资产价格变动与通货膨胀关系研究

发布时间：2018-05-05 20:07

本文选题：资产价格变动 + 通货膨胀　；参考：《山东大学》2013年硕士论文

【摘要】：在过去20年里,伴随着我国资本市场快速发展,我国资产价格持续攀高,带来了资本总量急剧扩大,资本在人们生活所占据越来越重要的地位。股票与房地产作为我国资本市场主要的资产品种,取得了飞速发展,价格呈现阶梯上涨趋势。与此同时,我国的各项物价水平也持续上涨,通货膨胀现象不断发生。因此,对资产价格和通货膨胀的相互关系进行多角度的深入研究,这对于实现中国经济的长期稳定较快发展,制定科学有效的经济政策,具有重要现实意义和理论价值。本文在国内外关于资产价格与通货膨胀关系的相关文献基础上,通过对股票价格与房地产价格的研究,将理论分析与实证检验相结合,系统地分析了我国资产价格与通货膨胀的之间的内在逻辑关系。首先,本文在分析了近三十年的相关国内外文献研究,梳理和总结了国内外学者关于资产价格变动与通货膨胀的研究成果。然后,从理论基础入手,研究资产价格变动与通货膨胀之间的相互作用关系,分析了资产价格变动影响通货膨胀的制约因素。资产价格通过影响投资、消费和货币供给等渠道影响宏观经济,导致最终影响通货膨胀。反过来,通货膨胀会影响股票价格和房地产价格。接下来,本文分析了我国资产价格与通货膨胀的发展现状,进行了我国股票价格、房地产价格以及通货膨胀的现状分析。接着,本文选用居民消费价格指数作为通货膨胀指数、房地产价格指数、股票价格指数作为资产价格指数进行实证分析,在不改变这三个指数的序列性前提下,将这三个指数取对数,并建立了向量自回归模型,进行了ADF单位根检验,根据协整检验得出三者之间的关系、进行了格兰杰因果检验,从而实证得出了三者之间的关系和相互作用。向量自回归模型得出：股票价格指数与房地产销售价格指数对通货膨胀有作用,并且房地产销售价格指数的效果比股票价格指数要明显。协整检验得出：房价指数与CPI之间存在长期稳定的协整关系,但是没有因果关系。格兰杰因果检验得出：房地产市场与物价水平的关系更为密切,这也从侧面说明了房地产对居民的生活影响更大。最后,本文根据实证研究的结论提出了相关政策建议：货币政策应当考虑对资产价格的影响；完善我国资本市场,增加金融产品供给,使社会上的闲置资金能够有合适的投资渠道,不要将资金过度投放在股票市场和房地产市场中：完善我国房地产市场,建立有效的房地产定价机制。
[Abstract]:In the past 20 years, with the rapid development of China's capital market, asset prices in China have continued to climb, which has brought about a sharp expansion of the total amount of capital, and capital occupies a more and more important position in people's lives. Stock and real estate, as the main asset in capital market of our country, have made rapid development, and the price is rising step by step. At the same time, the price level of our country also continues to rise, inflation has occurred. Therefore, it is of great practical significance and theoretical value to study the relationship between asset price and inflation from many angles, which is of great practical significance and theoretical value to realize the long-term stable and rapid development of Chinese economy and to formulate scientific and effective economic policies. Based on the domestic and foreign literature on the relationship between asset price and inflation, this paper combines theoretical analysis with empirical test through the research of stock price and real estate price. This paper systematically analyzes the logical relationship between asset price and inflation in China. First of all, this paper analyzes the domestic and foreign literature in the past 30 years, combing and summarizing the domestic and foreign scholars on asset price changes and inflation research results. Then, based on the theoretical basis, the paper studies the interaction between asset price change and inflation, and analyzes the restrictive factors of asset price change affecting inflation. Asset prices affect the macro economy through the channels of investment, consumption and money supply, leading to the final impact on inflation. In turn, inflation affects stock prices and real estate prices. Then, this paper analyzes the current situation of asset price and inflation in China, and analyzes the current situation of stock price, real estate price and inflation in China. Then, this paper chooses consumer price index as inflation index, real estate price index and stock price index as asset price index to make empirical analysis, without changing the sequence of these three indexes. Taking the logarithm of the three indices and establishing the vector autoregressive model, the ADF unit root test is carried out. According to the cointegration test, the Granger causality test is carried out. Thus, the relationship and interaction among the three are obtained empirically. Vector autoregressive model shows that stock price index and real estate sales price index have effect on inflation, and the effect of real estate sale price index is more obvious than stock price index. Cointegration test shows that there is a long-term stable cointegration relationship between house price index and CPI, but there is no causality. Granger causality test shows that the real estate market is more closely related to the price level, which also shows that real estate has a greater impact on residents' lives. Finally, according to the conclusions of the empirical study, this paper puts forward some relevant policy recommendations: monetary policy should consider the impact on asset prices, improve China's capital market, increase the supply of financial products, So that the idle funds in the society can have appropriate investment channels, not to put the funds in the stock market and the real estate market: improve the real estate market in China, establish an effective real estate pricing mechanism.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F822.5

【参考文献】