【作者】 陶治会；

【导师】 陈守东；

【作者基本信息】 吉林大学 ， 数量经济学， 2014， 博士

【摘要】 随着经济全球化和经济危机的不断爆发，左右各国货币政策制定和执行的因素呈现出多元化与复杂化并重的特征金融不稳定在货币政策和宏观调控中的影响权重日渐扩大，已经成为影响货币政策有效执行的重要因素之一而构成金融不稳定的一个主要维度就是资产市场不稳定研读近年来的全球经济发展史，可以发现大部分经济体的资产市场都在不同阶段曾经出现过不同程度的不稳定状态全球金融的深化与自由化趋势越发明显，流动性泛滥愈加严重，加之金融监管机制的滞后，导致资产价格盛衰循环的周期越来越短，并呈现出波动聚集与波幅渐宽的特征，直接造成了资产市场的不稳定而2008年全球金融危机更是清晰的勾勒出了资产市场投机泡沫的生成与破灭及其对实体经济的破坏效应继经济增长通货膨胀就业之后，资产市场稳定与金融稳定已经渐渐成为政策当局的又一个政策目标而货币政策对于资产市场泡沫以及不稳定性方面是否应该干预以及应当怎样干预已经成为学界和业界争论的焦点沿着以上思路，本文在研读大量国内外文献的基础上，采用多种计量方法从三个层面来展开对资产市场不稳定性及其与经济增长货币政策之间的相互影响研究，即资产市场不稳定性研究资产市场与货币政策以及利率之间的影响研究投资者行为以及成长性所产生的股票市场不稳定状态研究首先，本文从市场内部和市场外部两个角度来寻找决定市场价格的影响因素，并且运用基于状态空间模型的马尔科夫区制转移时变系数模型分别实证检验了股票市场和房地产市场的不稳定性，并将这种不稳定性分解为内在不稳定性和外在不稳定性，进而使用马尔科夫区制转移模型分别研究了股票市场和房地产市场两种不稳定性对经济增长的影响主要结论包括：我国货币政策的股票市场传导路径具有不稳定性，2003年以来，股票市场部分的实现了经济晴雨表的功能，且自2010年后股市对经济的响应关系进入了完全反应区域股票市场不稳定性的主要根源在于外在不稳定性，存在着股票市场外在不稳定性对经济的非对称影响，即在经济增长的高波动区制，股票市场的内在不稳定性和外在不稳定性都对经济没有显著影响，而在经济增长的低波动区制，股票市场的外在不稳定性对经济的抑制作用显著，但抑制程度较弱在样本期内，房地产市场的总体不稳定性由外在不稳定性主导2008年金融危机期间，我国房地产市场总体不稳定性的构成呈现出了显著的结构性变化，危机初期由外在不稳定性主导，而在推出四万亿刺激计划后，内在不稳定性成为了主导上述情况表明，在危机冲击下，经济增长不确定预期羊群行为等外部因素左右了房地产市场的发展，而这种外部因素主导的不稳定具有不可控性，且对实体经济的冲击效应具有较大的不确定性，而我国政策当局随后推出的刺激计划及时调节了房地产市场不稳定性的结构，可以说该项刺激政策具有即时有效性房地产市场不稳定性对经济增长存在着明显的非对称影响，在高波动区制，房地产市场内在不稳定性对经济增长具有显著的负向冲击，而在低波动区制，经济增长对房地产市场外在不稳定性具有明显正向响应其次，本文运用Garch-in-Mean SVAR模型对银行间同业拆借利率与房地产价格增长率进行建模来研究利率不确定性对房地产价格波动的影响关系，结果表明20天利率与60天利率变化的不确定性对房地产价格存在着显著的负向冲击，但冲击程度较弱相对来说，20天利率不确定性对房地产价格造成的冲击要强于60天利率不确定性对房地产价格所产生的影响房地产价格增长率对附加不确定性的20天利率与60天利率的冲击响应都具有非对称性，即在考虑不确定性的情况下，两种期限利率正向冲击对房地产价格的影响要大于他们的负向冲击对房地产价格产生的影响，这说明提高利率更易于降低房地产价格，而降低利率对房地产价格的刺激有限附加不确定性的20天利率对房地产价格造成的负向冲击和正向冲击都要大于附加不确定性的60天利率对房地产价格产生的影响，这种情况表明，在考虑利率不确定性的情况下，房地产价格的中期利率敏感性要强于长期利率敏感性另外，本文还对VAR模型同时施加短期约束与长期约束来识别价格型货币政策与股票价格之间的同步冲击响应关系，结果表明股票价格对利率的即刻冲击响应为负，长期冲击响应收敛于零，解决了乔斯基分解的长期正向效应之谜股票价格对利率具有即刻正向冲击，且这种冲击不具有长记忆性产出和通货膨胀对股票价格的冲击都具有正向滞后响应本文的实证结果为基准利率的确定货币政策的制定执行股票市场的稳定发展宏观调控的有效实施货币政策由数量型向价格型过渡提供了一定的经验支持最后，考虑到从投资者行为的角度度量股票市场的不稳定性，本文使用基于CCK模型的MSH模型研究中小板羊群行为的区制转移特征，结果表明在高波动区制羊群行为高度显著，而在低波动区制不存在羊群行为经过进一步的深入研究，本文首次提出MSH-TVP模型，将其应用于中小板羊群行为的时变路径研究，结果发现中小板具有羊群行为持续性，较长的羊群持续期都伴随着市场持续的高波动，最长的羊群持续期发生在2008年至2009年的金融危机期间，且羊群行为的波动也较大2010年以前中小板出现了3次较长的羊群持续期，并呈现出逐波变长的规律，而2010年到2012年的羊群持续期均较短本文还从成长性的角度度量了创业板市场的不稳定性，采用突变级数方法计算出创业板公司的成长性指数，并以上市公司的总股本为标准确定权重计算整个创业板的加权成长性指数，进行成长性指数化研究结果表明，2010年加权成长性指数涨幅为24%，如此高速的成长性却换来了2011年创业板价格指数高达35%的下跌，说明创业板市场确实存在着较高的不稳定性，可能的原因在于：第一，尽管有宏观政策的因素，但三高现象难辞其咎，其过度透支了创业板的成长性第二，创业板上市公司大部分集中于产业链的中上游，属于制造密集型企业群体，这样单一化的行业结构也导致创业板整体成长性易于大幅波动综上所述，本文认为我国资产市场存在着微观层面和宏观层面两个维度的不稳定性，相对于股票市场，房地产市场的不稳定状态对实体经济的影响程度更强影响层面更广影响路径更复杂在极端情况下，如2008年金融危机，股票市场和房地产市场的不稳定程度都较强，且对宏观经济的溢出效应也较明显因此，监测与调控资产市场的不稳定性应该成为政策当局维护金融稳定和宏观经济均衡增长的主要工具和重要路径更多还原

【Abstract】 With the outbreak of the economic globalization and the economic crisis, factors for theformulation and implementation of monetary policy around countries show characteristics ofdiversity and complexity. Impacts of Financial instability on monetary policy and macro-controlcontinues to expand, it has become one of the important factors affecting the effectiveimplementation of monetary policy. Asset markets instability constitutes a major dimension offinancial instability. Studying the history of the global economy in recent years, there have beenvarying degrees of instability at different stages of asset markets in most of economies. Deepeningand liberalization trends in global finance are more obvious, even more serious is that most ofeconomies are awash with liquidity, coupled with lagging financial regulatory mechanisms,leading to a situation where rise and fall cycles in asset prices are getting shorter, and showingfeatures with volatility clustering and gradually broad fluctuation, situations mentioned aboveresult in instability in asset markets direnctly. For instance, the2008global financial crisis clearlyoutlines formulating and bursting of the speculative bubble in asset markets and its damagingeffects on the real economy. Following