资产价格波动对我国宏观经济的影响研究
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摘要
本文从以下几个角度研究和分析资产价格波动对我国宏观经济的影响。首先,对股票和房地产价格波动对我国消费影响的财富效应进行了实证分析和比较分析；其次,考察了资产价格波动对我国投资的影响以及与企业家信心的相关关系；再次,构建了我国金融状况指数以考察资产价格波动与通货膨胀的关系,考察资产价格波动中是否包含通货膨胀未来变化的动态信息,并就其货币政策含义进行了考察；最后,通过理论模型研究资产价格泡沫对宏观经济稳定的影响和对政策的挑战,在得到两点启示的基础上,结合我国资产价格膨胀特点,就我国货币政策如何应对资产价格膨胀和泡沫提出政策建议。
本文的研究主要采用数理建模、计量分析和统计分析等方法,补充和完善了关于资产价格波动对我国宏观经济影响问题的研究,也为我国货币政策应对提供了政策依据,得出如下主要结论：
(1)我国房地产价格波动通过消费和投资渠道对实体经济有着越来越重要的影响,而股票价格波动的影响还比较微弱。由于房地产行业逐渐成为我国的支柱产业、房屋资产在我国有较为广泛的持有率以及不断提高的流动性和收益率等原因,我国房地产价格波动无论是对与居民消费还是对于企业投资,都有着更为显著的正向影响；与之相反,由于股票市场较高的流通性、投机性以及频繁的波动性等原因,我国股票价格波动对居民消费和固定资产投资的影响在当前主要表现为挤出效应,即其财富效应和托宾Q效应还比较微弱。
(2)我国资产价格波动中包含着通货膨胀未来变化的动态信息,以资产价格为基础而构建的金融状况指数可以作为通货膨胀的先行信息指标,以增强货币政策操作的前瞻性,同时金融状况指数还可以用来分析货币政策立场调整的影响因素,作为货币政策的指示器变量以增强货币政策操作的准确性。当前我国对通货膨胀预期的管理,可以从资本市场入手,通过调控股票和房地产价格来对通货膨胀预期进行有效的管理,同时货币政策的执行应当重视资产价格传导渠道的影响。
(3)在反对干预资产价格泡沫的传统货币政策环境下,资产价格泡沫不仅会对宏观经济稳定构成极大的冲击,而且可能使货币政策陷入后泡沫的困境之中。银行信贷在资产价格泡沫的动态演化中是一个关键变量,因此货币政策应当关注并及时干预那些与银行信贷联系紧密的资产价格泡沫；同时在应对资产价格泡沫时,缺乏针对性的政策工具,不仅可能会对非泡沫部门产生不利影响,而且也是货币政策陷入困境之中的重要原因。
(4)我国股票市场和房地产市场在某些时期和阶段存在着泡沫成分。我国房地产市场与银行信贷之间存在着非常紧密的联系,而股票市场与银行信贷的联系还比较弱。因此对于房地产市场膨胀和可能的价格泡沫,我国货币政策应当保持警惕和及时的干预,以防止对宏观经济稳定造成严重的影响,而对于股票市场则可以保持关注。我国货币政策应对资产价格膨胀和可能的泡沫,应当探索更加有针对性的政策工具。
The dissertation researches and analysis the impact of asset prices on China macroeconomic from the perspcetive as following. Firstly, systematical empirical study and comparative analysis of wealth effect of stock price and house price in china. Secondly, analysis the impact of asset price fluctuations on investment as well as the correlation between entrepreneur confidence. Thirdly, by constructing Financial condition index to examine the relationship between asset prices and infaltion, and then analysis its implication for monetary policy. Lastly, through a theoretical model which show how asset price bubbles challenge on the macroecnomis and policy we gets some inspiration, combined with the characteristics of expansion in China's asset price, the dissertation makes policy recommendations on how should monetary policy respond to asset prices volatility.
The dissertation elaborates from empirical analysis and theorical analysis based on comparative analysis, statistical analysis, economitirc method and theory model. The main conclusions of this dissertation are as follows:
(1) The influence of China's house price fluctuations on the economy through the consumption and investment channels has become increasingly important, while the stock price volatility is still relatively weak. As the real estate industry has become a pillar industry, housing assets has been more widely held and the rising liquidity and profitability of housing assets, the house price fluctuations both have significant positive effecet on consumption and investment in China. In contrast, stock price have significant crowding-out effect because of higher liquidity, speculative and more frequent fluctuations in stock market.
(2) The fluctuations in asset prices of China contain the dynamic information of the future changes in inflation. By designing and calculating Financial Conditions index (FCI), find that FCI not only appears to correlated with inflation fairly closely and often catches its turning points in advance, but also can be used to analysis monetary policy "tighter" or "looser" than previous or benchmark period. So MCIs should be served both as a leading indicator for inflation and a coincident indicator for monetary policy stance. This means that when need to manage the expectations of inflation, monetary policy should start from the capital market and maintain the stability of asset prices. This also means that the effective implementation of monetary policy should pay more attention to the transmission channels of asset prices.
(3) Under the policy environment of which monetary policy against intervention the asset price bubbles, the asset price bubbles will not only pose great impact on macroeconomic stability, but also make monetary policy be trouble in post-bubble era. In the process of dynamic evolution of asset price bubbles, the bank credit is a key variable, and therefore monetary policy should concern and timely intervention the asset price bubbles which closely connected with bank credit. At the same time when response to asset price bubbles,the policy which lack of targeted not only may have negative impact on non-bubbles sectors,but also make monetary policy be trouble.
