| Financial system is the core of modern economy, while liquidity serves as the vitality of financial system. Financial stability leads to the healthy development of macro-economy, and the premise of the country’s stable growth. The switch of liquidity state from excess to austerity causes the endogenic nature of financial instability. As a result, reducing the effect of liquidity shock plays an important role in maintaining financial stability.In order to explore the transmission effects of liquidity shock on financial system stability, the ideas of "theory-case-model-countermeasure" is submitted. Firstly, the inner link is revealed between liquidity and financial stability using the liquidity cycle theory. Secondly, taken A share market liquidity crisis in 2015 as example, it divides the crisis transmission process into different stages according to the change of shanghai composite index. By analyzing the change of liquidity state, it theoretically reveals the formation and transmission mechanism of liquidity crisis, and concludes several different transmission effect:leverage pro-cyclicality effect, asset price coupling effect, herding effect, bank-run effect, cross-country transmission effect and liquidity spiral transmission effect. Combined with some important financial crisis since 2008, empirical models of transmission effect is constructed through three different aspect:leverage, liquidity spiral and cross-country. For the leverage aspect, a three-stage financial market mathematical model is established to analyze the de-leverage effect and asset price transmission under liquidity shock. Then using numerical simulation to measure the effect of financing liquidity, short-term debt to asset price, de-leveraging extent and market liquidity. It turns out that de-leveraging effect will have prominent impact on financial stability. For the liquidity spiral aspect, taken subprime crisis as an example, a DCC model is established to examine the correlation between financing liquidity and marketing liquidity before and after the crisis. It finds out that the correlation pattern presents structural change during the crisis. Furthermore, financing liquidity is divided into ABCP market liquidity, bank system liquidity and CDO market liquidity. Result shows that ABCP market liquidity has the strongest effect on stock market liquidity, while banking liquidity shows little effect on it. For the cross-country aspect, this paper use the global stock market data through 2006-2011 to analyze the liquidity transmission effect across countries during the major financial crisis after 2008. The empirical model is taken by the DCC-MVGARCH model to measure the dynamic relation structure between different countries, while comparing the different transmission patterns between subprime crisis and European debt crisis. Result shows that dynamic correlation coefficients between the stock liquidity of different countries rise significant during crisis, and different transmission is indeed found in the former two crisis. |
PDF Full Text Request