economic growth, inflation, employment, asset marketstability and financial stability has gradually become another policy objective of authorities.Monetary policy’s intervention with asset market bubble and its instability and that how shouldinterfere with have become the focus of debate in academia and industry.In summary, this paper mainly expands the study of asset markets instability and interactionsof the instability and economic growth and monetary policy from three levels, namely, the studyon asset markets instability, the research on interactions of asset markets and monetary policy andinterest rates, the study on stock market instability based on investor behavior and growth of theenterprise. Firstly, the paper finds factors affecting market prices from both the internal and theexternal of asset markets, and use Markov regime switching time-varying parameter model basedon state space model to examine instability of stock market and real estate market respectively,and this instability is decomposed into intrinsic and extrinsic instability, and then uses Markovregime switching model to study the impact generated from the instability of two markets oneconomic growth. The main conclusions are: the stock market conduction path of monetary policyis not stable, since2003, the stock market partly realize function of the economic "barometer",and since2010, the response of stock market to the economy has gone into a complete responserelationship region. The main source of instability in the stock market is the external instability,there is an asymmetric impact of stock market external instability on the economy, namely, in highvolatility regime of economic growth, both the inherent and external instability of the stockmarket have no significant impact on the economy, in low volatility regime of economic growth, the stock market’s external instability has significant impacet on economy, but the impact is weak.Most of the time, the overall instability of the real estate market is dominated by externalinstability. During the2008financial crisis, China’s composition of overall instability in realestate market show a significant structural change, during the initial crisis it is dominated byexternal instability, and in the launch of the " four trillion " stimulus plan, the inherent instabilitybecame the dominant. Above that, in the crisis, external factors such expectation of uncertainty ineconomic growth and herd behavior etc. dominate the development of real estate market, andinstability dominated by external factors has led not controllable, and the impact effects on thereal economy has greater uncertainty, and policy authorities then launched stimulus plan in atimely manner to adjust the structure of the real estate market instability, it can be said that thestimulus has immediate effectiveness. There is a clear asymmetric impact of real estate marketinstability on economic growth, in high volatility regime, the inherent instability of the real estatemarket has a significant negative impact on economic growth, while in low volatility regime, theeconomic growth has obvious positive response to the real estate market external instability.Secondly, the paper uses Garch-in-mean SVAR model to study the impact of interest rateuncertainty on the real estate price fluctuations based on data of inter-bank lending rate and realestate prices, the results showed that there are significant negative impacts of20days and60daysinterest rate changes uncertainty on the real estate prices, but the degree of impact is weaker.Relatively speaking, the impact of20days interest rates uncertainty on real estate prices is largerthan that of60days interest rate. The resposes of Real estate price growth rate to shock of both20days and60days interest rates uncertainty is non-symmetric, it is easier to explain that raisinginterest rates can reduce real estate