中国资产价格财富效应的比较与检验

文章对1991--2006年中国住宅和股票市场价格波动的财富效应进行实证检验，并利用脉冲响应函数和方差分解进一步分析消费对资产价格波动冲击的动态响应过程。结论表明，现阶段中国住宅市场和股票市场价格波动的财富效应整体上均呈现为负向效应，且住宅市场价格波动对消费的影响滞后期较长，影响力度高于股票价格波动的影响力度。因此，必须采取有力措施保持资产价格与经济基础的均衡关系，防范负财富效应对我国整体经济造成的负面影响，为资产价格发挥积极财富效应创造良好市场环境。

The Comparison and Test on Wealth Effects of Asset Prices in China

This paper analyzes the wealth effect of housing and stock markets in China during 1991-2006. And the dynamic process about consuming expenditure response to asset price shock is also analyzed by IRF function and variance decomposition. The conclusion indicates that the wealth effects of housing and stock markets are both negative at present. And the effect of housing price shock to consuming is stronger and longer than stock price shock. Therefore, effective measures should be taken to keep the equilibrium relation between assets price and economic foundation, which are important to keep away from the negative wealth effect and realize the positive wealth effect.