【摘要】：本文把資產(chǎn)價格傳導渠道分解為兩條傳導路徑來驗證資產(chǎn)價格傳導渠道的非對稱性,分別構建了一個經(jīng)濟體的結構后視模型與包含城鎮(zhèn)消費、收入以及資產(chǎn)價格的均衡模型,并納入通脹預期變量。在此基礎上采取季度數(shù)據(jù),通過SVAR模型與馬爾科夫區(qū)制轉換下的脈沖響應模型對我國貨幣政策資產(chǎn)價格傳導的非對稱性進行實證分析,并且運用狀態(tài)空間模型等方法對不同資產(chǎn)的邊際消費傾向時變特征進行了刻畫。實證結果表明：第一、貨幣政策利率傳導機制對股價的影響要遠遠大于對房價的影響,對股價對利率傳導的負響應集中在-0.03與-0.0033之間,而房價對利率傳導的負響應集中在-0.00159與-0.0002之間,第 房地產(chǎn)市場對實體經(jīng)濟的促進作用不明顯,自身存在泡沫成分,第三、貨幣政策對資產(chǎn)價格傳導在不同通脹區(qū)制下同樣具有非對稱性。第四、房地產(chǎn)在短期具有較強的正向財富效應,但在長期具有減弱的趨勢。股票資產(chǎn)在短期具有財富效應,但長期財富效應消失。第五、不同資產(chǎn)的財富效應具有非對稱性,房地產(chǎn)的財富效應要遠遠大于股票資產(chǎn),因此,本文認為,貨幣政策對資產(chǎn)價格應該有保有壓,對房地產(chǎn)市場應該采取關注而不是盯住的政策,順暢貨幣政策的利率傳導渠道,為公租房與廉租房建設要提供融資平臺,提高股票市場的“晴雨表”作用,增加城鎮(zhèn)居民資產(chǎn)性收入,帶動全社會消費。
[Abstract]:In this paper, the asset price transmission channel is decomposed into two transmission paths to verify the asymmetry of the asset price transmission channel, and the structural afterlooking model and the equilibrium model including urban consumption, income and asset price are constructed respectively. And the inflation expectation variable is included. On the basis of the quarterly data, this paper makes an empirical analysis of the asymmetry of monetary policy asset price conduction in China by using the SVAR model and the impulse response model under the Markov region system transformation. The time-varying characteristics of marginal propensity to consume of different assets are described by using state-space model. The empirical results show that: first, the monetary policy interest rate transmission mechanism has a much greater impact on the stock price than on the housing price, and the negative response to the interest rate transmission of the stock price is concentrated in the range of -0.03 and-0.0033. The negative response of house prices to interest rate conduction is concentrated between-0.00159 and-0.0002. The promotion of real estate market to the real economy is not obvious, and there is a bubble component in the real estate market itself. Third, Monetary policy has asymmetry in asset price transmission under different inflation zones. Fourth, real estate has a strong positive wealth effect in the short term, but a weakening trend in the long run. Stock assets have a short-term wealth effect, but long-term wealth effects disappear. Fifth, the wealth effect of different assets is asymmetric, and the wealth effect of real estate is far greater than that of stock assets. Therefore, this paper argues that monetary policy should have a pressure on asset prices. We should pay attention to the real estate market instead of a fixed policy, smooth the channel of interest rate transmission of monetary policy, provide a financing platform for the construction of public rental housing and low-rent housing, and enhance the "barometer" role of the stock market. We will increase the asset income of urban residents and promote social consumption.
【學位授予單位】：南京師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F293.3;F832.51;F822.0;F224

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