本文選題：資產(chǎn)價(jià)格錯(cuò)位 + 證券市場(chǎng)　； 參考：《吉林大學(xué)》2013年博士論文

【摘要】：后金融危機(jī)時(shí)期，中國(guó)經(jīng)濟(jì)面臨著糾正資產(chǎn)價(jià)格錯(cuò)位、降低經(jīng)營(yíng)杠桿率以及消除過(guò)剩產(chǎn)能三大難題。這些問(wèn)題的存在制約了中國(guó)經(jīng)濟(jì)未來(lái)的增長(zhǎng)空間，并影響了宏觀(guān)經(jīng)濟(jì)的穩(wěn)定性。在這其中，資產(chǎn)價(jià)格錯(cuò)位本身就蘊(yùn)含了巨大的金融風(fēng)險(xiǎn)，也使得政府決策面臨掣肘。近年來(lái)，資產(chǎn)市場(chǎng)在各國(guó)宏觀(guān)經(jīng)濟(jì)的運(yùn)行過(guò)程中所起的作用日益凸顯，資產(chǎn)價(jià)格的大幅波動(dòng)也成為了各國(guó)中央銀行所關(guān)注的重要問(wèn)題。具體來(lái)看，資產(chǎn)價(jià)格穩(wěn)定與一般物價(jià)水平穩(wěn)定涉及到中央銀行金融穩(wěn)定與幣值穩(wěn)定兩大政策目標(biāo)在短期的權(quán)衡。而上述問(wèn)題也是后金融危機(jī)時(shí)期貨幣金融學(xué)中最具爭(zhēng)議的話(huà)題。為此，本文以現(xiàn)代資產(chǎn)定價(jià)與貨幣經(jīng)濟(jì)理論為基礎(chǔ)，從中國(guó)的經(jīng)濟(jì)實(shí)際出發(fā)，力圖研究上述熱點(diǎn)問(wèn)題，并給出相應(yīng)的政策建議。 本文首先考察了我國(guó)資產(chǎn)市場(chǎng)中證券市場(chǎng)價(jià)格指數(shù)以及住房?jī)r(jià)格投機(jī)性泡沫的存在性，并構(gòu)建了上述兩個(gè)市場(chǎng)的泡沫監(jiān)測(cè)方法。隨后我們將上述研究推廣到更為一般的資產(chǎn)價(jià)格錯(cuò)位分析框架下，利用泡沫存在性對(duì)我國(guó)資產(chǎn)市場(chǎng)中的資產(chǎn)價(jià)格錯(cuò)位進(jìn)行解釋。同時(shí)，為了對(duì)后續(xù)研究做鋪墊，本文進(jìn)一步考察資產(chǎn)價(jià)格錯(cuò)位與貨幣因素的關(guān)聯(lián)性以及貨幣因素對(duì)資產(chǎn)錯(cuò)位的解釋能力。 基于上述經(jīng)驗(yàn)分析結(jié)果，，本文進(jìn)一步研究貨幣政策在應(yīng)對(duì)資產(chǎn)價(jià)格錯(cuò)位中應(yīng)當(dāng)采取何種政策操作。對(duì)于證券市場(chǎng)，我們考慮了一個(gè)存在證券市場(chǎng)的新凱恩斯貨幣經(jīng)濟(jì)模型，并在其中引入異質(zhì)交易者，將經(jīng)典的理性泡沫問(wèn)題推廣到了漸進(jìn)理性層面，以評(píng)價(jià)考慮資產(chǎn)價(jià)格因素的貨幣政策規(guī)則能否促進(jìn)經(jīng)濟(jì)系統(tǒng)收斂于確定性以及穩(wěn)定性理性預(yù)期均衡。對(duì)于住房市場(chǎng)，本文基于所構(gòu)建的住房市場(chǎng)均衡模型對(duì)貨幣政策沖擊的效果進(jìn)行經(jīng)驗(yàn)分析與統(tǒng)計(jì)模擬，識(shí)別了貨幣政策對(duì)住房?jī)r(jià)格的主要作用途徑及影響機(jī)制，同時(shí)評(píng)價(jià)了貨幣政策調(diào)控住房?jī)r(jià)格對(duì)宏觀(guān)經(jīng)濟(jì)穩(wěn)定性的影響。
[Abstract]:In the post-financial crisis, China's economy faces three major challenges: correcting asset price misalignment, reducing operating leverage and eliminating excess capacity.The existence of these problems has restricted the future growth space of China's economy and affected the macroeconomic stability.Among them, asset price dislocation itself contains huge financial risk and makes government decision face constraints.In recent years, asset market plays a more and more important role in the process of macroeconomic operation, and the large fluctuation of asset price has become an important issue concerned by the central banks of various countries.Specifically, asset price stability and general price level stability involve the trade-off between the central bank's financial stability and currency stability in the short term.The above question is also the most controversial topic in the post-financial crisis.Therefore, based on the modern asset pricing and monetary economic theory, this paper tries to study the above hot issues from the economic reality of China, and gives corresponding policy suggestions.This paper first investigates the existence of the stock market price index and the housing price speculative bubble in the asset market of our country, and constructs the bubble monitoring method of the two markets mentioned above.Then we extend the above research to a more general framework of asset price dislocation analysis, using bubble existence to explain asset price dislocation in asset market of our country.At the same time, in order to pave the way for further research, this paper further investigates the relationship between asset price dislocation and monetary factors and the ability of monetary factors to explain asset dislocation.Based on the above empirical results, this paper further studies the policy operation of monetary policy in dealing with asset price dislocation.For the securities market, we consider a new Keynesian monetary economic model with a securities market, and introduce heterogeneous traders into it, and extend the classical rational bubble problem to the progressive rational level.The purpose of this paper is to evaluate whether the monetary policy rules which take account of asset price factors can promote the convergence of the economic system to certainty and stable rational expectation equilibrium.For the housing market, based on the empirical analysis and statistical simulation of the impact of monetary policy on the housing market equilibrium model, this paper identifies the main role of monetary policy on housing prices and its impact mechanism.At the same time, the influence of monetary policy on macroeconomic stability is evaluated.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F224;F832.51;F822.0;F299.23

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