货币循环流动与金融资产价格的波动

发布时间：2018-01-05 02:03

本文关键词：货币循环流动与金融资产价格的波动　出处：《天津财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着各国经济金融自由化的加深,市场运行中每次发生的金融经济危机均伴随着资产价格的异常波动以及价格泡沫因素的影响,特别是在信用经济的情况下,资产价格通常是与资产抵押的信用结合在一起,这就使得资产价格的泡沫与信用以及整个金融体系连在一起。可以说,在金融市场上,交易活动中的金融资产价格的泡沫问题是金融乃至实体经济在内的整个宏观经济稳定运行的主要影响因素。当前我国金融市场处于稳步发展阶段,各种监管制度还不够完善,随着各种金融业务的不断拓展以及金融产品的不断创新,更应该谨慎对待金融资产价格的波动问题,令相关的监管部门加强对它的金融监管,同时对市场交易和市场价格也加大干预力度,从而降低价格泡沫的危机风险,去除对历次金融危机与现代经济安全的一大威胁。在此,论文基于货币循环流动的视角,探讨金融资产价格波动的产生机理,进行理论推导分析发现金融窖藏(包含净储蓄和货币创造两部分)和由国外流入的热钱都是引起金融资产价格波动的至关重要的因素。在此理论分析结果的基础上,通过实施基本回归分析发现金融资产价格具有很高的自相关性,经过了协整检验以及脉冲响应分析和方差分解之后,进一步运用嵌套广义自回归条件异方差(GARCH)模型的状态空间(State-space)模型进行实证分析预测,结果表明：金融资产价格的波动与金融窖藏、热钱之间具有长期的均衡稳定关系,而且热钱倾向于流入股票市场,股市对热钱的变动具有较强的敏感度,相比之下金融窖藏更愿意进入房地产市场,对房市产生持续稳定的正效应。鉴于此,对引导货币资金的流动,有效地调控金融资产价格,降低风险防范金融危机的发生提出相应的政策建议。
[Abstract]:With the deepening of economic and financial liberalization in various countries, every financial and economic crisis in the operation of the market is accompanied by abnormal fluctuations in asset prices and the influence of price bubble factors, especially in the case of credit economy. Asset prices are usually combined with the credit of asset mortgages, which connects asset price bubbles to credit and the financial system as a whole, so to speak, in financial markets. The bubble of financial asset price is the main factor that affects the stable operation of the whole macro economy, including finance and real economy. At present, the financial market of our country is in a steady stage of development. With the development of various financial business and the innovation of financial products, we should treat the fluctuation of financial assets price with caution. Make the relevant regulators to strengthen its financial supervision, at the same time to market transactions and market prices increased intervention, thereby reducing the risk of a price bubble crisis. Remove a major threat to financial crises and modern economic security. In this paper, based on the perspective of the circulation of money, the paper discusses the mechanism of financial asset price volatility. Theoretical derivation analysis found that the financial hoard (including net savings and money creation two parts). And hot money inflows from abroad are the most important factors that cause the fluctuation of financial asset price. Based on the theoretical analysis results. Through the implementation of basic regression analysis found that financial asset prices have a high autocorrelation, after cointegration test, impulse response analysis and variance decomposition. Furthermore, the state-space State-space model of nested generalized autoregressive conditional heteroscedasticity (GARCH) model is used for empirical analysis and prediction. The results show that the volatility of financial asset prices and financial hoard, hot money has a long-term equilibrium and stability, and hot money tends to flow into the stock market, the stock market has a strong sensitivity to the change of hot money. By contrast, the financial cellar is more willing to enter the real estate market, which has a sustained and stable positive effect on the housing market. In view of this, it can guide the flow of monetary funds and effectively regulate the prices of financial assets. Reduce the risk to prevent the occurrence of financial crisis, put forward the corresponding policy recommendations.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F831.7

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