世界经济 ›› 2021, Vol. 44 ›› Issue (1): 174-194.

• • 上一篇    

货币政策对固定资产投资价格的影响:超调理论视角

华玉飞1, 逯进1, 杜通2   

  1. 1. 青岛大学经济学院 青岛市科大支路62号 266061;
    2. 上海财经大学金融学院
  • 出版日期:2021-01-10 发布日期:2021-01-23
  • 通讯作者: 逯进(通讯作者):青岛大学经济学院青岛市科大支路62号266061,电子信箱:lujin218@163.com。 E-mail:lujin218@163.com
  • 作者简介:华玉飞:青岛大学经济学院青岛市科大支路62号266061电子信箱:huayufei1111@163.com;杜通:上海财经大学金融学院电子信箱:dutongqd@163.com。
  • 基金资助:
    国家社会科学基金项目(18BJL117)的资助。

The Impact of Monetary Policy on Prices of Fixed Asset Investment:A Perspective on the Overshooting Theory

Hua Yufei1, Lu Jin1, Du Tong2   

  • Online:2021-01-10 Published:2021-01-23

摘要: 本文基于价格超调理论和托宾Q原理,全面解析货币政策对股票市场价格和固定资产投资价格的动态影响机制,发现货币供应量的增加不仅会直接提高固定资产投资价格,还会通过股票市场价格的超调效应影响托宾Q值,进而间接影响固定资产投资价格。我们进一步引入随机波动时变参数向量自回归(TVP-SV-VAR)模型,从时变角度测算了货币政策对股票市场价格和固定资产投资价格的动态影响。研究发现:货币政策对股票市场价格和固定资产投资价格的影响具有明显随机波动特征;在3个不同时点上分别施加货币政策冲击,股票市场价格超调效应都显著且其超调效应会进一步向固定资产投资价格传导;通过不同提前期的冲击可知,货币政策在短期对股票市场价格有超调影响,在中期对其超调影响不显著,而长期对其不存在超调影响。货币政策对股票市场价格的超调影响随时间逐渐向固定资产投资价格传递。

关键词: 超调理论, 货币政策, TVP-SV-VAR, 固定资产投资价格

Abstract: Drawing on the theory of price overshooting and Tobin's Q theory modelling, this paper comprehensively analyses, from a theoretical point of view, the dynamic impact mechanism of monetary policy on stock market and fixed asset investment prices. The study finds that an increase in money supply not only directly increases the price of fixed asset investments, but also affects Tobin's Q-value through the overshooting effect of stock market prices, thereby also indirectly affecting fixed asset investment prices. A TVP-SV-VAR model is then introduced to measure, from a time-varying perspective, the dynamic impact of monetary policy on stock market and fixed asset investment prices. The results show the following. First, the impact of monetary policy on stock market and fixed asset investment prices has obvious random fluctuation characteristics. Second, when monetary policy shocks are imposed in three different time instances, the overshooting effect of stock market prices is significant and is further transmitted to fixed asset investment prices. Third, through the impact of different lead times, it can be seen that the short-, medium- and long-term effects of monetary policy are significantly different. In the short-term, monetary policy has an overshooting effect on stock market prices, while in the medium-term this effect is not apparent and in the long-term it is non-existent. Over time, the overshooting effect of monetary policy on stock market prices will gradually spread to fixed asset investment prices.

Key words: overshooting theory, monetary policy, TVP-SV-VAR, fixed asset investment prices