prices, and lower interest rates have limited stimulation on realestate prices. Both negative and positive impacts of additional uncertainty of20days interest rateson real estate prices are greater than that of60days interest rate, this case shows that raisingmedium-term interest rates can increase real estate prices, and stimulus of lower interest rates onmedium-term is limited. In addition, the paper also applied simultaneously short-term andlong-term constraints on VAR model to identify the interdependence of monetary policy and stockprices, the results show that the immediate response of stock price on impact of interest rates isnegative, its long-term impact response converges to zero,therefore,this case solve the long-termpositive effect mystery of Cholsky decomposition. Stock prices have immediate positive impacton interest rates, and this impact does not have long memory.The responses of output andinflation on impact of stock price are lagged and positive. The empirical results of this paperprovide some empirical evidence for determining the benchmark interest rate, the form andimplementation of monetary policy and stable development of the stock market, the effectiveimplementation of macro-control, monetary policy’s transition from quantitative to price-based.Finally, from the perspective of measuring instability of the stock market based on investorbehavior, this paper examines Markov-switching herding behavior of Chinese SMEs board by using Markov-switching model.The results yield evidence of herding behavior under highvolatility and no evidence of herding behavior is found under low volatility. Moreover, the paperinvestigates time varying parameter herding behavior of Chinese SMEs board by usingMarkov-switching time varying parameter model.The results suggest duration of herding behaviorof SMEs board, longer duration goes along with persistent high volatility, the longest durationappears during global financial crisis of2008, and herding fluctuates greatly.Three longerdurations appear before2010, and it gradually get longer, all of durations are short during2010-2012. The paper also investigates the instability of stock market from the perspective of thegrowth of enterprises, we apply catastrophe progression method to calculate the growth index ofthe ChiNext and determine the total share capital of listed companies as a standard weight tocalculate the weighted growth index of ChiNext. The results suggest that the2010weightedgrowth index rose24%in return for the35%decline of2011ChiNext index. The major reasonsinclude two aspects, the first are high price-earnings ratio and high raising funds, although thefactors include macro-policy. This phenomenon overdraws growth of the ChiNext excessively.Therefore, the way of IPO on ChiNext should be changed. Second, most of companies on ChiNextare concentrated in the middle and upper reaches of industrial chain, and they aremanufacturing-intensive enterprises. Such a single structure of the industry as this made thevolatility of ChiNext growth more drastic. Therefore, if enterprises’ IPO of downstream industrychain be encouraged, then the diversified ChiNext industry structure could be expected in thefuture. Meanwhile the stability and representativeness of the overall growth of the ChiNext couldbe improved.In summary, there exist asset markets instability of micro level and macro level in China. Thedegree of impact of instability in real estate market on real economy is stronger than that in stockmarket. In extreme cases, such as the2008financial crisis, the degree of instability in the stockmarket and real estate market are both strong and macroeconomic spillovers are more obvious.Thus, monitoring and regulation of asset market instability should be the main policy tool and animportant route for authorities maintaining financial stability and macroeconomic equilibriumgrowth.更多还原