摘要
基于扩展的HP滤波法和移动平均法对1999年1季度至2010年3季度我国房地产价格和股票价格波动周期的识别和稳健性评价,以及使用非参数统计方法和逻辑离散选择模型从备选因素中确定适合解释房地产价格和股票价格膨胀的决定因素,发现固定资产投资、实际GDP、名义(实际)信贷和名义(实际)货币的增加,提高了房地产价格膨胀发生的概率;而实际货币的增加,提高了股票价格膨胀发生的概率。因此,提出如下政策建议:第一,用宏观审慎工具抑制资产价格泡沫时,区分不同的资产类别非常重要;第二,将所有资产价格信息构成一个单一资产价格指数指标的做法并不可取;第三,货币政策的主要目标是保持物价稳定,同时还要考虑经济增长、充分就业、国际收支平衡;第四,监管当局引入新的宏观审慎监管时,必须考虑成本问题。
On the basis of the extensive HP filter and the method of moving average, this paper tries to identify the fluctuation cycle of China＇s real estate prices and stock prices from the first quarter of 1999 to the third quarter of 2010 and evaluate their robustness. It also adopts the non-parametric statistic approach and the discrete-choice （logic） model to determine from the alternative factors the deciding factors suitable for explanation of the price inflation of real estate and stock. The findings show that the increase of fixed asset investment, real GDP, nominal （real） credit and nominal （real） money tends to increase the probability of real estate price inflation; while the increase of the real money tends to increase the probability of stock price inflation. Therefore, it puts forward the following policy suggestions： firstly, while restraining the asset price bubbles with the macro-pru- dential tools, it is of vital importance to make a distinction between different kinds of assets; secondly, it is not advisable to construct a single asset price index with all the asset price information; thirdly, the major target of the monitory policy is to keep prices stable, while at the same time payhag attention to economic growth, full employment, and balance of international payments; fourthly, the regulatory authority should consider the cost when introducing the new macro-prudential regulation.
出处
《当代财经》
CSSCI
北大核心
2011年第8期52-63,共12页
Contemporary Finance and Economics
关键词
资产价格波动周期
早期预警指标
离散选择模型
宏观审慎监管
asset price fluctuation cycle
early warning indicators
discrete choice model
macro-prudential regulation
