宏观经济、政府干预和资产价格波动.pdfVIP

理论综合 宏观经济、政府干预与资产价格波动 ——基于VAR和RVAR的传导机制研究 1 2 3 毛雅娟 李善民 黄宇轩 3.乔治华盛顿大学经济系，美国 华盛顿 20052) 摘要：植根于我国特殊的制度与政策环境，本文全面分析了宏观经济与房地产市场和股票市场资产价格间的传导机制， 厘清宏观经济对某一市场资产价格的直接影响和通过另一市场传导的间接影响或溢出效应。通过采用VAR及RVAR模型等方 法，并纳入政府干预因素，研究发现：政府干预会对两个市场间的双向动态关系施加显著影响；宏观经济在两个市场的 调控效果均受到制度与政策环境影响；宏观经济冲击对某一市场的直接影响和间接影响是交互动态发挥作用的，溢出效 应不仅发挥着重要的传导机制作用，有时甚至占据了主导。 关键词：宏观经济；政府干预；资产价格波动；溢出效应 Abstract: Rooted in China’s unique institutional and policy environment, the paper comprehensively analyzes the transmission mechanisms between macro economy, and the asset price fluctuations of China’s housing market and stock market. It also clarifies the direct influence from macro economy on the price fluctuations of one market, and the indirect influence via another market, namely spillover effect. Employed with VAR and RVAR models and integrated government intervention factors, the results shown that: (1) The government intervention has significant influence on the strong dynamic relationship between China’s stock market and housing market; (2) The institutional and policy environment significantly affects outcomes of macroeconomic control over two markets; (3) The direct influence of macroeconomic shocks on the price fluctuations of one market and the indirect influence via another market operate interactively and dynamically. The spillover effect plays an important role in the transmission mechanisms, and sometimes is even in a dominant position. Keywords: macro economy, government intervention, asset price fluctuation, the spillover effect 作者简介：毛雅娟，女，华南农业大学经济管理学院副教授，研究方向：资本市场与公司财务。李善民，中山大学管理学院 教授、博士生导师，研究方向：资本市场与公司财务。黄宇轩，美国乔治华盛顿大学经济学博士生，研究方向：资产定价。 中图分类号：F830.91；F293.35