资产价格波动对实体经济影响的传导机制研究

发布时间：2017-12-30 22:29

本文关键词：资产价格波动对实体经济影响的传导机制研究　出处：《南京财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：近年来，我国资产价格波动较大，以上证指数收盘价为例，股票市场一度从2005年6月6日的998.23点上涨到2007年10月16日的6124.04点，次贷危机爆发后，股指直线下滑，到2008年10月28日，跌至1664.93点，如今股指在2300多点徘徊，同时，自2008年以来我国股票市场出现了与发达国家股票市场经济基本面走势显著差别的“剪刀差”和“背离”趋势，表现为股票市场在经历过次贷危机之后的大跌，从此一蹶不振，而实体经济层面则保持了稳定增长，股票市场与实体经济的相关性呈现出较弱的局面，这对股票市场有效性以及股票市场是实体经济“晴雨表”的称号构成了挑战，因此，宏观上两者之间的引导关系值得检验。此外，股票市场还存在着影响实体经济的微观机制，即资产价格波动的财富效应和投资效应，资产价格波动可以通过财富效应影响家庭消费，通过投资效应影响企业投资。新近发展的消费理论表明了家庭持有的金融资产会影响家庭消费支出，而投资理论表明了企业在股票市场中的融资能力会影响其在实体经济中投资决策，检验我国股票市场上是否存在微观传导机制，一方面是对消费和投资理论的验证，另一方面，，是检验能否通过促进股票市场的合理发展来拉动消费和投资，带动经济增长，具有现实意义。本文旨在考察股票价格影响实体经济的传导机制，通过比较分析、相关性分析、VAR模型、面板数据模型等方法，结论得到：1.我国股票市场证券化率较低，与发达国家股经走势相比，股票市场与实体经济走势短期之间没有协同性；2.虽然我国股经之间出现经常性“背离”，但Johansen检验表明两者之间存在一个均衡关系，因此从长期来看，两者之间具有运动方向、经济增长和平稳发展的一致性；3.实体经济因素对上证指数解释能力较强，而上证指数对是实体经济因素解释能力较弱，股市并没有表现出“晴雨表”作用；4.我国股票市场存在负的财富效应，分时期样本实证分析表明股权分置改革对股票市场发挥财富效应具有促进作用，我国东部存在着不显著的负财富效应，中部地区存在着不显著的正财富效应，而西部地区存在着显著的负财富效应；5.我国股票市场存在微弱的投资效应，分时期样本实证分析同样表明股权分置改革对股票市场发挥投资效应具有促进作用，我国东部、中部、西部地区都存在着正的投资效应。
[Abstract]:In recent years, China's asset price fluctuations, the Shanghai index closing price as an example, the stock market fell from 998.23 in June 6, 2005 rose to 6124.04 in October 16, 2007, after the outbreak of the subprime crisis, the stock plummeted, to October 28, 2008, the index fell to 1664.93 points, now hovering at more than 2300 points, at the same time, since 2008 China's stock appear in the market and the stock market in developed country economic fundamentals trend difference between "scissors" and "Deviation" trend, as the stock market after the subprime crisis fell from the level of the real economy is unable to get up after a fall, and maintain a steady growth, the correlation between stock market and real economy showed a weak situation. The effectiveness of the stock market and the stock market is the barometer of the real economy as a challenge, therefore, between the two macro guidance The relationship is tested. In addition, the stock market has affected the micro mechanism of the real economy, the asset price fluctuation in the wealth effect and investment effect, asset price volatility can affect household consumption through the wealth effect, influence enterprise investment through the investment effect. The recent development of consumption theory shows that the family holdings of financial assets will affect the household consumption expenditure however, investment theory indicates that enterprises in the stock market financing capacity will affect their investment decisions in the real economy, test the existence of micro transmission mechanism of stock market in China, one is to verify the consumption and investment theory, on the other hand, is to test whether to stimulate consumption and investment through the promotion of rational development the stock market, driven by economic growth, is of practical significance.
The purpose of this paper is to investigate the influence of stock price transmission mechanism of the real economy, through comparative analysis, correlation analysis, VAR model, the panel data model. The results are: 1. of China's stock market securitization rate is relatively low, compared with the developed countries after the trend, no cooperativity between the stock market and the trend of the real economy, although between 2. short-term; China shares appear frequently "Deviation", but the Johansen test showed that there was a balanced relationship between the two, so in the long run, with the direction of movement between the two, consistent economic growth and steady development of the real economy; 3. factors explain the ability of Shanghai stock index, the Shanghai Composite Index on the real economy factors explain ability the stock market, and did not show a "barometer" of the role; 4. of China's stock market has the negative wealth effect, the empirical analysis indicates that the period of non tradable shares The reform has positive effect on the stock market play a wealth effect in eastern China has a negative wealth effect is not significant, the central region has the positive wealth effect is not significant, while the western region has a negative significant wealth effect; 5. China's stock market has weak investment effect, sub period empirical analysis also shows that equity the reform has positive effect on the stock market to play the investment effect, the Middle East of China, the western region, there is investment effect.

【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F124

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