摘要
本文基于价格超调理论和托宾Q原理,全面解析货币政策对股票市场价格和固定资产投资价格的动态影响机制,发现货币供应量的增加不仅会直接提高固定资产投资价格,还会通过股票市场价格的超调效应影响托宾Q值,进而间接影响固定资产投资价格。我们进一步引入随机波动时变参数向量自回归(TVP-SV-VAR)模型,从时变角度测算了货币政策对股票市场价格和固定资产投资价格的动态影响。研究发现:货币政策对股票市场价格和固定资产投资价格的影响具有明显随机波动特征;在3个不同时点上分别施加货币政策冲击,股票市场价格超调效应都显著且其超调效应会进一步向固定资产投资价格传导;通过不同提前期的冲击可知,货币政策在短期对股票市场价格有超调影响,在中期对其超调影响不显著,而长期对其不存在超调影响。货币政策对股票市场价格的超调影响随时间逐渐向固定资产投资价格传递。
Drawing on the theory of price overshooting and Tobin’s Q theory modelling,this paper comprehensively analyses,from a theoretical point of view,the dynamic impact mechanism of monetary policy on stock market and fixed asset investment prices.The study finds that an increase in money supply not only directly increases the price of fixed asset investments,but also affects Tobin’s Q-value through the overshooting effect of stock market prices,thereby also indirectly affecting fixed asset investment prices.A TVP-SV-VAR model is then introduced to measure,from a time-varying perspective,the dynamic impact of monetary policy on stock market and fixed asset investment prices.The results show the following.First,the impact of monetary policy on stock market and fixed asset investment prices has obvious random fluctuation characteristics.Second,when monetary policy shocks are imposed in three different time instances,the overshooting effect of stock market prices is significant and is further transmitted to fixed asset investment prices.Third,through the impact of different lead times,it can be seen that the short-,medium-and long-term effects of monetary policy are significantly different.In the short-term,monetary policy has an overshooting effect on stock market prices,while in the medium-term this effect is not apparent and in the long-term it is non-existent.Over time,the overshooting effect of monetary policy on stock market prices will gradually spread to fixed asset investment prices.
作者
华玉飞
逯进
杜通
Hua Yufei;Lu Jin;Du Tong
出处
《世界经济》
CSSCI
北大核心
2021年第1期174-196,共23页
The Journal of World Economy
基金
国家社会科学基金项目(18BJL117)的资助