(4) There exist bubbles in China's capital market in certain periods. Because of the more closely links between the real estate market and bank credit in china, means that monetary policy should be more vigilant against the bubbles generation in real estate market. Response to price inflation and bubbles in stock market and real eatate market, monetary policy in China should not only adopt different attitude, but also should have different coping styles.
本文的研究主要采用数理建模、计量分析和统计分析等方法,补充和完善了关于资产价格波动对我国宏观经济影响问题的研究,也为我国货币政策应对提供了政策依据,得出如下主要结论：
(1)我国房地产价格波动通过消费和投资渠道对实体经济有着越来越重要的影响,而股票价格波动的影响还比较微弱。由于房地产行业逐渐成为我国的支柱产业、房屋资产在我国有较为广泛的持有率以及不断提高的流动性和收益率等原因,我国房地产价格波动无论是对与居民消费还是对于企业投资,都有着更为显著的正向影响；与之相反,由于股票市场较高的流通性、投机性以及频繁的波动性等原因,我国股票价格波动对居民消费和固定资产投资的影响在当前主要表现为挤出效应,即其财富效应和托宾Q效应还比较微弱。
(2)我国资产价格波动中包含着通货膨胀未来变化的动态信息,以资产价格为基础而构建的金融状况指数可以作为通货膨胀的先行信息指标,以增强货币政策操作的前瞻性,同时金融状况指数还可以用来分析货币政策立场调整的影响因素,作为货币政策的指示器变量以增强货币政策操作的准确性。当前我国对通货膨胀预期的管理,可以从资本市场入手,通过调控股票和房地产价格来对通货膨胀预期进行有效的管理,同时货币政策的执行应当重视资产价格传导渠道的影响。
(3)在反对干预资产价格泡沫的传统货币政策环境下,资产价格泡沫不仅会对宏观经济稳定构成极大的冲击,而且可能使货币政策陷入后泡沫的困境之中。银行信贷在资产价格泡沫的动态演化中是一个关键变量,因此货币政策应当关注并及时干预那些与银行信贷联系紧密的资产价格泡沫；同时在应对资产价格泡沫时,缺乏针对性的政策工具,不仅可能会对非泡沫部门产生不利影响,而且也是货币政策陷入困境之中的重要原因。
(4)我国股票市场和房地产市场在某些时期和阶段存在着泡沫成分。我国房地产市场与银行信贷之间存在着非常紧密的联系,而股票市场与银行信贷的联系还比较弱。因此对于房地产市场膨胀和可能的价格泡沫,我国货币政策应当保持警惕和及时的干预,以防止对宏观经济稳定造成严重的影响,而对于股票市场则可以保持关注。我国货币政策应对资产价格膨胀和可能的泡沫,应当探索更加有针对性的政策工具。
The dissertation researches and analysis the impact of asset prices on China macroeconomic from the perspcetive as following. Firstly, systematical empirical study and comparative analysis of wealth effect of stock price and house price in china. Secondly, analysis the impact of asset price fluctuations on investment as well as the correlation between entrepreneur confidence. Thirdly, by constructing Financial condition index to examine the relationship between asset prices and infaltion, and then analysis its implication for monetary policy. Lastly, through a theoretical model which show how asset price bubbles challenge on the macroecnomis and policy we gets some inspiration, combined with the characteristics of expansion in China's asset price, the dissertation makes policy recommendations on how should monetary policy respond to asset prices volatility.
The dissertation elaborates from empirical analysis and theorical analysis based on comparative analysis, statistical analysis, economitirc method and theory model. The main conclusions of this dissertation are as follows:
(1) The influence of China's house price fluctuations on the economy through the consumption and investment channels has become increasingly important, while the stock price volatility is still relatively weak. As the real estate industry has become a pillar industry, housing assets has been more widely held and the rising liquidity and profitability of housing assets, the house price fluctuations both have significant positive effecet on consumption and investment in China. In contrast, stock price have significant crowding-out effect because of higher liquidity, speculative and more frequent fluctuations in stock market.
(2) The fluctuations in asset prices of China contain the dynamic information of the future changes in inflation. By designing and calculating Financial Conditions index (FCI), find that FCI not only appears to correlated with inflation fairly closely and often catches its turning points in advance, but also can be used to analysis monetary policy "tighter" or "looser" than previous or benchmark period. So MCIs should be served both as a leading indicator for inflation and a coincident indicator for monetary policy stance. This means that when need to manage the expectations of inflation, monetary policy should start from the capital market and maintain the stability of asset prices. This also means that the effective implementation of monetary policy should pay more attention to the transmission channels of asset prices.
(3) Under the policy environment of which monetary policy against intervention the asset price bubbles, the asset price bubbles will not only pose great impact on macroeconomic stability, but also make monetary policy be trouble in post-bubble era. In the process of dynamic evolution of asset price bubbles, the bank credit is a key variable, and therefore monetary policy should concern and timely intervention the asset price bubbles which closely connected with bank credit. At the same time when response to asset price bubbles,the policy which lack of targeted not only may have negative impact on non-bubbles sectors,but also make monetary policy be trouble.
(4) There exist bubbles in China's capital market in certain periods. Because of the more closely links between the real estate market and bank credit in china, means that monetary policy should be more vigilant against the bubbles generation in real estate market. Response to price inflation and bubbles in stock market and real eatate market, monetary policy in China should not only adopt different attitude, but also should have different coping styles.
引文
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