A Study Of The Relationship Between Liquidity And Asset Price Volatilty

In recent years,China's economic operation has begun to enter a new shift period.The periodicity and volatility of the main asset prices are obvious.In particular,the operation of asset prices in the stock market,bond market and real estate market deserves more attention.Historically,the liquidity issues involved in the main factors driving asset price volatility have played a very important role.Whether the rapid increase of liquidity will cause asset prices to rise too fast and form future inflation,and how monetary policy controls liquidity,thus suppresses sharp fluctuations in asset prices,promotes the high-quality development of the real economy,are realistic issues that need to be studied.First of all,this paper takes the data of our country as an example to sort out the correlation between liquidity and asset price volatility of different dimensions,and use quantile regression to conduct an empirical analysis.Secondly,we try to use the volume and price adjustment path of monetary policy choices to deal with asset price volatility from the perspective of coordination of liquidity,and the VAR model is used to empirically analyze the monetary policy's effect on stock market,bond market,real estate market prices,output levels and price effects,some main research conclusions are drawn following:(1)The volatility trends of China's main asset prices are different,the stock market and real estate market have strong fluctuations,while the bond market fluctuates gently.(2)The characteristics of China's currency liquidity,bank liquidity,and market liquidity are different.Different dimensions of liquidity have positive or negative relationships with stock market prices,bond market prices,and real estate prices,but all have certain lags.(3)According to the results of quantile regression,the impact of multi-dimensional liquidity on asset prices varies at different quantile levels.In the stock market,the degree of market liquidity's impact on stock prices is obvious,always a positive effect,and the impact is gentle at low quantile levels,and deepened at high quantile levels;In the bond market,currency liquidity mainly shows a negative effect at high quantile levels,but the market liquidity shows a positive or negative alternating characteristic at different quantile levels;In the real estate market,the currency liquidity is highly significant and positive,but the impacts of market liquidity are mostly negative.(4)From the perspective of volume and price control of monetary policy,interest rate-based price control plays a vital role in the liquidity structure and has a better effect on asset price volatility,while credit-based quantitative regulation plays a significant role in the total liquidity and has a large impact on output levels,which further illustrates that China needs to adopt a monetary policy that emphasizes both volume and price.Because it can regulate asset price volatility and improve the development of the real economy effectively.Finally,according to China's actual situation,the author puts forward some operational policy recommendations at the end of article.