摘要
在传统资本资产定价理论框架内研究了流动性溢价的行为规律及政策含义.与流动性相关的β易变性表现出横截面规模效应.资产非流动性的流动性风险相对预期收益的异常增加会导致市场收益率的突然下降.下降幅度与市场流动性定价的基准风险资产的规模有关.如果市场流动性定价的基准是大规模风险资产的收益率,市场流动性趋于零时市场收益率剧烈下降;如果市场流动性定价的基准是小规模风险资产的收益率,则市场流动性趋于零时市场收益率变化相对平稳.上述结论明确了流动性和金融市场微观结构在货币政策调控中的重要性.
This paper studies the behavior laws and policy implications of liquidity premium in traditional theoretical frame of capital asset pricing model.The volatility of β that is related to liquidity show s cross-section scale effect.Excessive increase in liquidity risk of asset illiquidity relative to expected return will lead to abrupt drop of market return.The extent of drop is related to the scale of bench mark risk asset of market liquidity pricing.If bench mark of market liquidity pricing is the return of large-scale risk asset market return drops largely when market liquidity tends to zero.If bench mark of market liquidity pricing is the return of small-scale risk assets variations in market return are relatively stable when market liquidity tends to zero.The abovementioned conclusions are clear about the importance of liquidity and financial market microstructure in the field of control and regulation of monetary policy.
出处
《辽宁大学学报（自然科学版）》
CAS
2013年第4期314-318,共5页
Journal of Liaoning University：Natural Sciences Edition
