跨境资本流入、信贷扩张与资产价格泡沫  

Cross Border Capital Flow,Credit Expansion and Asset Price Bubbles

作　　者：薛晴[1] 刘湘勤 

机构地区：[1]长安大学经济与管理学院,陕西西安710064 [2]陕西金融资产管理股份有限公司,陕西西安710021

出　　处：《西安交通大学学报（社会科学版）》2018年第1期30-37,共8页Journal of Xi'an Jiaotong University：Social Sciences

基　　金：国家社科基金青年项目(14CJY066);中央高校基本科研业务专项资金项目(31082315505;310823170663)

摘　　要：基于1999年1月至2016年12月的月度数据建立结构向量自回归(SVAR)模型,实证分析跨境资本流入、信贷扩张与资产价格之间的关系。结果表明:跨境资本流入对信贷扩张存在显著的正效应,且信贷扩张对短期跨境资本流入变化更加敏感;长期跨境资本流入对股票价格和房地产价格存在显著的正效应,短期跨境资本流入对中国股票市场影响较弱,但对房地产价格存在显著的正效应;信贷扩张与资产价格之间存在相互促进的动态相关机制,信贷扩张对股票价格和房地产价格都存在显著的正向冲击;存在跨境资本流入影响资产价格的信贷渠道,且不同跨境资本流入和不同资产价格信贷渠道的效果存在较大差异。Based on the monthly data from January 1999 to October 2016, the SVAR model is established to empirically analyze the relationship between cross border capital flows, credit expansion and asset prices. The result shows cross border capital flows have a significant positive effect on credit expansion, and credit expansion is more sensitive to short-term cross-border capital flow. Long-term cross border capital flows have significant positive effects on stock prices and real estate prices, while short-term cross-border capital flows have a weak impact on China＇s stock market, but they have significant positive effects on real estate prices. There is a dynamic correlation mechanism between credit expansion and asset price, and credit expansion has a significant positive impact on stock prices and property prices. There are credit channels for cross border capital flows that affect asset prices, and they amplify the impact on domestic asset prices through credit channels, but the effect of credit channels is relatively weak, and the effect of different cross border capital flows and different asset price credit channels is quite different.

关 键 词：资本流动 信贷扩张 资产价格 

分 类 号：F830.5[经济管理—金融学]