comprehensive analysis of liquidity imbalance,and measures different dimensions of liquidity imbalance in China.This paper provides a theoretical basis and an empirical basis for scientifically grasping the focus of liquidity supervision and the starting point of preventing systemic risk,and constructing a regulatory system that conforms to the characteristics of modern finance.Thirdly,it deeply excavates the relationship between the outstanding problems and liquidity imbalance in the financial operation of our country.From the point of the structural liquidity imbalance,this paper analyzes the liquidity imbalance between the real economy and the fictitious economy,and the imbalance within the real economy and the fictitious economy.Combined with the rapid growth of shadow banking in China in recent years,the paper analyze the influence of the imbalance of the liquidity structure on the existence and development of the shadow banking,as well as the adverse effects on financial stability.And considering the bubble problems existing in the stock,real estate and other assets in China in recent years and the expanding scale of bank credit,the paper analyzes the influence mechanism of the total liquidity imbalance on the asset price bubbles,and that on the bank risk-taking.Fourthly,it constructs a dynamic correlation model between macro liquidity imbalance and micro liquidity imbalance.In order to analyze the influence relationship between different levels of liquidity,The liquidity spiral model between monetary liquidity,market liquidity and financing liquidity is constructed,and the dynamic influence mechanism is demonstrated.The existence of dynamic liquidity imbalance in China and its influence on financial stability are tested empirically.The paper consists seven chapters,the first chapter is the preface,the second chapter is the summary of research,the third chapter explores theory of the liquidity imbalance and financial stability,the fourth chapter studies the path of the total liquidity imbalance impact on the financial stability,the fifth chapter studies the path of the structural liquidity imbalance impact on financial stability,the sixth chapter studies the path of the dynamic liquidity imbalance impact on financial stability,the seventh chapter puts forward policy suggestions on the basis of the article conclusions.The basic conclusions of the full text are as follows:Firstly,through financial institutions and financial markets the total liquidity imbalance impact on financial stability.From the angle of financial institutions,the total liquidity imbalance impact on bank risk-taking through the value revaluation effect and seek wealth effect,income effect,using the extended Wagner model analysis that the excess liquidity will increase willingness of banks risk-taking.The change of bank risktaking has a significant negative impact on financial stability through the cyclical effect and contagion effect.From the angle of financial market,the model demonstrates the influence of the total liquidity imbalance on the fluctuation of asset prices,based on the quantity of money and credit expansion model of asset price bubbles and capital asset pricing model mechanism,asset prices rise with the accumulation of foam formation and expansion,will produce direct and indirect influence on financial stability,especially adversely affect the financial stability in the condition of economies with higher debt to asset ratio and there are defects in financial system,improper choice of monetary policy.In order to verify the theoretical analysis,we use the monetary surplus method to build a measurement index of liquidity imbalance----the co-efficiency of total excess liquidity.The empirical analysis shows that China has been in a state of excess liquidity after 2007,and the degree of imbalance has been increasing until 2015.Based on the measure of the total liquidity imbalance in our country,the paper constructs a VECM model of monetary liquidity imbalance,bank risk-taking,asset prices to test the relationship.We think there is a long-term equilibrium relationship between liquidity imbalance and stock market bubble,the housing bubble.And the long-term equilibrium has moderating effect on the short-term fluctuations,the overall effect is positive,"cumulative effect" and "lag effect" are in existence.Secondly,the structural liquidity imbalance is mainly manifested in liquidity imbalance between the real economy and the fictitious economy,liquidity imbalance within real economy and fictitious economy.The three dimensions of imbalance promoting the development of shadow banking,and formed with the characteristics of off-balance sheet business and parallel banking model,shadow banking has adverse effects on financial stability.On the basis of theoretical analysis this paper measures Chinese structural liquidity imbalance.It constructs liquidity imbalance index between the real economy and the fictitious economy,empirical studies suggests that the liquidity imbalance of Chinese real economy and fictitious economy presents a large fluctuation situation;it uses Herfindahl-Hirschman Index to measure the liquidity imbalance within real economy,empirical analysis suggests that our country is in the middle higher credit industry concentration;it uses the DR007 and R007 wave ratio to measure the liquidity imbalance within fictitious economy,empirical analysis suggests that there is liquidity imbalance between Chinese deposit financial institutions and non-deposit financial institutions since October 2016.Based on the measure of structural liquidity imbalances,by constructing a VAR model and impulse response analysis,it proves liquidity imbalance has a positive impact on the expansion of the scale of shadow banking,expanding the size of the shadow banking will push up the real estate market price fluctuations.By constructing a TimeVary Parameter Estimation for State Space Model,it proves the effects of the structural liquidity imbalance on the size of shadow banking is always positive,the time-vary characteristic isn't obvious and the influence remained stable.Thirdly,this paper constructs liquidity spiral model to prove the circulation strengthening mechanism of monetary liquidity imbalance,funding liquidity imbalance and market liquidity imbalance.The dynamic change of liquidity imbalance will have a greater impact on financial stability through the mechanism of credit tightening,the mechanism of declining financing capacity,the mechanism of risk contagion and the mechanism of risk expectation.By using the indexes of monetary liquidity imbalance,market liquidity imbalance and funding liquidity imbalance,the paper constructs the markov switching model for empirical analysis.It illustrates there are two states for the monetary liquidity imbalance,market liquidity and funding liquidity from January 2007 to December 2016.The duration of the two states is basically the same.The change of monetary liquidity has a positive effect on both funding liquidity and market liquidity,and increasing money supply is conducive to enhancing funding liquidity and market liquidity.There is always a positive feedback effect between market liquidity and funding liquidity,which will form a liquidity spiral.It has the characteristics of time-varying and asymmetric.Based on the conclusion of this paper,it is proposed that macro-policy should strengthen liquidity management while taking macro-prudential measures to maintain financial stability under the condition of liquidity imbalance.Firstly,the different levels of liquidity imbalance need different adjustments.The authority need to take corresponding measures to manage the total amount of liquidity imbalance,structural liquidity imbalance and dynamic liquidity imbalance.Secondly,we should build a liquidity imbalance monitoring system,including liquidity daily operation mechanism,monitoring and warning mechanism,buffer mechanism,emergency mechanism and feedback mechanism.Thirdly,we should strengthen macro-prudential supervision under the condition of liquidity imbalance,to solve the procyclicality problem of bank risk-taking,to control the risk of asset price fluctuations,and to effectively supervise the rapidly developing shadow banking system.Meanwhile we should pay attention to the coordination of macro-prudential policy and monetary policy in the process of policy implementation,and jointly achieve the regulatory objectives of liquidity and financial stability. |
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