投资者情绪、证券价格波动与银行业稳定  

Investor Sentiment, Security Price Fluctuation and Banking Stability

作　　者：谭政勋[1] 沈阳[1] 

机构地区：[1]暨南大学金融系

出　　处：《金融论坛》2011年第8期45-51,共7页Finance Forum

基　　金：教育部人文社会科学项目<全球新型金融危机影响我国金融稳定的传染机制研究>(09YJA790087);广东省自然科学基金<金融稳定分析的宏观模型;我国实证及国际比较>(945106321002974);广东省优秀博士学位论文资助项目<信贷扩张;房价波动影响银行稳定的理论模型与我国实证>(sybzzxm201032);中央高校基本科研业务费专项资金暨南大学科研培育与创新基金研究项目(10JYB2022)

摘　　要：本文构建了一个不同于传统金融中介理论的模型,分析了投资者情绪变化对证券价格的影响,资产证券化和杠杆的变化对证券价格波动的影响,证券价格波动对银行利润、资产配置及银行稳定的影响。研究表明,在金融市场中,投资者情绪变化将导致证券价格波动,并通过财富效应等渠道对投资者造成财富和心理冲击,使得投资者情绪不稳定,而且银行风险资产的比例会顺周期变化;银行杠杆也具有较强的顺周期性,因为银行会在繁荣时期过多地进行资产证券化,衰退时期无法进行资产证券化;投资者情绪波动、证券价格波动及其强化机制危害了银行业的稳定性。This paper builds a model different from the traditional theory of financial intermediation and analyses the impacts of changes in investor sentiment on stock prices, the impacts of changes in asset securitization and leverage on security price fluctuation and the impacts of security price fluctuation on bank profits, assets allocation and banking stability.The studies show that, in financial markets, investor＇s sentiment change will lead to security price fluctuation, and affect investor＇s wealth and psychology through wealth effect and other channels, which will make investor＇s sentiment swing and the proportion of bank risk assets will pro-cyclically change. Bank leverage will also be strongly pro-cyclical, because bank has too much asset securitization during the period of boom but has no asset securitization during the period of recession. Investor＇s mood swing, stock price fluctuation and its strengthening mechanism will damage the banking stability.

关 键 词：投资者情绪 证券价格 资产证券化 银行稳定 

分 类 号：F224[经济管理—国民经济] F830.59F830.91F830.3