微观产能利用对我国宏观资金流动性影响的实证分析
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摘要
本文通过对经济波动环境下微观经济主体行为的分析,揭示了宏观资金流动性波动的微观形成诱因及演化规律。首先,本文对1999年至2008年我国资金流动性与制造业各行业产能利用率序列进行测度。继而利用频谱分析对资金流动性与制造业各行业产能利用率的周期波动特征以及两者的波动关系进行测定。为了建立微观个体行为与宏观经济现象之间的联系,本文借鉴合成指数的方法,把利用互谱分析得到的具有相似波动特征的制造业产能利用率合成为一个指数,探讨合成后的指数与宏观资金流动性波动之间可能存在的影响关系。为了验证微观产能利用率是宏观资金流动性波动的重要原因,分别对资金流动性与固定资产投资的时间序列Granger因果关系以及固定资产投资与产能利用率的面板Granger因果关系进行检验。最后,通过建立宏观资金流动性与制造业产能利用合成指数的马尔可夫区制转移向量自回归(MSVAR)模型分析在不同的经济背景下,产能利用率的变化是如何影响资金流动性的波动的,从而阐述了制造业产能利用率对资金流动性的传导机制。
The behavior of Micro entities including firms has been greatly impacted by the rapid growth of China’s economy and its frequent cyclical volatility. The frequent occurrence of overheated investment, the fluctuation of price and the disequilibrium of supply and demand have played very important role on the capital liquidity. The over heated investment which lead to“excess capacity”followed by“excess liquidity”not only break the existing pattern of benefits, but do harm to the interests of the overwhelming majority of people. Especially for the years coming after 2007, CPI keep on the high point and inflation get worse and worse, if there are no appropriated micro control policy, the cyclical fluctuation of excess capacity and excess liquidity will happen unavoidably. Therefore, to discover the evolution mechanism and basic characteristics of micro capacity utilization and macro capital liquidity quantitatively will have great significance for actual policy making.
From the existed preferences domestic and abroad about excess liquidity and excess capacity, we can find that there is no regular recognition on their concepts, specific performances, their impact and their causation, lacking of authorized conclusion. As for the economists on theory researching, most of them have focused on the sort of correlation between macro variables in a certain period of time to judge the changing reason of liquidity, ignoring the influence of micro firm’s behavior. We attempt to analyze and solve the problem of macro economy, volatility of macro capital liquidity, from the point of view of micro economy, micro firms’ behavior. After summarizing the current research results, we put our heart and soul into these problems.
In chapter two of this thesis, we analyze the influence of firm’s investment behavior on the macro capital liquidity as well as the influence of choosing capacity utilization on the firm’s investment mathematically using the dynamic optimism tools on the base of summarizing the existing preferences and the concepts of excess capacity and excess liquidity. The result of mathematically analyze on the optimism behavior of decreasing credit for firms and the need for credit in production demonstrate that the capacity utilization will have opposite influence on investment. If excess capacity exists, firms will decrease their investment, leading to the decrease of credit need which will have impact on the capital liquidity, leading to the excess liquidity. This work is the theory foundation for the next research.
In chapter three of this thesis, we summed up the currently used methods for measuring capacity utilization, and then use the peak to peak method to get the value of capacity utilization from 1999 to 2008 of 28 manufacturing industries. We describe the performance of capital liquidity and then use HP filter technology to get the volatility series of capacity utilization and capital liquidity and make analysis. We expect that there are close correlation between excess capacity and excess liquidity. In the environment of economic fluctuation, the behavior of firms can lead to the excess capacity;The excess capacity will make the firms reduce the investment, causing the formation of excess liquidity. The extension of capacity utilization and capital liquidity has closed relationship with economic fluctuation. The excess capacity in some industries is caused by over investment directly. The characters of financial structure determine the pattern of finance highly concentrate on the banking finance, which lead to the banks become the main risk bearer undoubtedly. In the medium long term, the releasing of excess capacity will influence the security of bank credit, leading excess liquidity and inducing financial risk.
