發(fā)布時(shí)間：2018-01-05 02:03

  本文關(guān)鍵詞：貨幣循環(huán)流動(dòng)與金融資產(chǎn)價(jià)格的波動(dòng)　出處：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 貨幣循環(huán)流動(dòng) 金融資產(chǎn)價(jià)格 金融窖藏 熱錢

【摘要】：隨著各國經(jīng)濟(jì)金融自由化的加深,市場(chǎng)運(yùn)行中每次發(fā)生的金融經(jīng)濟(jì)危機(jī)均伴隨著資產(chǎn)價(jià)格的異常波動(dòng)以及價(jià)格泡沫因素的影響,特別是在信用經(jīng)濟(jì)的情況下,資產(chǎn)價(jià)格通常是與資產(chǎn)抵押的信用結(jié)合在一起,這就使得資產(chǎn)價(jià)格的泡沫與信用以及整個(gè)金融體系連在一起�？梢哉f,在金融市場(chǎng)上,交易活動(dòng)中的金融資產(chǎn)價(jià)格的泡沫問題是金融乃至實(shí)體經(jīng)濟(jì)在內(nèi)的整個(gè)宏觀經(jīng)濟(jì)穩(wěn)定運(yùn)行的主要影響因素。當(dāng)前我國金融市場(chǎng)處于穩(wěn)步發(fā)展階段,各種監(jiān)管制度還不夠完善,隨著各種金融業(yè)務(wù)的不斷拓展以及金融產(chǎn)品的不斷創(chuàng)新,更應(yīng)該謹(jǐn)慎對(duì)待金融資產(chǎn)價(jià)格的波動(dòng)問題,令相關(guān)的監(jiān)管部門加強(qiáng)對(duì)它的金融監(jiān)管,同時(shí)對(duì)市場(chǎng)交易和市場(chǎng)價(jià)格也加大干預(yù)力度,從而降低價(jià)格泡沫的危機(jī)風(fēng)險(xiǎn),去除對(duì)歷次金融危機(jī)與現(xiàn)代經(jīng)濟(jì)安全的一大威脅。 在此,論文基于貨幣循環(huán)流動(dòng)的視角,探討金融資產(chǎn)價(jià)格波動(dòng)的產(chǎn)生機(jī)理,進(jìn)行理論推導(dǎo)分析發(fā)現(xiàn)金融窖藏(包含凈儲(chǔ)蓄和貨幣創(chuàng)造兩部分)和由國外流入的熱錢都是引起金融資產(chǎn)價(jià)格波動(dòng)的至關(guān)重要的因素。在此理論分析結(jié)果的基礎(chǔ)上,通過實(shí)施基本回歸分析發(fā)現(xiàn)金融資產(chǎn)價(jià)格具有很高的自相關(guān)性,經(jīng)過了協(xié)整檢驗(yàn)以及脈沖響應(yīng)分析和方差分解之后,進(jìn)一步運(yùn)用嵌套廣義自回歸條件異方差(GARCH)模型的狀態(tài)空間(State-space)模型進(jìn)行實(shí)證分析預(yù)測(cè),結(jié)果表明：金融資產(chǎn)價(jià)格的波動(dòng)與金融窖藏、熱錢之間具有長(zhǎng)期的均衡穩(wěn)定關(guān)系,而且熱錢傾向于流入股票市場(chǎng),股市對(duì)熱錢的變動(dòng)具有較強(qiáng)的敏感度,相比之下金融窖藏更愿意進(jìn)入房地產(chǎn)市場(chǎng),對(duì)房市產(chǎn)生持續(xù)穩(wěn)定的正效應(yīng)。鑒于此,對(duì)引導(dǎo)貨幣資金的流動(dòng),有效地調(diào)控金融資產(chǎn)價(jià)格,降低風(fēng)險(xiǎn)防范金融危機(jī)的發(fā)生提出相應(yīng)的政策建議。
[Abstract]:With the deepening of economic and financial liberalization in various countries, every financial and economic crisis in the operation of the market is accompanied by abnormal fluctuations in asset prices and the influence of price bubble factors, especially in the case of credit economy. Asset prices are usually combined with the credit of asset mortgages, which connects asset price bubbles to credit and the financial system as a whole, so to speak, in financial markets. The bubble of financial asset price is the main factor that affects the stable operation of the whole macro economy, including finance and real economy. At present, the financial market of our country is in a steady stage of development. With the development of various financial business and the innovation of financial products, we should treat the fluctuation of financial assets price with caution. Make the relevant regulators to strengthen its financial supervision, at the same time to market transactions and market prices increased intervention, thereby reducing the risk of a price bubble crisis. Remove a major threat to financial crises and modern economic security. In this paper, based on the perspective of the circulation of money, the paper discusses the mechanism of financial asset price volatility. Theoretical derivation analysis found that the financial hoard (including net savings and money creation two parts). And hot money inflows from abroad are the most important factors that cause the fluctuation of financial asset price. Based on the theoretical analysis results. Through the implementation of basic regression analysis found that financial asset prices have a high autocorrelation, after cointegration test, impulse response analysis and variance decomposition. Furthermore, the state-space State-space model of nested generalized autoregressive conditional heteroscedasticity (GARCH) model is used for empirical analysis and prediction. The results show that the volatility of financial asset prices and financial hoard, hot money has a long-term equilibrium and stability, and hot money tends to flow into the stock market, the stock market has a strong sensitivity to the change of hot money. By contrast, the financial cellar is more willing to enter the real estate market, which has a sustained and stable positive effect on the housing market. In view of this, it can guide the flow of monetary funds and effectively regulate the prices of financial assets. Reduce the risk to prevent the occurrence of financial crisis, put forward the corresponding policy recommendations.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F831.7

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本文編號(hào)：1381059