摘要
流动性过剩与投资者主体行为是影响资产价格波动的两个重要因素,通过将流动性过剩引入噪声交易模型,并在此基础上结合我国资本市场运行情况进行了分阶段的实证检验,发现我国长期存在流动性过剩现象,在资本市场平稳运行期间,流动性过剩与资产价格保持协整关系,而在资本市场过度波动时期,这种协整关系消失了,投资主体的行为特征成为这一时期资产价格的主导因素。从2000年至今的整个样本时期来看,流动性过剩并不必然导致资产价格上涨,但却对资产价格有潜在的冲击和抬升作用,因此是资产价格上涨的充分非必要条件。
Excess liquidity and investment behavior are two important factors of asset prices, this paper introduces the excess liquidity into DSSW model, and takes the phases empirical test combining our capital market operation condition. And find that excess liquidity and asset prices remain co - integration relationship in the stable operation period of capital market, but have no conduction in the period of excessive volatility of capital market, at same time the investment behavior become the dominant factors of asset prices. On the Sample observation period from 2000, excess liquidity is not necessarily factors of the raise in asset prices, but has potential impact and uplifting on asset prices.
出处
《经济问题》
CSSCI
北大核心
2010年第2期4-10,共7页
On Economic Problems
