| The financial crises,throughout the history of the world financial development,always show the process of excess liquidity,tight liquidity and liquidity suddenly disappeared,accompanied by a sharp fluctuation of asset price,and quickly spread to the money market,credit market,foreign exchange market and the real economy through various fields.The development of the world economy shows that the liquidity shock and asset price fluctuation in each economy are objective existence.At present,with the continuous promotion of the interest rate market,the exchange rate market and the RMB internationalization,China is in the transition period of the new normal with structural reform and economic transition.Maintaining ample liquidity and stable asset price has important significance to ensure the stability of the financial system and promote the overall economic development.This paper discusses the liquidity and asset price changes of China in the past ten years,and analyzes the interactive mechanism between monetary liquidity,funding liquidity,market liquidity and stock price,real estate price,commodity price.The combination of theoretical analysis and empirical analysis is applied to rich the study in this area and provide some suggestions for the control and management of the liquidity and asset price.In terms of theoretical analysis,this paper analyzes the connotation and the measure of liquidity,the connotation and measurement of asset price fluctuation,and the transmission mechanism between monetary liquidity,funding liquidity,market liquidity and asset price fluctuations.In terms of empirical analysis,this paper makes empirical tests on the dynamic effect of multi dimension liquidity and asset price fluctuation by constructing Bayes-DCC-GARCH model and VAR model,including the dynamic circulation effect of multi dimension liquidity,the dynamic linkage effects between multi dimension liquidity and asset price fluctuation and the dynamic spillover effect of multi dimension liquidity on fluidity asset.The empirical results show that:(1)There are circular effects among monetary liquidity,funding liquidity and market liquidity,namely the change of any dimension of liquidity will cause changes of the other dimensions of liquidity in the same direction.In addition,both the strength and volatility of correlation between monetary liquidity and funding liquidity are the highest,and the correlations between market liquidity and monetary liquidity,and market liquidity and funding liquidity are relatively weak and with small fluctuation.(2)There are positive correlations between multi dimension liquidity and asset price volatility.In terms of stock price fluctuation,the degree of correlation between the market liquidity and stock price fluctuation is strongest.In terms of real estate price fluctuation,there are strong correlations between monetary liquidity,funding liquidity and real estate asset price fluctuation.In terms of commodity price fluctuation,correlation degrees of commodity asset price fluctuation and three dimensions liquidity are relatively low.(3)Monetary liquidity and funding liquidity have positive spillovers on stock price and real estate price mainly through money supply and bank credit.And monetary liquidity affects commodity price mainly through the exchange rate channel,showing a negative impact.Besides,market liquidity has a positive impact on the stock price,and then affects real estate price and commodity price indirectly.Finally,based on the research conclusions of the full paper,policy recommendations are put forward. |