In chapter four of this thesis, we use spectral analysis of time series to describe and analyze the capital liquidity and capacity utilization of 28 manufacturing industries from 1999 to 2008. We find that, the cyclical fluctuation not only exists in the capacity liquidity, but in the capacity utilization of manufacturing industries and their volatility have close relationship. We can try to say that the interior factors and extra impulse of causing cyclical fluctuation of capital liquidity is close or the same to capacity utilization of manufacturing industries. We get the relationship including the extent of relationship between corresponding variables and the relationship of leading, constant and lag of cyclical fluctuation of capital liquidity and capacity utilization through using the cross spectral analysis. We find that the variables have great difference on time which demonstrates that the interior factors and extra impulse of causing cyclical fluctuation of capital liquidity are difference on time, indicating that the mechanism of economic cyclical fluctuation is different at different economic activities. Then, we use the composite index method to build the leading, consistent and the lag index sequence of capacity utilization and compared with economic cyclical sequence, we find that excess liquidity is a cyclical phenomenon fluctuating along with the macro economy and this condition is a composite result of economic behavior of capacity fluctuation of micro entities.
In chapter five of this thesis, we prove the co integration relation between macro capital liquidity and fixed capital investment. The need for investment of firms necessarily leads to the need for capital. The less need for investment;The less need for capital, thus the capital gained by sale and provide service will become the illiquid capital. We use panel data of investment and capacity utilization of 28 manufacturing industries from 1999 to 2008 to do unit root, co integration and granger causation test. We find that the time series of investment and capacity utilization do not have stationary characteristics, but exist the long term stationary co integration relationship. In the long run, capacity utilization is the granger causation for investment, while in the short run, capacity utilization and investment will impact mutually, that is, there is causation relationship between investment and capacity utilization. Part of industries of China exist excess capacity problem which caused by over investment. Generally speaking, in the condition of excess capacity, the willing to investment decrease and credit goes slowly. There are lots of capital idled in banks finding no way to be used, occurring the excess liquidity.
In chapter six of this thesis, through the Markov-switching vector auto regression model of macro liquidity and the composite index of capacity utilization of manufacturing industries, we find that there are exit significantly two regimes, constricts regime and expansion regime, in the dynamic path of macro liquidity and the composite index of capacity utilization of manufacturing industries. Through the Markov-switching model, we can determine the changing time and probability between constricts regime and expansion regime. The experiment estimation result demonstrate that in the procedure of economy, the relationship between macro capital liquidity and composite index of capacity utilization of manufacturing industries depends on their regime condition. When the lag index is in the constrict regime, the change of macro capital liquidity will have no significant influence on capacity utilization, but to the leading and consistent index, the change of macro capital liquidity will have opposite influence on capacity utilization, which means that in the condition of serious depression of capacity utilization, the trend and expect part of macro capital liquidity have negative relation with capacity utilization, that is the taking place of excess liquidity. In the vector auto regression model, the tow order auto regression procedure of macro capital liquidity and capacity utilization of manufacturing industries indicating the consistent procedure of them. The constriction of former composite index of capacity utilization will have cure effect on the current, while the expansion of former index will have constrict effect on the current. In their operation there exit the mean regression or regime consistence.
The behavior of Micro entities including firms has been greatly impacted by the rapid growth of China’s economy and its frequent cyclical volatility. The frequent occurrence of overheated investment, the fluctuation of price and the disequilibrium of supply and demand have played very important role on the capital liquidity. The over heated investment which lead to“excess capacity”followed by“excess liquidity”not only break the existing pattern of benefits, but do harm to the interests of the overwhelming majority of people. Especially for the years coming after 2007, CPI keep on the high point and inflation get worse and worse, if there are no appropriated micro control policy, the cyclical fluctuation of excess capacity and excess liquidity will happen unavoidably. Therefore, to discover the evolution mechanism and basic characteristics of micro capacity utilization and macro capital liquidity quantitatively will have great significance for actual policy making.
From the existed preferences domestic and abroad about excess liquidity and excess capacity, we can find that there is no regular recognition on their concepts, specific performances, their impact and their causation, lacking of authorized conclusion. As for the economists on theory researching, most of them have focused on the sort of correlation between macro variables in a certain period of time to judge the changing reason of liquidity, ignoring the influence of micro firm’s behavior. We attempt to analyze and solve the problem of macro economy, volatility of macro capital liquidity, from the point of view of micro economy, micro firms’ behavior. After summarizing the current research results, we put our heart and soul into these problems.
In chapter two of this thesis, we analyze the influence of firm’s investment behavior on the macro capital liquidity as well as the influence of choosing capacity utilization on the firm’s investment mathematically using the dynamic optimism tools on the base of summarizing the existing preferences and the concepts of excess capacity and excess liquidity. The result of mathematically analyze on the optimism behavior of decreasing credit for firms and the need for credit in production demonstrate that the capacity utilization will have opposite influence on investment. If excess capacity exists, firms will decrease their investment, leading to the decrease of credit need which will have impact on the capital liquidity, leading to the excess liquidity. This work is the theory foundation for the next research.
