【作者】 陈守东； 林思涵；

【Author】 CHEN Shoudong;LIN Sihan;Quantitative Economy Research Center,Jilin University;School of Business,Jilin University;

【机构】 吉林大学数量经济研究中心； 吉林大学商学院；

【摘要】 在局部均衡框架下,结合资产价格泡沫理论将资产价格分解为基础价值成分和泡沫成分,以理论分析证明利率的变化对基础价值成分和泡沫成分具有不同影响。实证分析中,通过理论推导构建了TVP-SV-VAR模型,用以分析外生的紧缩性货币政策冲击对资产价格的两个成分以及其他内生变量的冲击影响。结果表明,外生的紧缩性货币政策冲击能够引起资产价格的短暂下跌,其长期趋势仍为上升,但上升幅度较小;相比于基础价值成分的下跌,泡沫成分的上升更为显著。利用紧缩性政策处理资产价格泡沫不但无法达到抑制泡沫的作用反而会损害股票的基础价值。因此传统的"逆向操作"策略对资产价格泡沫的作用收效甚微,在资产价格泡沫治理方面应重视宏观审慎监管的作用,谨慎使用货币政策工具。更多还原

【Abstract】 This paper,within the partial equilibrium framework,based on the theory of asset price bubbles,divides the asset price into fundamental value component and bubble component.In the empirical analysis,the TVP-SV-VAR model is constructed through theoretical derivation,which is used to analyze the impact on the two components of asset price and other endogenous variables.The results show that the impact of the external contractionary monetary policy can cause the temporary decline of asset price,but its long-term trend is up,though the increase is small.Compared with the decline of fundamental components,the rise of bubble component is more significant.The use of the contractionary policy to deal with asset price bubbles not only fails to achieve the effect of inhibiting bubbles but also damages fundamental value of stocks.The traditional″Leaning against the Wind″strategy has little effect on asset price bubbles.We should pay attention to the role of macroprudential regulation in asset price bubble management and use monetary policy tools carefully.更多还原