中信证券：宏观专题—紧缩流动性会终止A股牛市吗？

19页 09.24

央行的政策意图非常明确，就是紧缩流动性；而市场也普遍认为流动性导致A 股价格重估。那么，紧缩流动性会终止A 股牛市吗？
􀂙 我们的观点是：“流动性过剩推升A 股价格”的主流观点似是而非，是储蓄分流资金推动了本轮牛市。就此而论，市场短期内不必担心流动性枯竭的风险，但必须警惕这类资金使市场较为脆弱。

目 录
一、“主动信贷创造推升股价”是不存在的神话··························································································································1
1.1 中长期信贷创造：几乎全为实体经济吸收·················································································································1
1.2 短期信贷数据显示：企业并未全面炒股·····················································································································2
1.3 银行间市场：拆借与回购资金与股市缺乏联系··········································································································4
1.4 中国企业并未全面炒股的机制解析·····························································································································5
1.5 所谓“过剩”的流动性导致银行贷存比下降··············································································································6
二、事实上，储蓄分流为牛市提供了资金··································································································································8
2.1 经验判断：储蓄分流与两轮牛市同步·························································································································8
2.2 储蓄分流规模的简要估算·············································································································································8
2.2.1 同比增速假定法：2006 年4 月以来约分流1.55 万亿·························································································8
2.2.2 “收入-消费”推算法：2006 年4 月以来分流约1 万亿元······················································································9
2.2.3 基金发行推算：储蓄分流买基金的数字估达4000 亿元以上·············································································9
2.3 个人投资者具有分流储蓄的主观意愿·······················································································································10
2.3.1 央行储蓄问卷调查···············································································································································10
2.3.2 三个时点的经验聚焦···········································································································································11
2.3.3 多巴胺神经元：人类对回报兴奋的刺激器········································································································11
三、“价值-价格”范式：业绩、股价与资金的交互性············································································································12
3.1 牛市动因之“价值-价格”范式构建··························································································································12
3.2 储蓄分流支撑的市场具有脆弱性·······························································································································13
3.2.1 储蓄分流还未枯竭，资金面可支撑牛市演绎·····································································································13
3.2.2 储蓄分流加大市场的波动性和脆弱性················································································································14
3.3 牛市中的政府职能······················································································································································15