發(fā)布時間：2018-02-25 23:15

  本文關(guān)鍵詞： 國際資本流動 資產(chǎn)價格 TVTP-MS-VAR　出處：《國際金融研究》2017年02期 　論文類型：期刊論文

【摘要】：本文構(gòu)建了基于投資者異質(zhì)性的資產(chǎn)價格調(diào)整模型,通過對短期國際資本流動規(guī)模、股票市場收益率、房地產(chǎn)市場收益率和人民幣匯率建立TVTP-MS-VAR模型,研究了短期資本流動與資產(chǎn)價格的關(guān)系。研究發(fā)現(xiàn),短期國際資本在股票市場和外匯市場存在顯著的區(qū)制差異,而在房地產(chǎn)市場僅具有基本面投資特征。以基本面投資為主的短期資本流入將抑制股票市場的上漲或下跌,發(fā)揮著金融"緩沖器"作用,而以技術(shù)投資為主的短期資本流入將加劇股票市場的上漲或下跌,發(fā)揮著金融"加速器"作用。無論短期國際資本是基本面投資資本還,是技術(shù)投資資本,股票價格對房地產(chǎn)價格均具有較強的財富效應;短期國際資本性質(zhì)差異導致房地產(chǎn)價格對股票價格的影響具有區(qū)制差異。短期國際資本在基本面投資和技術(shù)投資之間的轉(zhuǎn)換極其頻繁,且基本面投資的持續(xù)時間長于技術(shù)投資。以技術(shù)投資為主的短期國際資本流動規(guī)模與資產(chǎn)價格對沖擊的響應時間滯后于以基本面投資為主的短期國際資本流動規(guī)模與資產(chǎn)價格對沖擊的響應時間。
[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.
【作者單位】： 廈門大學經(jīng)濟學院;
【基金】：國家自然科學基金面上項目“動態(tài)優(yōu)化視角下的中國外匯儲備全面風險管理研究”(項目批準號:71473208) 教育部哲學社會科學重大課題攻關(guān)項目“中國外匯儲備的科學管理及戰(zhàn)略問題研究”(項目批準號:12JZD027) 中央高�；究蒲袠I(yè)務費專項資助(項目批準號:20720161053)資助
【分類號】：F831.5

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本文編號：1535559