资产价格影响通货膨胀了吗?——基于中国月度数据的实证分析北大核心CSSCISSCI

资产价格变动会通过消费等渠道来影响CPI,但资产价格波动信息的解读水平有待提高,有必要进一步研究和确定资产价格对通货膨胀的影响力度和影响方向。本文回顾了已有文献,通过一个理论模型论述资产价格影响通货膨胀的机理,并在此基础上运用状态空间模型实证分析资产价格对通货膨胀的影响。结果表明,房价对通货膨胀存在显著影响,但没有证据表明股价影响到物价水平。     

资产价格对货币政策目标的影响

该文从定性和定量两方面分析了资产价格对货币政策目标的影响。对传导机制的研究表明，资产价格通过资产负债静脉渠道影响投资和消费，但资产价格和通货膨胀并不总是呈正相关关系。在不同的经济状况下，短期内容资产价格变化与通胀之间有四种可能的关系组合。对中国的实证分析则表明，房地产价格的上升与中国通货膨胀紧密相关，而银行借贷则是过去十年内中国房地产泡沫的主要来源。     

房价推动型通货膨胀——基于资产价格视角的通胀研究

文献综述 国内不少学者对我国房地产市场与通货膨胀之间的关系进行了研究,但结论不尽相同。王维安等（2005）通过构建房地产均衡市场模型,对我国房地产市场进行了实证研究,发现房地产预期收益率与通货膨胀之间存在稳定的函数关系。毛丰付（2008）考察了房地产价格上升对劳动力成本的影响,认为房地产价格对工资上升产生压力,可能会引发持续性通货膨胀。李秋实（2008）通过选取1998-2007年间相关数据,运用向量自回归和向量误差修正模型进行研究,最后证明,我国房地产价格波动在短期内对通货膨胀的影响十分有限,在长期则对通货膨胀具有较为显著的影响,而且,在房价与通货膨胀之间存在着正反馈作用机制。而黄平等（2005）的研究则认为,我国房地产市场的财富效应微弱,房地产价格的大幅度变化对消费、产出进而对一般价格水平的影响十分有限。经朝明（2006）等通过对1987-2005年房地产市场价格与消费物价指数年度数据进行计量分析后认为,我国房地产价格与通货膨胀之间存在长短期的均衡关系,但是它们之间是负相关的关系,即替代效应大于财富效应,房地产价格的上升会造成一般物价水平的降低。     

通货膨胀、货币供给与房地产市场关系的实证研究——基于后危机时代数据的考察

我国在2009年底推出的经济政策导致房价和物价不断攀升,央行虽然采取紧缩措施进行应对,但物价和房价仍处高位。对我国货币供给、通货膨胀及房地产之间关系进行理论和实证分析的结果显示:货币供给增加能引起物价和房价上涨;房价上涨能引起物价上涨等。因此,为了更好地应对物价波动,货币政策需关注资产价格,同时应谨慎使用货币政策应对资产泡沫,并密切注意货币流动结构,维持货币供给流向与实体经济发展相适应。     

货币政策对资产价格的冲击——基于我国利率、房价和股价互动关系的经验研究

近年来货币政策与资产价格的关系受到了很多学者的关注。本文在研究我国利率、房价和股价互动关系的基础上,分析了货币政策对资产价格的冲击效应。结果表明我国的利率货币政策对房价和股价两大资产价格的冲击并不显著,同时支持我国货币政策应关注通货膨胀而不是资产价格的国际主流观点。     

货币政策对资产价格的冲击——基于我国利率、房价和股价互动关系的经验研究

近年来货币政策与资产价格的关系受到了很多学者的关注.本文在研究我国利率、房价和股价互动关系的基础上,分析了货币政策对资产价格的冲击效应.结果表明我国的利率货币政策对房价和股价两大资产价格的冲击并不显著,同时支持我国货币政策应关注通货膨胀而不是资产价格的国际主流观点.     

资产价格泡沫与我国货币政策传导效应的非对称性研究

本文通过构造含有资产价格泡沫的经济系统,使用结构向量自回归模型与脉冲响应函数分析了我国货币政策对资产泡沫的影响和资产价格泡沫与其它变量之间的关系。结果表明,我国货币政策的资产价格传导渠道效应显著存在,但货币政策的资产价格效应对于不同资产类型具有非对称性,货币政策对股票市场的影响要远远大于对房地产市场的影响;资产价格泡沫的正向冲击对通货膨胀呈现出倒U型影响,并且不同资产类型对通货膨胀具有非对称性,股票市场对通货膨胀的影响要远远大于房地产市场;资产价格泡沫对产出具有正向效应,但不同资产价格类型对于产出冲击也存在非对称性,股票资产价格对产出的影响要小于房地产对产出的影响。     

