本文選題：資產(chǎn)價(jià)格變動(dòng) + 通貨膨脹��； 參考：《山東大學(xué)》2013年碩士論文

【摘要】：在過(guò)去20年里,伴隨著我國(guó)資本市場(chǎng)快速發(fā)展,我國(guó)資產(chǎn)價(jià)格持續(xù)攀高,帶來(lái)了資本總量急劇擴(kuò)大,資本在人們生活所占據(jù)越來(lái)越重要的地位。股票與房地產(chǎn)作為我國(guó)資本市場(chǎng)主要的資產(chǎn)品種,取得了飛速發(fā)展,價(jià)格呈現(xiàn)階梯上漲趨勢(shì)。與此同時(shí),我國(guó)的各項(xiàng)物價(jià)水平也持續(xù)上漲,通貨膨脹現(xiàn)象不斷發(fā)生。因此,對(duì)資產(chǎn)價(jià)格和通貨膨脹的相互關(guān)系進(jìn)行多角度的深入研究,這對(duì)于實(shí)現(xiàn)中國(guó)經(jīng)濟(jì)的長(zhǎng)期穩(wěn)定較快發(fā)展,制定科學(xué)有效的經(jīng)濟(jì)政策,具有重要現(xiàn)實(shí)意義和理論價(jià)值。 本文在國(guó)內(nèi)外關(guān)于資產(chǎn)價(jià)格與通貨膨脹關(guān)系的相關(guān)文獻(xiàn)基礎(chǔ)上,通過(guò)對(duì)股票價(jià)格與房地產(chǎn)價(jià)格的研究,將理論分析與實(shí)證檢驗(yàn)相結(jié)合,系統(tǒng)地分析了我國(guó)資產(chǎn)價(jià)格與通貨膨脹的之間的內(nèi)在邏輯關(guān)系。首先,本文在分析了近三十年的相關(guān)國(guó)內(nèi)外文獻(xiàn)研究,梳理和總結(jié)了國(guó)內(nèi)外學(xué)者關(guān)于資產(chǎn)價(jià)格變動(dòng)與通貨膨脹的研究成果。然后,從理論基礎(chǔ)入手,研究資產(chǎn)價(jià)格變動(dòng)與通貨膨脹之間的相互作用關(guān)系,分析了資產(chǎn)價(jià)格變動(dòng)影響通貨膨脹的制約因素。資產(chǎn)價(jià)格通過(guò)影響投資、消費(fèi)和貨幣供給等渠道影響宏觀經(jīng)濟(jì),導(dǎo)致最終影響通貨膨脹。反過(guò)來(lái),通貨膨脹會(huì)影響股票價(jià)格和房地產(chǎn)價(jià)格。接下來(lái),本文分析了我國(guó)資產(chǎn)價(jià)格與通貨膨脹的發(fā)展現(xiàn)狀,進(jìn)行了我國(guó)股票價(jià)格、房地產(chǎn)價(jià)格以及通貨膨脹的現(xiàn)狀分析。接著,本文選用居民消費(fèi)價(jià)格指數(shù)作為通貨膨脹指數(shù)、房地產(chǎn)價(jià)格指數(shù)、股票價(jià)格指數(shù)作為資產(chǎn)價(jià)格指數(shù)進(jìn)行實(shí)證分析,在不改變這三個(gè)指數(shù)的序列性前提下,將這三個(gè)指數(shù)取對(duì)數(shù),并建立了向量自回歸模型,進(jìn)行了ADF單位根檢驗(yàn),根據(jù)協(xié)整檢驗(yàn)得出三者之間的關(guān)系、進(jìn)行了格蘭杰因果檢驗(yàn),從而實(shí)證得出了三者之間的關(guān)系和相互作用。向量自回歸模型得出：股票價(jià)格指數(shù)與房地產(chǎn)銷售價(jià)格指數(shù)對(duì)通貨膨脹有作用,并且房地產(chǎn)銷售價(jià)格指數(shù)的效果比股票價(jià)格指數(shù)要明顯。協(xié)整檢驗(yàn)得出：房?jī)r(jià)指數(shù)與CPI之間存在長(zhǎng)期穩(wěn)定的協(xié)整關(guān)系,但是沒(méi)有因果關(guān)系。格蘭杰因果檢驗(yàn)得出：房地產(chǎn)市場(chǎng)與物價(jià)水平的關(guān)系更為密切,這也從側(cè)面說(shuō)明了房地產(chǎn)對(duì)居民的生活影響更大。最后,本文根據(jù)實(shí)證研究的結(jié)論提出了相關(guān)政策建議：貨幣政策應(yīng)當(dāng)考慮對(duì)資產(chǎn)價(jià)格的影響；完善我國(guó)資本市場(chǎng),增加金融產(chǎn)品供給,使社會(huì)上的閑置資金能夠有合適的投資渠道,不要將資金過(guò)度投放在股票市場(chǎng)和房地產(chǎn)市場(chǎng)中：完善我國(guó)房地產(chǎn)市場(chǎng),建立有效的房地產(chǎn)定價(jià)機(jī)制。
[Abstract]:In the past 20 years, with the rapid development of China's capital market, asset prices in China have continued to climb, which has brought about a sharp expansion of the total amount of capital, and capital occupies a more and more important position in people's lives. Stock and real estate, as the main asset in capital market of our country, have made rapid development, and the price is rising step by step. At the same time, the price level of our country also continues to rise, inflation has occurred. Therefore, it is of great practical significance and theoretical value to study the relationship between asset price and inflation from many angles, which is of great practical significance and theoretical value to realize the long-term stable and rapid development of Chinese economy and to formulate scientific and effective economic policies. Based on the domestic and foreign literature on the relationship between asset price and inflation, this paper combines theoretical analysis with empirical test through the research of stock price and real estate price. This paper systematically analyzes the logical relationship between asset price and inflation in China. First of all, this paper analyzes the domestic and foreign literature in the past 30 years, combing and summarizing the domestic and foreign scholars on asset price changes and inflation research results. Then, based on the theoretical basis, the paper studies the interaction between asset price change and inflation, and analyzes the restrictive factors of asset price change affecting inflation. Asset prices affect the macro economy through the channels of investment, consumption and money supply, leading to the final impact on inflation. In turn, inflation affects stock prices and real estate prices. Then, this paper analyzes the current situation of asset price and inflation in China, and analyzes the current situation of stock price, real estate price and inflation in China. Then, this paper chooses consumer price index as inflation index, real estate price index and stock price index as asset price index to make empirical analysis, without changing the sequence of these three indexes. Taking the logarithm of the three indices and establishing the vector autoregressive model, the ADF unit root test is carried out. According to the cointegration test, the Granger causality test is carried out. Thus, the relationship and interaction among the three are obtained empirically. Vector autoregressive model shows that stock price index and real estate sales price index have effect on inflation, and the effect of real estate sale price index is more obvious than stock price index. Cointegration test shows that there is a long-term stable cointegration relationship between house price index and CPI, but there is no causality. Granger causality test shows that the real estate market is more closely related to the price level, which also shows that real estate has a greater impact on residents' lives. Finally, according to the conclusions of the empirical study, this paper puts forward some relevant policy recommendations: monetary policy should consider the impact on asset prices, improve China's capital market, increase the supply of financial products, So that the idle funds in the society can have appropriate investment channels, not to put the funds in the stock market and the real estate market: improve the real estate market in China, establish an effective real estate pricing mechanism.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5;F822.5

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