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近十几年来,西方学者在研究货币、信贷与资产价格之间关系时,值得注意的一个动向是对货币、信贷与资产价格周期性波动的关系开展深入广泛的研究。但国内学者从这个角度对我国情况进行研究的还比较少。本文首先探讨了货币和信贷对资产价格的影响机制,然后对中国股票和房地产价格膨胀和下跌的周期进行了识别和划分。在此基础上,运用贝叶斯模型平均方法就中国货币和信贷对股票和房地产价格膨胀的影响进行了实证检验,并提出了相应的政策建议。
In the recent decade, a notable trend of Western scholars studying the relationship between money, credit and asset prices is to conduct an in-depth and extensive study on the relationship between currency, credit and cyclical fluctuations in asset prices. However, domestic scholars from this perspective on the situation in our country is still relatively small. This paper first explores the impact of money and credit on asset prices, and then identifies and divides the cycles of Chinese stock and real estate price inflation and downturn. On this basis, we use Bayesian model averaging method to test the impact of Chinese currency and credit on stock price and real estate price inflation, and put forward corresponding policy suggestions.