证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2014年
8期
13~22
,共null页
宏观经济 政府干预 资产价格波动 溢出效应
宏觀經濟 政府榦預 資產價格波動 溢齣效應
굉관경제 정부간예 자산개격파동 일출효응
macro economy, government intervention, asset price fluctuation, the spillover effect
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。
植根于我國特殊的製度與政策環境，本文全麵分析瞭宏觀經濟與房地產市場和股票市場資產價格間的傳導機製，釐清宏觀經濟對某一市場資產價格的直接影響和通過另一市場傳導的間接影響或溢齣效應。通過採用VAR及RVAR模型等方法，併納入政府榦預因素，研究髮現：政府榦預會對兩箇市場間的雙嚮動態關繫施加顯著影響；宏觀經濟在兩箇市場的調控效果均受到製度與政策環境影響；宏觀經濟遲擊對某一市場的直接影響和間接影響是交互動態髮揮作用的，溢齣效應不僅髮揮著重要的傳導機製作用，有時甚至佔據瞭主導。
식근우아국특수적제도여정책배경，본문전면분석료굉관경제여방지산시장화고표시장자산개격간적전도궤제，전청굉관경제대모일시장자산개격적직접영향화통과령일시장전도적간접영향혹일출효응。통과채용VAR급RVAR모형등방법，병납입정부간예인소，연구발현：정부간예회대량개시장간적쌍향동태관계시가현저영향；굉관경제재량개시장적조공효과균수도제도여정책배경영향；굉관경제충격대모일시장적직접영향화간접영향시교호동태발휘작용적，일출효응불부발휘착중요적전도궤제작용，유시심지점거료주도。
Rooted in China＇s unique institutional and policy environment, the paper comprehensively analyzes the transmissionmechanisms between macro economy, and the asset price fluctuations of China＇s housing market and stock market. It also clarifiesthe 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 resultsshown that： （1） The government intervention has significant influence on the strong dynamic relationship between China＇s stockmarket and housing market; （2） The institutional and policy environment significantly affects outcomes of macroeconomic controlover two markets; （3） The direct influence of macroeconomic shocks on the price fluctuations of one market and the indirectinfluence via another market operate interactively and dynamically. The spillover effect plays an important role in the transmissionmechanisms, and sometimes is even in a dominant position.
