资产价格轮动的六大特征事实——国际比较的视角

发布时间：2018-10-09 11:10

【摘要】：本文对国际上主要发达国家、新兴市场国家的股价、房价关系进行了详细梳理,并将CPI纳入本文的分析框架,本文通过HP滤波进行趋势分解,并使用相关性分析交叉验证结论,从而发现并总结了关于资产价格轮动的特征事实。主要结论包括,第一,在一般情形下,同期股价与房价之间负相关,存在一定的"替代性";历史房价与当前股价、历史股价与当前房价之间存在正相关关系,存在交错上涨。并且,相较房价向股价的传导,股价向房价的传导更为迅速。第二,在一般情形下,一般商品价格的上升滞后于两类资产价格,两类资产对CPI存在"财富效应"和"金融加速器"效应;第三,在金融危机情形下,股价、房价、CPI三个指标均大幅下挫;在危机恢复期间,又同时向上攀升;并且发达国家彼此之间的协同性在危机情况下也较为显著,上升与下跌的时点高度同步。第四,发达国家彼此之间特征较为相近,而新兴市场国家之间则存在一定分化。
[Abstract]:This paper makes a detailed analysis of the relationship between stock price and house price in the major developed countries and emerging market countries, and brings CPI into the analysis framework of this paper. The trend decomposition is carried out by HP filter, and the correlation analysis is used to cross-verify the conclusion. Thus found and summarized the characteristic facts about asset price rotation. The main conclusions are as follows: first, in general, there is a negative correlation between stock price and house price in the same period, there is a certain "substitution" between historical house price and current stock price, there is a positive correlation between historical stock price and current house price, and there is staggered rise between historical stock price and current house price. Moreover, compared with the transmission of house price to stock price, the transmission of stock price to house price is more rapid. Second, in general, the rise in general commodity prices lags behind the two asset prices, which have a "wealth effect" and a "financial accelerator" effect on CPI. House prices fell sharply on all three measures; rose at the same time during the crisis recovery; and the synergy between developed countries was also significant in crisis situations, where the rise and fall were highly synchronized. Fourth, the characteristics of developed countries are similar, while emerging market countries are divided.
【作者单位】：中国社会科学院世界经济与政治研究所;中国社会科学院研究生院;
【分类号】：F831

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