我国货币结构变化对通货膨胀的影响研究

本文对1994—2016年间我国货币结构的变化进行分析,从理论和实证两方面研究我国货币结构变化对通货膨胀的影响。结果表明:在此期间,我国货币结构指标(M2'-M1')与通货膨胀(CPI)之间呈现负相关关系,这主要是因为执行交易职能的货币数量下降,流入实体经济的货币不断下降,更多的货币流入金融市场,导致资产价格上涨。我国资产价格对未来通货膨胀具有影响,两者之间呈现出正相关关系。基于以上结论,本文提出未来我国货币政策调控要注意货币总量与结构调控并重,前瞻性地考虑资产价格波动的影响。     

我国金融资产价格与通货膨胀的关联性检验

解答货币政策是否应干预金融资产价格的膨胀和波动这一问题的关键,就是要判断一国的金融资产价格与通货膨胀有何关联性。本文运用向量自回归模型实证考察了以股票价格为代表的金融资产价格对我国通货膨胀的影响。实证分析表明,我国股票价格的变动对产出缺口存在一定的正面影响,但是这种影响不太稳定,说明我国股票价格通过总需求渠道对未来通货膨胀产生的影响比较微弱。同时,我国股票价格的变动能引起未来CPI和WPI的同向变化,说明股票价格在一定程度上包含了我国未来通货膨胀的信息。因此,央行可以将金融资产价格作为参考指标,用以帮助判断未来的经济走势和通货膨胀变动趋势,从而充分发挥金融资产价格的指示器作用。     

固定资产投资与通货膨胀关系的实证分析

在当前全社会固定资产投资高速增长，部分行业出现过热投资的背景下，本文对固定资产投资与通货膨胀关系进行实证分析。本文在对我国1981—2003年期间全社会固定资产投资及主要物价指标数据进行收集整理的基础上，运用计量分析方法中的格兰杰因果关系检验和模型拟合，证明固定资产投资与通货膨胀之间存在格兰杰因果关系，固定资产投资变动与通货膨胀变动存在显著正相关，且前者领先后者1年时间。本文还对固定资产投资对通货膨胀的影响机制进行了分析，并在此基础上提出政策建议。     

The dynamics of economic growth,oil prices,stock market depth,and other macroeconomic variables: Evidence from the G-20 countries

This paper examines the linkages between economic growth, oil prices, depth in the stock market, and three other key macroeconomic indicators: real effective exchange rate, inflation rate, and real rate of interest. We employ a panel vector autoregressive model to test Granger causality for the G-20 countries over the period 1961–2012. A novel approach to this study is that we clearly demarcate the long-run and short-run relations between the economic variables. The results show a robust long-run economic relationship between economic growth, oil prices, stock market depth, real effective exchange rate, inflation rate, and real rate of interest. In the long run, real economic growth is found to respond to any deviation in the long-run equilibrium relationship that is found to exist between the different measures of stock market depth, oil prices, and the other macroeconomic variables. In the short run we find a complex network of causal relationships between the variables. While the empirical evidence of short-run causality is mixed, there is clear evidence that real economic growth responds to various measures of stock market depth, allowing for real oil price movements and changes in the real effective exchange rate, inflation rate, and real rate of interest.     

汇率制度改革后中国股市与汇市关系——人民币名义汇率与上证综合指数的实证研究

本文利用协整检验和Granger因果检验的计量方法研究了汇率制度改革后中国股市与汇市的关系。实证结果表明,汇率制度改革后中国股市与汇市存在长期稳定的协整关系,人民币升值是中国股市上扬的单向Granger原因。最后,本文利用国际收支和资本流动理论对这些实证结果作了进一步解释,并提出了相应的政策建议。     

Interdependence and dynamic linkages between the emerging stock markets of South Asia

The present article examines the dynamic linkages between the stock markets of Bangladesh, India, Pakistan and Sri Lanka using a temporal Granger causality approach by binding the relationship among the stock price indices within a multivariate cointegration framework. We also examine the impulse response functions. Our main finding is that in the long run, stock prices in Bangladesh, India and Sri Lanka Granger‐cause stock prices in Pakistan. In the short run there is unidirectional Granger causality running from stock prices in Pakistan to India, stock prices in Sri Lanka to India and from stock prices in Pakistan to Sri Lanka. Bangladesh is the most exogenous of the four markets, reflecting its small size and modest market capitalization.     

汇率与股价关联的实证研究——基于汇改后中国大陆、台湾、香港的数据

通过运用协整检验和格兰杰因果检验对汇率制度改革后中国大陆、台湾、香港的股市与汇市关系的实证结果表明,中国大陆汇市与股市存在长期稳定的协整关系,短期相互影响明显;台湾汇市与股市只存在短期的相互效应;香港数据表明两者不存在因果关系,但方差分解显示股市变动对汇率波动有一定的冲击效应.     

Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange

Speculative price bubbles are defined as a significant deviation between an asset's intrinsic value and its market value and in this paper it refers to stock values. Literature about the theme has noted the existence of bubbles in various types of markets and their respective assets. A great deal of effort has been directed toward identifying bubbles in stock price indices. However, few research endeavors focus on assets as the unit of analysis. Studies about stocks in Brazil have identified the presence of bubbles in IBOVESPA (São Paulo Stock Exchange Index). Given this context and assuming that the speculative bubbles are present in the Brazilian stock market, this research is focused on the following question: Is there evidence of the existence of speculative bubbles in stock prices traded on the São Paulo Stock Exchange? Econometric tests were performed on twenty-seven stocks, based upon their positions each semester, for the period between the first semesters of 1990 until the first semester of 2010. The nominal values of the selected stocks were adjusted for inflation by the IPCA (Brazilian Consumer Price Index). In order to identify the presence of bubbles, we applied the Johansen non-cointegration test and/or the Granger non-causality test between the intrinsic value, dividends and interest on equity capital, and the market value (semester closing price) of the stocks. The primary findings reveal a presence of bubbles in twenty of the twenty-seven stocks, at a 5% significance level. Of the seven stocks not showing evidence of bubbles, six are financial institutions. In five stocks the tests reveal Granger causality stemming from the market value toward the intrinsic value. The study findings are consistent and contribute with previous research in the literature and, are useful for investors, financial institutions, academics, government agents, and traders.     

China,Japan and the US Stock Markets and the Global Financial Crisis

In this paper, while focusing on the impact that the global financial crisis had on the stock markets of China, Japan, and the United States, the stock-price volatilities and linkage between these three countries are analyzed. In addition, the relationships between macroeconomic variables (real-economy variables and monetary-policy variables) and stock price volatility in each country are investigated. The estimation results of the EGARCH model revealed that although China’s stock price volatility was far greater than those of Japanese and US stock prices, China was less affected by the global financial crisis in 2007 than Japan and the United States. For China, stock price volatility was greater in the early 1990s, shortly after the stock market had been established, than in 2007 when the global financial crisis occurred. Furthermore, it has been revealed that the linkage of Chinese, Japanese, and US stock prices has increased since the global financial crisis. Moreover, Granger causality testing revealed China’s real-economy variables and monetary-policy variables do not affect China’s stock price volatility.     

内蒙古上市公司股价波动性研究

本文利用谱聚类方法、ARCH族模型、Granger因果检验和Johansen协整检验对近两次金融危机期间内蒙古上市公司股价的波动性进行实证分析.实证结果表明欧债危机对内蒙古上市公司股价波动的影响大于次贷危机的影响,而且受影响的上市公司主要集中在能源、矿产资源以及机械制造等行业.由于内蒙古自治区上市公司数量少和行业比较集中等原因,以上结果不能全面反映金融危机对内蒙古自治区整个宏观经济的影响.     

中国的股票价格波动及货币政策反应

本文在阐述中国的股票价格波动情况及成因的基础上，分析中国股票价格的信息功能，并对中国的股票价格与各层次货币供应量进行协整和Granger因果检验。结果表明，从总体上看，中国的股票价格在1995年之后，具备一定的信息功能；股票价格与各层次货币供应量之间存在协整、因果关系。由此，货币当局应对股票价格波动做出反应。文章以前瞻性利率规则为基础，运用IS—PC—AP模型，采用GMM法估计出中国包含股票价格因素的货币政策反应函数。     

Nonlinear dynamic correlation between geopolitical risk and oil prices: A study based on high-frequency data

This study investigates the nonlinear dynamic correlations between geopolitical risk (GPR) and oil prices using nonlinear Granger causality and DCC-MVGARCH methods based on high-frequency data. The relationship between GPR and oil prices is found to have a complex nonlinear relationship rather than a simple linear one. Further, a bidirectional nonlinear Granger causality is found to consistently exist between GPR and oil volatility across different components of realized volatility. In terms of returns, GPR has relatively weak unidirectional nonlinear Granger causation with oil returns. The dynamic correlation analysis shows that GPR mainly affects oil volatility rather than returns. Moreover, GPR mainly affects oil volatility through the jump component of the oil market after the financial crisis, and there is a strong positive correlation between GPR and volatility jumps. Our findings innovatively suggest that GPR can potentially be utilized to improve models of volatility jumps and provide reference for investors and price analysts in oil markets who want to design sensible risk-management strategies.     

基于VAR模型对CPI与房地产价格关系的实证分析

随着经济的不断发展,物价波动与房地产价格之间的关系逐渐成为关注的焦点。本文选取我国2006年1月至2010年12月的CPI和房屋销售价格指数月度数据,建立VAR模型。通过格兰杰因果检验发现:房地产价格和物价波动之间存在单向的因果关系。通过脉冲响应函数进行分析,表明房屋销售价格指数对CPI有着正向的作用。方差分解的结果说明在长期CPI的变动很大程度是由房屋销售价格指数引起的,房地产市场价格波动受自身因素的影响较大。