發(fā)布時(shí)間：2018-02-25 23:15

  本文關(guān)鍵詞： 國(guó)際資本流動(dòng) 資產(chǎn)價(jià)格 TVTP-MS-VAR　出處：《國(guó)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(jià)格調(diào)整模型,通過(guò)對(duì)短期國(guó)際資本流動(dòng)規(guī)模、股票市場(chǎng)收益率、房地產(chǎn)市場(chǎng)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(dòng)與資產(chǎn)價(jià)格的關(guān)系。研究發(fā)現(xiàn),短期國(guó)際資本在股票市場(chǎng)和外匯市場(chǎng)存在顯著的區(qū)制差異,而在房地產(chǎn)市場(chǎng)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(chǎng)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(chǎng)的上漲或下跌,發(fā)揮著金融"加速器"作用。無(wú)論短期國(guó)際資本是基本面投資資本還,是技術(shù)投資資本,股票價(jià)格對(duì)房地產(chǎn)價(jià)格均具有較強(qiáng)的財(cái)富效應(yīng);短期國(guó)際資本性質(zhì)差異導(dǎo)致房地產(chǎn)價(jià)格對(duì)股票價(jià)格的影響具有區(qū)制差異。短期國(guó)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(shí)間長(zhǎng)于技術(shù)投資。以技術(shù)投資為主的短期國(guó)際資本流動(dòng)規(guī)模與資產(chǎn)價(jià)格對(duì)沖擊的響應(yīng)時(shí)間滯后于以基本面投資為主的短期國(guó)際資本流動(dòng)規(guī)模與資產(chǎn)價(jià)格對(duì)沖擊的響應(yīng)時(shí)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(xué)經(jīng)濟(jì)學(xué)院;
【基金】：國(guó)家自然科學(xué)基金面上項(xiàng)目“動(dòng)態(tài)優(yōu)化視角下的中國(guó)外匯儲(chǔ)備全面風(fēng)險(xiǎn)管理研究”(項(xiàng)目批準(zhǔn)號(hào):71473208) 教育部哲學(xué)社會(huì)科學(xué)重大課題攻關(guān)項(xiàng)目“中國(guó)外匯儲(chǔ)備的科學(xué)管理及戰(zhàn)略問(wèn)題研究”(項(xiàng)目批準(zhǔn)號(hào):12JZD027) 中央高�；�本科研業(yè)務(wù)費(fèi)專項(xiàng)資助(項(xiàng)目批準(zhǔn)號(hào):20720161053)資助
【分類號(hào)】：F831.5

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7 李，

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