资产价格对我国宏观经济的影响研究
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摘要
20世纪80年代以来,世界主要国家和地区的通货膨胀得到有效控制,与此形成鲜明对照的是,世界金融市场尤其是股票、房地产等资产市场接连发生了膨胀与紧缩的巨大波动。从我国来看,一方面,自股市诞生之日起,十几年间股票价格的暴涨暴跌早已屡见不鲜,另一方面,房地产价格也呈现急剧波动的现象。
显然,资产价格的大幅波动对一国宏观经济和金融的稳定带来了巨大的影响。但是,资产价格如何影响宏观经济及消费、投资等行为,其作用机制并没有全部为我们所知晓,尤其是住房和股票两种较普遍持有的资产对实际经济的作用渠道及影响的大小问题,现有研究并没有一致的、公认的结论,这对于解决货币政策是否应对资产价格做出反应的争论至关重要。
通过本文的研究,在理论上系统认识资产价格波动对实际经济的影响渠道及作用的大小,全面深化关于资产价格波动影响我国消费、投资、产出、通货膨胀水平以及中央银行货币政策反应的认识,重点澄清股价和房价影响我国经济的效应大小问题,进一步理解资产价格波动对我国家庭、企业和中央银行决策行为的影响,实践上对于我国中央银行的货币政策选择和制定、证券和房地产管理部门对资产市场的监管、家庭和企业等消费者或投资者的决策等起到一定的参考和借鉴作用。
本文首先在对资产价格影响消费和投资的各种渠道、财富效应和托宾q效应、信息不对称条件下资产净值与投资的关系进行理论分析的基础上,采用OLS回归和单位根检验、Granger因果检验、协整检验与VAR模型实证分析了资产价格对我国消费和投资的影响;其次,采用VAR模型对资产价格影响我国通货膨胀进行了详细的实证研究;然后,在扩展IS-LM模型和扩展IS-PC方程的基础上实证分析了资产价格对我国消费、投资和产出缺口等的作用;最后,在一般均衡分析的思想下、基于资产价格与其余宏观经济变量相互作用的约束条件,通过结构向量自回归模型(SVAR)比较分析了资产价格对我国产出、消费、投资和货币政策的影响,并在泰勒规则的基础上进一步研究了我国货币政策对股价的反应是否中性的问题。
本文的创新之处在于弥补和完善了关于资产价格影响我国宏观经济及货币政策反应问题的研究,具体包括三点:第一,深入地对股票价格和房产价格影响我国宏观经济的效应进行了实证研究和比较分析,弥补了国内该领域研究的不足;第二,采用结构向量自回归模型(SVAR)研究了近年我国货币政策对资产价格冲击的反应,完善了货币政策对我国房价的反应问题研究;第三,在应用IS-PC曲线、SVAR模型和泰勒规则对资产价格的实证研究中,基于我国经济体制的实际构建了扩展IS-PC方程、结构冲击向量及扩展的泰勒规则方程,从而使模型更符合现实、实证结论更为可信。
Since 1980’s, inflation in major countries and regions in the world was effectively under control, what is contrast is that a dramatical fluctuation between inflation and deflation occurs among world financial market specifically at the stock and real estate markets. From the perspective of China, it is not uncommon to see stock prices at times increasing and others decreasing drastically during the decade since the establishment of the stock market. Meanwhile real estate price fluctuates from one end to the other.
It is obvious that a sizable fluctuation of asset prices would impose a great influence on the national economy and financial stability. However, the mechanism under which the asset prices affect economy, consumption and investment, etc. is yet to be fully realized. For example, in terms of the two relatively common assets, house and stock, current studies on their impacting channel and impacting extent to real economy are not concluded unanimously. The conclusion of this issue is the key to resolve the debate on whether monetary policies should respond to asset prices.
Through the research and analysis of the dissertation, we can obtain a systematical understanding of asset prices impacting channel and their impacting extent to real economy theoretically, and get an overall view that asset price fluctuation will affect consumption, investment, output, inflation and monetary policy response in our country. Especially we can clarify the impacting extent of stock price and house price on China’s economy. The paper will help us further understand the impact of asset prices on Chinese families, enterprises and central bank decision making from the theoretical point of view. In practice, it may provide some references for monetary policy making and choosing, for supervision of the securities and real estate and it also would be helpful to consumers and investors for their decision making.
Firstly, by theoretical analysis of impacting channel of asset prices on consumption and investment, analysis of wealth effect, Tobin’s q effect and relationship between net worth of asset and investment under asymmetric information, the dissertation applies OLS estimation, Unit Root Test, Granger Causality Test, cointegration Test and VAR model in the empirical analysis of the impact of asset prices on China’s consumption and investment. Secondly, it makes a detailed empirical analysis of the impact of asset prices on Chinese inflation through VAR model. Thirdly, on the basis of augmented IS-LM model and augmented IS-PC model, the paper does the empirical research on the impact of asset prices on Chinese consumption, investment and output gap, etc. Lastly, in the idea of general equilibrium analysis and restriction of the reciprocity between asset prices and macroeconomic variables, it makes comparative research on the impact of asset prices on China’s output, consumption, investment and monetary policy through SVAR model. Moreover, based on the Taylor Rule, it does research on the issue of whether the response of Chinese monetary policy to stock price is neutral.
The possible innovation of the dissertation lies in three aspects: first, a systematical empirical study and comparative analysis of the impact of stock price and house price on China’s economy remedies the insufficiency of the present research in this field in China; second, the application of SVAR model to analyze the response of Chinese monetary policy to asset price shock complements the research of China’s monetary policy response to house price; third, the construction based on China’s economic system, of augmented IS-PC equation, structural shock vector and augmented Taylor Rule equation makes the models more practical and the results more believable.
