利率冲击与理性股票价格泡沫——基于TVP-SV-VAR模型的检验  

Interest Rate Shock and Rational Stock Price Bubbles:A Test Based on TVP-SV-VAR Model

作　　者：李菁[1] 王冠英[2] 

机构地区：[1]中国人民大学经济学院,北京100872 [2]天津大学管理与经济学部,天津300072

出　　处：《当代财经》2015年第12期58-68,共11页Contemporary Finance and Economics

基　　金：中国人民大学科学研究基金(中央高校基本科研业务费专项资金)项目(15XNH043)

摘　　要：基于TVP-SV-VAR模型,以2002-2014年上证综合指数月度数据为样本,检验了我国货币政策对股票市场泡沫影响的时变特征。研究结果表明:我国利率冲击对股票市场泡沫影响与理性股票价格泡沫理论一致。利率冲击对股票观测价格的影响存在时变特征和结构性突变,且该影响程度取决于利率冲击对泡沫部分可能的正向影响是否足以抵消对基础部分的负向影响。沪深300指数和深圳成分指数的检验结果保持稳健。这意味着,央行需要对紧缩货币政策能在一定程度上缓和资产泡沫的传统观念重新认知,并慎重采用"逆周期"的货币政策。Based on TVP-SV-VAR model, this paper takes the monthly data of Shanghai compos- ite index from 2002 to 2014 as the samples to test the time-varying characteristics of the impact of China＇s monetary policy on stock market bubbles. The results show that the impact of China＇s inter- est rate shock on stock market bubbles is consistent with the theory of rational asset price bubbles. The impact of interest rate shock on observed stock prices has time-varying characteristics and struc- tural changes, and the degree of the impact depends on whether the possible positive impact of inter- est rate shock on the bubbles is enough to offset the negative impact on the base component. The test result of Shanghai and Shenzhen 300 index and Shenzhen component index keeps stable. This means that the central bank has to recognize once again the traditional view that the tight-money pol- icy can alleviate the asset bubbles to some extent, and the counter-cyclical monetary policies should be adopted prudently.

关 键 词：理性资产价格泡沫理论 TVP-SV—VAR模型 货币政策 金融稳定 

分 类 号：F820.1[经济管理—财政学]