经济周期、市场情绪与资产价格变动关系的实证研究  

作　　者：方勇华[1] 姚雪松[1] 刘朔[2] 

机构地区：[1]广东机电职业技术学院经贸学院,广东广州510515 [2]华南理工大学工商管理学院,广东广州510641

出　　处：《企业经济》2016年第7期161-167,共7页Enterprise Economy

基　　金：广东省高等学校优秀青年教师培养计划资助项目“基于行为金融学的资产价格波动研究”(项目编号:YQ201402)

摘　　要：将经济周期、市场情绪及资产定价结合为统一的整体,运用时变参数向量自回归模型,揭示不同经济状况下三者之间相互影响和作用的动态关系。研究结果表明：市场情绪与经济周期波动密切相关,并对资产价格产生显著影响,其影响的方向和强度因经济周期而异;同时也存在资产价格对市场情绪的反馈机制,即A股市场存在明显的“羊群效应”,投资者行为符合前景理论的基本结论;虽然我国股市周期和经济周期并非完全一致,但股指收益率的提升对实际产出仍有一定的促进作用。最后提出建议：建立投资者信心危机干预机制;完善资本市场投融资制度,促进资本市场价值发现和优化资源配置功能的发挥;在选择货币政策中介目标时,应关注信贷总量控制。By application of time varying parameter vector auto regressive model （TVP-VAR）, this paper integrates business cycle, investor sentiment and asset price in a system, and reveals their dynamic relationship. It concludes that, firstly, investor sentiment is closely related to business cycle and has a significant influence on asset price, and the direction and strength differ in the business cycle. And there is a feedback mechanism of asset price on investor sentiment. There exists the obvious ＂herding effect＂ and investor behavior conforms with the basic conclusions of prospect theory. Although China＇s stock market cycles and economic cycles are not exactly the same, enhancing the yield of the stock index can promote real output in a certain way. We should establish the intervention mechanism for investor confidence crisis, improve the investment and financing system of capital market to promote value discovery function and the optimization of resource allocation function. For the selection of the intermediate target of monetary policy, the total amount of credit should be paid more attention to.

关 键 词：经济周期 市场情绪 资产价格 时变参数向量自回归 

分 类 号：F224[经济管理—国民经济] F830