显然,资产价格的大幅波动对一国宏观经济和金融的稳定带来了巨大的影响。但是,资产价格如何影响宏观经济及消费、投资等行为,其作用机制并没有全部为我们所知晓,尤其是住房和股票两种较普遍持有的资产对实际经济的作用渠道及影响的大小问题,现有研究并没有一致的、公认的结论,这对于解决货币政策是否应对资产价格做出反应的争论至关重要。
通过本文的研究,在理论上系统认识资产价格波动对实际经济的影响渠道及作用的大小,全面深化关于资产价格波动影响我国消费、投资、产出、通货膨胀水平以及中央银行货币政策反应的认识,重点澄清股价和房价影响我国经济的效应大小问题,进一步理解资产价格波动对我国家庭、企业和中央银行决策行为的影响,实践上对于我国中央银行的货币政策选择和制定、证券和房地产管理部门对资产市场的监管、家庭和企业等消费者或投资者的决策等起到一定的参考和借鉴作用。
本文首先在对资产价格影响消费和投资的各种渠道、财富效应和托宾q效应、信息不对称条件下资产净值与投资的关系进行理论分析的基础上,采用OLS回归和单位根检验、Granger因果检验、协整检验与VAR模型实证分析了资产价格对我国消费和投资的影响;其次,采用VAR模型对资产价格影响我国通货膨胀进行了详细的实证研究;然后,在扩展IS-LM模型和扩展IS-PC方程的基础上实证分析了资产价格对我国消费、投资和产出缺口等的作用;最后,在一般均衡分析的思想下、基于资产价格与其余宏观经济变量相互作用的约束条件,通过结构向量自回归模型(SVAR)比较分析了资产价格对我国产出、消费、投资和货币政策的影响,并在泰勒规则的基础上进一步研究了我国货币政策对股价的反应是否中性的问题。
本文的创新之处在于弥补和完善了关于资产价格影响我国宏观经济及货币政策反应问题的研究,具体包括三点:第一,深入地对股票价格和房产价格影响我国宏观经济的效应进行了实证研究和比较分析,弥补了国内该领域研究的不足;第二,采用结构向量自回归模型(SVAR)研究了近年我国货币政策对资产价格冲击的反应,完善了货币政策对我国房价的反应问题研究;第三,在应用IS-PC曲线、SVAR模型和泰勒规则对资产价格的实证研究中,基于我国经济体制的实际构建了扩展IS-PC方程、结构冲击向量及扩展的泰勒规则方程,从而使模型更符合现实、实证结论更为可信。
Since 1980’s, inflation in major countries and regions in the world was effectively under control, what is contrast is that a dramatical fluctuation between inflation and deflation occurs among world financial market specifically at the stock and real estate markets. From the perspective of China, it is not uncommon to see stock prices at times increasing and others decreasing drastically during the decade since the establishment of the stock market. Meanwhile real estate price fluctuates from one end to the other.
It is obvious that a sizable fluctuation of asset prices would impose a great influence on the national economy and financial stability. However, the mechanism under which the asset prices affect economy, consumption and investment, etc. is yet to be fully realized. For example, in terms of the two relatively common assets, house and stock, current studies on their impacting channel and impacting extent to real economy are not concluded unanimously. The conclusion of this issue is the key to resolve the debate on whether monetary policies should respond to asset prices.
Through the research and analysis of the dissertation, we can obtain a systematical understanding of asset prices impacting channel and their impacting extent to real economy theoretically, and get an overall view that asset price fluctuation will affect consumption, investment, output, inflation and monetary policy response in our country. Especially we can clarify the impacting extent of stock price and house price on China’s economy. The paper will help us further understand the impact of asset prices on Chinese families, enterprises and central bank decision making from the theoretical point of view. In practice, it may provide some references for monetary policy making and choosing, for supervision of the securities and real estate and it also would be helpful to consumers and investors for their decision making.
Firstly, by theoretical analysis of impacting channel of asset prices on consumption and investment, analysis of wealth effect, Tobin’s q effect and relationship between net worth of asset and investment under asymmetric information, the dissertation applies OLS estimation, Unit Root Test, Granger Causality Test, cointegration Test and VAR model in the empirical analysis of the impact of asset prices on China’s consumption and investment. Secondly, it makes a detailed empirical analysis of the impact of asset prices on Chinese inflation through VAR model. Thirdly, on the basis of augmented IS-LM model and augmented IS-PC model, the paper does the empirical research on the impact of asset prices on Chinese consumption, investment and output gap, etc. Lastly, in the idea of general equilibrium analysis and restriction of the reciprocity between asset prices and macroeconomic variables, it makes comparative research on the impact of asset prices on China’s output, consumption, investment and monetary policy through SVAR model. Moreover, based on the Taylor Rule, it does research on the issue of whether the response of Chinese monetary policy to stock price is neutral.
The possible innovation of the dissertation lies in three aspects: first, a systematical empirical study and comparative analysis of the impact of stock price and house price on China’s economy remedies the insufficiency of the present research in this field in China; second, the application of SVAR model to analyze the response of Chinese monetary policy to asset price shock complements the research of China’s monetary policy response to house price; third, the construction based on China’s economic system, of augmented IS-PC equation, structural shock vector and augmented Taylor Rule equation makes the models more practical and the results more believable.
引文
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