资产价格波动与实体经济：影响机制及其动态均衡研究

论文总字数：30923字

摘 要

资产价格波动引发实体经济异常变动是近年来宏观经济波动的主要特征之一，通过影响消费者行为、投资者决策、企业生产决策及银行体系运作等方式对实体经济产生影响：资产价格波动引发的“财富效应”导致居民消费选择和资产选择的再调整；产生“投资效应”，改变企业的投资决策；带来的投资收益变化引发商业银行贷款在实体经济与资本市场上的动态调整。本文从微观主体的行为特征出发，建立一般均衡模型，提出两信用循环结构性模型，并利用中国的样本数据构建VAR模型进行检验。研究结果表明资产价格能够通过“财富效应”和“投资效应”影响货币资金在两信用循环中的动态分配，进而对实体经济产生影响。投资者、企业在进行行为决策时需将宏观环境变化纳入决策框架内，以实现自身利益最大化。监管者应将资产价格波动纳入监控体系，对其进行有效识别，及时采取措施防范异常波动的影响向实体经济传递。

关键词：资产价格波动，实体经济，VAR模型，两信用循环模型

Asset Price Fluctuation and Real Economy: Transmission and Dynamic Equilibrium

Abstract

The impact of asset price volatility is one of the main characteristics of macroeconomic volatility in recent years. By influencing consumer behavior, investor decision making, enterprise production decision and bank system operation, it affects the real economy. For investors , asset price fluctuations causes the "wealth effect" leads to adjustment of consumption choices and asset selection; for enterprises, asset prices volatility brings the "investment effect" which changes the investment decision; and the changes of rate of return on asset investment caused by the asset prices fluctuate trigger differences in commercial bank loans between the real economy and asset market , thus affecting the flow of funds. Based on the idea of ​​DSGE, this paper proposes a general equilibrium model based on the behavior characteristics of microcosmic participants, proposes structural models of two credit cycle, and test it empirically by constructing a VAR model using China as sample. The correctness and validity of the two credit cycle models are verified by theory and experiment. The results of this paper show that asset prices can influence the dynamic allocation of monetary funds in the two credit cycles through the "wealth effect" and "investment effect", and then have an impact on the real economy. In the case of China, the volatility of house price has stronger effect on consumption while the volatility of stock price does on investment. And long-time effect is stronger than short-time one in both cases. In order to ensure the smooth operation of macroeconomic, policy makers should take the asset price fluctuations into the monitoring system, identify the abnormal fluctuations in asset prices and then take timely measures to prevent the effects conducting to real economy.

KEY WORDS: Asset price volatility, Real economy, VAR model, Two credit cycle models

目 录

摘要 I

Abstract II

一、引言 1

1.1研究背景 1

1.2研究目的及意义 1

1.3结构框架 2

1.4可能的创新点 3

二、文献综述 4

2.1资产价格波动与实体经济的关系 4

2.1.1“稳定相关论” 4

2.1.2“背离论” 4

2.2资产价格波动对实体经济的影响渠道 5

2.2.1财富效应 5

2.2.2投资效应 6

2.2.3金融加速器效应 6

2.3现有研究存在的问题 7

2.4本章小结 7

三、理论模型 8

3.1居民 8

3.1.1风险中性居民 8

3.1.2风险偏好居民 8

3.2资产生产企业 9

3.3一般商品生产企业 9

3.3.1最终产品生产企业 9

3.3.2中间产品生产企业 10

3.4商业银行 12

3.5市场出清 12

3.6本章小结 13

四、中国资产价格波动与实体经济的VAR模型实证分析 14

4.1 VAR模型 14

4.2 指标选取及数据描述 14

4.3 实证检验 15

4.3.1 平稳性检验 15

4.3.2 VAR模型结果 16

4.3.3 脉冲响应及方差分解分析 18

4.4 本章小结 22

五、结论及建议 23

5.1研究结论 23

5.2政策建议 24

5.3研究展望 25

参考文献： 26

致谢 29

一、引言

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