本文關(guān)鍵詞： 利率政策 資產(chǎn)價(jià)格 利率 宏觀因子 TVP-VAR模型　出處：《學(xué)習(xí)與探索》2017年02期 　論文類型：期刊論文

【摘要】：隨著中國(guó)對(duì)外開放程度的不斷加深,資本市場(chǎng)的發(fā)展也明顯加速,因此有必要對(duì)資本市場(chǎng)采取適當(dāng)?shù)暮暧^調(diào)控手段。通過從57組宏觀經(jīng)濟(jì)序列中提取出宏觀因子,隨后采用TVP-VAR模型探究利率和宏觀因子對(duì)資產(chǎn)價(jià)格的時(shí)變影響機(jī)制,結(jié)果表明:資產(chǎn)價(jià)格與名義利率之間具有穩(wěn)定的負(fù)相關(guān)關(guān)系,并且這種負(fù)向依存機(jī)制會(huì)隨著資本市場(chǎng)有效性的提升而增強(qiáng),說明適當(dāng)?shù)睦收呤鑼?dǎo)能夠?qū)Y產(chǎn)價(jià)格起到良好的修正作用。然而,宏觀因子對(duì)資產(chǎn)價(jià)格的影響卻存在明顯的非對(duì)稱性特征,其中,當(dāng)資產(chǎn)價(jià)格處于繁榮期時(shí),市場(chǎng)更易于放大其對(duì)資產(chǎn)價(jià)格的牽拉作用;而當(dāng)資產(chǎn)價(jià)格處于回落階段時(shí),宏觀因子的作用將大幅削弱。因此,在當(dāng)前系統(tǒng)性金融風(fēng)險(xiǎn)與經(jīng)濟(jì)緊縮風(fēng)險(xiǎn)并存的復(fù)雜局面下,經(jīng)濟(jì)景氣變動(dòng)對(duì)資產(chǎn)價(jià)格的影響相對(duì)有限,而采取適當(dāng)?shù)睦收呤鑼?dǎo)不失為經(jīng)濟(jì)"新常態(tài)"時(shí)期貨幣當(dāng)局的又一有益選擇。
[Abstract]:With the deepening of China's opening to the outside world, the development of the capital market also accelerates obviously. Therefore, it is necessary to take appropriate macro-control measures to the capital market. Then TVP-VAR model is used to explore the time-varying influence mechanism of interest rate and macro factor on asset price. The results show that there is a stable negative correlation between asset price and nominal interest rate. Moreover, the negative dependency mechanism will increase with the improvement of the efficiency of capital market, which indicates that appropriate interest rate policy can improve the asset price. However, However, the influence of macro factors on asset prices has obvious asymmetrical characteristics. When asset prices are in a boom period, the market is more likely to amplify its pull on asset prices, while when asset prices are in a falling phase, The role of macro factors will be greatly weakened. Therefore, in the current complex situation where systemic financial risk and economic contraction risk coexist, the impact of economic boom changes on asset prices is relatively limited. Adopting appropriate interest rate policy is another beneficial choice for monetary authorities in the new normal period.
【作者單位】： 吉林大學(xué)商學(xué)院;
【基金】：國(guó)家社會(huì)科學(xué)基金重點(diǎn)項(xiàng)目“中國(guó)經(jīng)濟(jì)發(fā)展新常態(tài)的形成機(jī)理、趨勢(shì)性特征及經(jīng)濟(jì)政策取向研究”(15AZD&001)
【分類號(hào)】：F822.0
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本文編號(hào)：1507199