货币循环流动与资产价格的波动  

Circular Flow of Money and Asset Prices Fluctuation

作　　者：马亚明[1] 宋婷婷[1] 

机构地区：[1]天津财经大学金融系

出　　处：《财经科学》2013年第9期1-10,共10页Finance & Economics

基　　金：国家社科基金项目"资产价格波动与金融脆弱性互动机制研究"(11BJY140);国家自然科学基金项目"复杂网络结构下货币量值的系统性金融风险测控体系构建研究"(71103126)的阶段性成果

摘　　要：基于货币循环流动的视角,探讨了"金融窖藏"和"热钱"对资产价格波动的影响。通过协整及方差分解,并进一步运用状态空间模型结合广义自回归条件异方差模型进行实证分析结果表明:金融资产价格的波动与金融窖藏、热钱之间具有长期的均衡稳定关系,而且热钱倾向于流入股票市场,股市对热钱的变动具有较强的敏感度,而金融窖藏更愿意进入房地产市场,对房市具有持续稳定的正效应。鉴于此,对引导货币资金流动,有效调控金融资产价格,防范危机风险提出相应的政策建议。Based on the perspective of monetary circular flow, The paper discusses the influence of financial hoarding and hot money on asset prices fluctuation. The empirical analysis is conducted through Co - integra- tion and Variance Decomposition, as well as the State- space models combined with GARCH. The results showed that： there are stable relationships between the volatility of financial assets price and fmancial hoard- ing or hot money in the long term. Moreover, hot money tends to flow into the stock market, and the stock market has a strong sensitivity of changes in the hot money. In contrast, financial hoarding are more willing to enter the real estate market, having a steady positive effect on the housing market. In view of that, pro- pose appropriate policy recommendations to guide monetary capital flows, regulate financial assets price ef- fectively, and guard against risks.

关 键 词：货币循环流动 金融资产价格 金融窖藏 热钱 

分 类 号：F820[经济管理—财政学] F830.91