金融杠杆与资产泡沫动态引导关系研究

发布时间：2018-01-04 00:02

本文关键词：金融杠杆与资产泡沫动态引导关系研究　出处：《经济问题探索》2017年04期 　论文类型：期刊论文

【摘要】：资产泡沫就是资产价格偏离了资产基本面的情形,基于此定义尝试用协整和VEC模型分离和提取了我国股市泡沫和房地产泡沫。通过引入滚动宽窗Granger因果检验模型分析了金融杠杆与资产泡沫之间的动态引导关系。实证结果表明:金融杠杆与房地产泡沫之间存在双向引导关系,影响多为正效应且程度剧烈,而对股市泡沫仅存在单向引导关系且在股市大跌时表现为正效应;房地产和股票具有财富的替代效应和挤出效应,从影响程度来看,金融杠杆对股市泡沫引导关系比对房地产泡沫更剧烈和更敏感,但从影响频率来看却相反;金融杠杆与资产泡沫之间的这种引导关系与经济周期密切相关。
[Abstract]:Asset bubbles are situations in which asset prices deviate from asset fundamentals. Based on this definition, this paper attempts to separate and extract the stock market bubble and real estate bubble in China by cointegration and VEC model. By introducing the Granger causality test model of rolling wide window, the paper analyzes the relationship between financial leverage and asset bubble. The empirical results show that:. There is a two-way guiding relationship between financial leverage and real estate bubble. The influence is mostly positive and intense, but there is only one way guide relation to the stock market bubble, and it is positive when the stock market falls sharply. Real estate and stock have the substitution effect and crowding out effect of wealth. To the extent of influence, financial leverage is more intense and sensitive to stock market bubble than to real estate bubble, but the influence frequency is opposite; The guiding relationship between financial leverage and asset bubbles is closely related to the economic cycle.
【作者单位】：东南大学;兰州理工大学;
【基金】：国家自然科学基金“资产价格波动与实体经济:影响机制及其动态均衡研究”(71473036),负责人为刘晓星甘肃省社科规划项目“甘肃省现代交通运输体系构成研究”(14YB051),负责人为冯文芳甘肃省软科学项目“甘肃中小微企业融资模式创新研究”(1504ZKCA022-4),负责人为冯文芳
【分类号】：F832
【正文快照】： 一、引言资产泡沫是当今世界经济史上频繁出现的难题,荷兰“郁金香疯狂”、英国“南海股票泡沫”、美国“次贷危机”、日本和北欧的“经济泡沫”,不胜枚举。我国近几年出现的股票热、尤其是房地产热都是资产泡沫现象的表现。资产泡沫不但影响实体经济的效率和增长,而且大多数

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