本文關(guān)鍵詞：宏觀經(jīng)濟(jì)、政府干預(yù)與資產(chǎn)價(jià)格波動(dòng)——基于VAR和RVAR的傳導(dǎo)機(jī)制研究　出處：《證券市場(chǎng)導(dǎo)報(bào)》2014年08期 　論文類型：期刊論文

  更多相關(guān)文章： 宏觀經(jīng)濟(jì) 政府干預(yù) 資產(chǎn)價(jià)格波動(dòng) 溢出效應(yīng)

【摘要】：植根于我國(guó)特殊的制度與政策環(huán)境,本文全面分析了宏觀經(jīng)濟(jì)與房地產(chǎn)市場(chǎng)和股票市場(chǎng)資產(chǎn)價(jià)格間的傳導(dǎo)機(jī)制,厘清宏觀經(jīng)濟(jì)對(duì)某一市場(chǎng)資產(chǎn)價(jià)格的直接影響和通過(guò)另一市場(chǎng)傳導(dǎo)的間接影響或溢出效應(yīng)。通過(guò)采用VAR及RVAR模型等方法,并納入政府干預(yù)因素,研究發(fā)現(xiàn):政府干預(yù)會(huì)對(duì)兩個(gè)市場(chǎng)間的雙向動(dòng)態(tài)關(guān)系施加顯著影響;宏觀經(jīng)濟(jì)在兩個(gè)市場(chǎng)的調(diào)控效果均受到制度與政策環(huán)境影響;宏觀經(jīng)濟(jì)沖擊對(duì)某一市場(chǎng)的直接影響和間接影響是交互動(dòng)態(tài)發(fā)揮作用的,溢出效應(yīng)不僅發(fā)揮著重要的傳導(dǎo)機(jī)制作用,有時(shí)甚至占據(jù)了主導(dǎo)。
[Abstract]:Rooted in China's special institutional and policy environment, this paper comprehensively analyzes the transmission mechanism between macroeconomic and real estate market and stock market asset prices. This paper clarifies the direct influence of macroeconomic on one market asset price and the indirect influence or spillover effect through another market. By using VAR and RVAR model and so on, the government intervention factors are taken into account. The findings are as follows: government intervention exerts a significant influence on the two-way dynamic relationship between the two markets; The effects of macroeconomic regulation and control in the two markets are affected by the institutional and policy environment; The direct and indirect effects of macroeconomic shocks on a certain market are interactive and dynamic. Spillover effects not only play an important role in transmission mechanism, but sometimes even dominate.
【作者單位】： 華南農(nóng)業(yè)大學(xué)經(jīng)濟(jì)管理學(xué)院;中山大學(xué)管理學(xué)院;喬治華盛頓大學(xué)經(jīng)濟(jì)系;
【基金】：教育部哲學(xué)社會(huì)科學(xué)研究(重大)攻關(guān)項(xiàng)目(11JZD020) 國(guó)家自然科學(xué)基金項(xiàng)目(71102133,71002055) 教育部人文社會(huì)科學(xué)研究基金(青年)項(xiàng)目(09YJC630089) 華南農(nóng)業(yè)大學(xué)“211工程”項(xiàng)目(2011211QN06;2011211TD01)的資助
【分類號(hào)】：F124;F293.3;F832.51
【正文快照】： 引言關(guān)于資產(chǎn)價(jià)格波動(dòng)的實(shí)證研究一直是學(xué)術(shù)界關(guān)注的焦點(diǎn)。對(duì)多數(shù)國(guó)家而言,股票市場(chǎng)和房地產(chǎn)市場(chǎng)都是舉足輕重的資本市場(chǎng),不少國(guó)家的經(jīng)濟(jì)曾經(jīng)在這兩個(gè)市場(chǎng)資產(chǎn)價(jià)格的過(guò)度波動(dòng)中遭受了巨大的沖擊。20世紀(jì)90年代日本由于房地產(chǎn)泡沫破滅陷入經(jīng)濟(jì)衰退,20世紀(jì)末多個(gè)國(guó)家由于東南亞，

本文編號(hào)：1365098