货币和资产收益的联动效应——源自通缩与通胀时期的证据
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财经研究 2008 年 第 34 卷第 12 期, 页码：86 - 98
摘要
参考文献
摘要
文章建立一个由货币供应、通货膨胀、证券以及房地产市场指数收益指标组成的向量自回归模型,分别利用中国通货紧缩时期以及货币流动性充裕、通胀水平相对较高时期的月度数据,对这些参变量的长期协整关系和短期调整动力学进行系统分析。研究结果提示:(1)宏观当局在实行货币政策时,必须同时防止出现严重的货币流动性过剩或不足;(2)有效抑制国内物价水平短期内的大幅波动,维持国内经济和社会稳定;(3)完善国内证券市场的制度建设,维护投资者信心,使其保持稳步上扬的态势;(4)加大房地产市场的调控力度,避免房地产市场价格出现大起大落,使其逐步与其他宏观经济金融变量建立起比较稳固的长期关系。
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[4]余永定.理解流动性过剩[J].国际经济评论,2007,(4):5-7.
[5]张明.流动性过剩的测量、根源和风险涵义[J].世界经济,2007,(11):44-55.
[6]Adalid Ramon,Detken Carsten.Excessive liquidity and asset price boom/bust cycles[EB/OL].www.ecb.int/pub/pdf/scpwps/ecbwp732.pdf,2005.
[7]Adrian Tobias,Shin Hyun Song.Money,liquidity and financial cycles[R].Paper pres-ented in the academic panel at the 4th ECB Central Banking Conference,Frankfurt,No-vember,2006:9-10.
[8]Gouteron Sylvain,Szpiro Daniel.Excess monetary liquidity and asset prices[EB/OL].http://www.banque-france.fr/gb/publications/ner/1-131.htm,2005.
[9]Herring R,Wachter S.Bubbles in real estate markets[M].Asset price bubbles:The im-plications for monetary,regulatory,and international Policies,MIT Press,2003.
[10]Illing G.Financial fragility,bubbles and monetary policy[R].CESifo Working Paper,2001:449.
[11]Johansen S.Likelihood-based inference in cointegrated vector autoregressive models[M].Oxford University Press,1995.
[12]Peter W.Cointegration of real estate stocks and REITs with common stocks,bondsand consumer price inflation-An international comparison[R].Discussion Paper,No.06-057,2006.
[13]Rajan R.Monetary policy and incentives[R].Address given at Central Banks in the21’st Century Conference Bank of Spain,2006.
引用本文
李巍. 货币和资产收益的联动效应——源自通缩与通胀时期的证据[J]. 财经研究, 2008, 34(12): 86–98.
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