异质性投资视角下短期国际资本流动与资产价格

发布时间：2018-02-25 23:15

本文关键词： 国际资本流动资产价格 TVTP-MS-VAR　出处：《国际金融研究》2017年02期 　论文类型：期刊论文

【摘要】：本文构建了基于投资者异质性的资产价格调整模型,通过对短期国际资本流动规模、股票市场收益率、房地产市场收益率和人民币汇率建立TVTP-MS-VAR模型,研究了短期资本流动与资产价格的关系。研究发现,短期国际资本在股票市场和外汇市场存在显著的区制差异,而在房地产市场仅具有基本面投资特征。以基本面投资为主的短期资本流入将抑制股票市场的上涨或下跌,发挥着金融"缓冲器"作用,而以技术投资为主的短期资本流入将加剧股票市场的上涨或下跌,发挥着金融"加速器"作用。无论短期国际资本是基本面投资资本还,是技术投资资本,股票价格对房地产价格均具有较强的财富效应;短期国际资本性质差异导致房地产价格对股票价格的影响具有区制差异。短期国际资本在基本面投资和技术投资之间的转换极其频繁,且基本面投资的持续时间长于技术投资。以技术投资为主的短期国际资本流动规模与资产价格对冲击的响应时间滞后于以基本面投资为主的短期国际资本流动规模与资产价格对冲击的响应时间。
[Abstract]:This paper constructs an asset price adjustment model based on investor heterogeneity, and establishes TVTP-MS-VAR model through short-term international capital flow scale, stock market rate of return, real estate market rate of return and RMB exchange rate. This paper studies the relationship between short-term capital flows and asset prices, and finds that there are significant regional differences between short-term international capital and foreign exchange markets. In the real estate market, it has only the characteristics of fundamental investment. The short-term capital inflow, which is dominated by fundamental investment, will restrain the rise or fall of the stock market and play a role as a financial "buffer". The short-term capital inflow, which is dominated by technology investment, will aggravate the rise or fall of the stock market and play the role of financial "accelerator." whether short-term international capital is fundamental investment capital or technology investment capital, The stock price has strong wealth effect on the real estate price; The difference in the nature of short-term international capital leads to regional differences in the impact of real estate prices on stock prices. The conversion of short-term international capital between fundamental and technological investments is extremely frequent. And the duration of fundamental investment is longer than that of technology investment. The scale of short-term international capital flows and the response time of asset prices to shocks lag behind those of the short-term international capital flow regulations, which are dominated by fundamental investment. The response time of model and asset price to shock.
【作者单位】：厦门大学经济学院;
【基金】：国家自然科学基金面上项目“动态优化视角下的中国外汇储备全面风险管理研究”(项目批准号:71473208) 教育部哲学社会科学重大课题攻关项目“中国外汇储备的科学管理及战略问题研究”(项目批准号:12JZD027) 中央高校基本科研业务费专项资助(项目批准号:20720161053)资助
【分类号】：F831.5

【相似文献】