资产价格波动、财富效应稳定性与货币政策调控分析

发布时间：2018-12-16 08:55

【摘要】：本文通过一个财富效应的比较分析模型,采取状态空间模型和VAR模型检验中国城镇居民资产财富效应的稳定性。检验得到三点结论。一是从强弱性来看,各资产的财富效应微弱。二是从稳定性来看,住房资产的财富效应相对稳定,证券类金融资产的财富效应最不稳定。三是由于财富效应的微弱性特征,其非对称性特征不明显。造成上述情况的主要原因是,这些资产价值变化的暂时性特征过于突出,而持久性特征不明显,在弱化财富效应的同时引起财富效应不稳定。为维护财富效应的稳定性,货币政策应该适度干预资产价格的波动,并侧重于对房地产价格的调控,加强资产市场的预期管理,加强资本流动管理,降低国际市场波动对国内财富效应的负面影响。
[Abstract]:Based on a comparative analysis model of wealth effect, the state space model and VAR model are used to test the stability of asset wealth effect of urban residents in China. The test draws three conclusions. First, from the point of view of strength and weakness, the wealth effect of each asset is weak. Second, the wealth effect of housing assets is relatively stable, and the wealth effect of securities financial assets is the most unstable. Third, because of the weak property of wealth effect, its asymmetric characteristic is not obvious. The main reason for this is that the temporary characteristics of the changes in the value of these assets are too prominent, while the persistent characteristics are not obvious, which weakens the wealth effect and leads to the instability of the wealth effect at the same time. In order to maintain the stability of wealth effect, monetary policy should intervene in the fluctuation of asset price moderately, and focus on the regulation of real estate price, strengthen the expected management of asset market, and strengthen the management of capital flow. Reduce the negative impact of international market volatility on the domestic wealth effect.
【作者单位】：广东商学院金融学院及国民经济研究中心;
【基金】：作者主持的国家自然科学基金面上项目“基于消费视角的居民资产财富效应测度与调控政策研究”(71073030) 广东省高等学校高层次人才项目“基于消费视角的广东省居民资产财富效应研究”(编号:Z9991304)的部分研究成果
【分类号】：F832.51;F293.3;F124.7;F822.0;F224

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