In chapter three of this thesis, we summed up the currently used methods for measuring capacity utilization, and then use the peak to peak method to get the value of capacity utilization from 1999 to 2008 of 28 manufacturing industries. We describe the performance of capital liquidity and then use HP filter technology to get the volatility series of capacity utilization and capital liquidity and make analysis. We expect that there are close correlation between excess capacity and excess liquidity. In the environment of economic fluctuation, the behavior of firms can lead to the excess capacity;The excess capacity will make the firms reduce the investment, causing the formation of excess liquidity. The extension of capacity utilization and capital liquidity has closed relationship with economic fluctuation. The excess capacity in some industries is caused by over investment directly. The characters of financial structure determine the pattern of finance highly concentrate on the banking finance, which lead to the banks become the main risk bearer undoubtedly. In the medium long term, the releasing of excess capacity will influence the security of bank credit, leading excess liquidity and inducing financial risk.
In chapter four of this thesis, we use spectral analysis of time series to describe and analyze the capital liquidity and capacity utilization of 28 manufacturing industries from 1999 to 2008. We find that, the cyclical fluctuation not only exists in the capacity liquidity, but in the capacity utilization of manufacturing industries and their volatility have close relationship. We can try to say that the interior factors and extra impulse of causing cyclical fluctuation of capital liquidity is close or the same to capacity utilization of manufacturing industries. We get the relationship including the extent of relationship between corresponding variables and the relationship of leading, constant and lag of cyclical fluctuation of capital liquidity and capacity utilization through using the cross spectral analysis. We find that the variables have great difference on time which demonstrates that the interior factors and extra impulse of causing cyclical fluctuation of capital liquidity are difference on time, indicating that the mechanism of economic cyclical fluctuation is different at different economic activities. Then, we use the composite index method to build the leading, consistent and the lag index sequence of capacity utilization and compared with economic cyclical sequence, we find that excess liquidity is a cyclical phenomenon fluctuating along with the macro economy and this condition is a composite result of economic behavior of capacity fluctuation of micro entities.
In chapter five of this thesis, we prove the co integration relation between macro capital liquidity and fixed capital investment. The need for investment of firms necessarily leads to the need for capital. The less need for investment;The less need for capital, thus the capital gained by sale and provide service will become the illiquid capital. We use panel data of investment and capacity utilization of 28 manufacturing industries from 1999 to 2008 to do unit root, co integration and granger causation test. We find that the time series of investment and capacity utilization do not have stationary characteristics, but exist the long term stationary co integration relationship. In the long run, capacity utilization is the granger causation for investment, while in the short run, capacity utilization and investment will impact mutually, that is, there is causation relationship between investment and capacity utilization. Part of industries of China exist excess capacity problem which caused by over investment. Generally speaking, in the condition of excess capacity, the willing to investment decrease and credit goes slowly. There are lots of capital idled in banks finding no way to be used, occurring the excess liquidity.
In chapter six of this thesis, through the Markov-switching vector auto regression model of macro liquidity and the composite index of capacity utilization of manufacturing industries, we find that there are exit significantly two regimes, constricts regime and expansion regime, in the dynamic path of macro liquidity and the composite index of capacity utilization of manufacturing industries. Through the Markov-switching model, we can determine the changing time and probability between constricts regime and expansion regime. The experiment estimation result demonstrate that in the procedure of economy, the relationship between macro capital liquidity and composite index of capacity utilization of manufacturing industries depends on their regime condition. When the lag index is in the constrict regime, the change of macro capital liquidity will have no significant influence on capacity utilization, but to the leading and consistent index, the change of macro capital liquidity will have opposite influence on capacity utilization, which means that in the condition of serious depression of capacity utilization, the trend and expect part of macro capital liquidity have negative relation with capacity utilization, that is the taking place of excess liquidity. In the vector auto regression model, the tow order auto regression procedure of macro capital liquidity and capacity utilization of manufacturing industries indicating the consistent procedure of them. The constriction of former composite index of capacity utilization will have cure effect on the current, while the expansion of former index will have constrict effect on the current. In their operation there exit the mean regression or regime consistence.
引文
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