超调理论视角下货币政策对投资价格影响的传导效应研究  

The Transmission Effect Research of Monetary Policy on Investment Price from the Perspective of Overshooting Theory

作　　者：杨硕 郝金奇 华玉飞 逯进[1] YANG Shuo;HAO Jin-qi;HUA Yu-fei;LU Jin(School of Economics,Qingdao University,Qingdao 266061,China;Qingdao Aerospace Information Co.,Ltd.,Qingdao 266033,China;Hengfeng Bank Postdoctoral Mobile Station,Jinan 250000,China)

机构地区：[1]青岛大学经济学院,青岛266061 [2]青岛航天信息有限公司,青岛266033 [3]恒丰银行博士后流动站,济南250000

出　　处：《青岛大学学报（自然科学版）》2023年第4期145-150,共6页Journal of Qingdao University(Natural Science Edition)

基　　金：国家社会科学基金(批准号:18BJL117)资助。

摘　　要：基于中国2001—2021年84组季度数据,构建投资价格指数,建立时变参数向量自回归(Time Varying Parameter-Stochastic Volatility-Vector Auto Regression,TVP-SV-VAR)模型,实证考察货币政策对股票价格和投资价格影响的动态特征。研究结果表明,货币政策冲击时,短期内投资价格波动较小,但股票价格的超调效应显著;长期内货币政策会通过股票价格的超调效应而间接影响投资价格。A index of investment prices is constructed based on 84 groups of quarterly data of China from 2001 to 2021.The Time-Varying Parameter-Stochastic Volatility-Vector Auto Regression(TVP-SV-VAR)model was established to empirically investigate the dynamic characteristics how monetary policy affects stock price and investment price.The results show that the fluctuation of investment price is small in the short term when monetary policy is impacted,but the overshoot effect of stock price is obvious;monetary policy indirectly affects investment price through stock price overshoot effect in the long run.

关 键 词：货币政策 股票价格 投资价格 超调效应 

分 类 号：F821.0[经济管理—财政学]