安徽师范大学学报:人文社会科学版
安徽師範大學學報:人文社會科學版
안휘사범대학학보:인문사회과학판
Journal of Anhui Normal University(Humanities and Social Sciences)
2013年
6期
757~765
,共null页
TVSTAR 利率 替代效应 风险传染
TVSTAR 利率 替代效應 風險傳染
TVSTAR 리솔 체대효응 풍험전염
TVSTAR; interest rate; substitution effectl risk contagion
基于时变平滑转移自回归(TVSTAR)系列模型,研究我国房屋销售价格指数、沪深股指和上海黄金的收益与收益关联性的区制性特征。以及利率、汇率和伦敦黄金价格对相应资产收益和收益关联性的区制转移的影响,发现各资产收益和收益的关联性存在显著的区制性特征,利率调整在不同区制的影响也存在差异,且在“繁荣区制”存在房地产对股票以及股票对上海黄金的单向“替代效应”,在“不首气区制”存在股票市场向房地产市场单向的风险传染。在房价存在上涨预期的情况下,对房地产实施政策性的调控有利于增加政府实施货币政策(利率)的灵活性。
基于時變平滑轉移自迴歸(TVSTAR)繫列模型,研究我國房屋銷售價格指數、滬深股指和上海黃金的收益與收益關聯性的區製性特徵。以及利率、彙率和倫敦黃金價格對相應資產收益和收益關聯性的區製轉移的影響,髮現各資產收益和收益的關聯性存在顯著的區製性特徵,利率調整在不同區製的影響也存在差異,且在“繁榮區製”存在房地產對股票以及股票對上海黃金的單嚮“替代效應”,在“不首氣區製”存在股票市場嚮房地產市場單嚮的風險傳染。在房價存在上漲預期的情況下,對房地產實施政策性的調控有利于增加政府實施貨幣政策(利率)的靈活性。
기우시변평활전이자회귀(TVSTAR)계렬모형,연구아국방옥소수개격지수、호심고지화상해황금적수익여수익관련성적구제성특정。이급리솔、회솔화륜돈황금개격대상응자산수익화수익관련성적구제전이적영향,발현각자산수익화수익적관련성존재현저적구제성특정,리솔조정재불동구제적영향야존재차이,차재“번영구제”존재방지산대고표이급고표대상해황금적단향“체대효응”,재“불수기구제”존재고표시장향방지산시장단향적풍험전염。재방개존재상창예기적정황하,대방지산실시정책성적조공유리우증가정부실시화폐정책(리솔)적령활성。
Based on series TVSTAR model, the regime characters of gains and gains relationship between re- al estate, gold and stock prices, as well as the effect of interest rate, exchange rate and London's gold price on them are studied. Conclude that the regime characters of gains and gains relationship for relevanec assets are significant, and interest rate has different effects on them. In "booming regime", there exist unidirec- tional "substitution effect" between real estate and stock as well as stock and Shanghai gold. In "recession regime", there exists unidirectional risk contagion from stock to real estate. The implementation of policy regulation can promote the flexibility of the monetary policy (interest rate) when real estate price is artifi- cially high.