资产价格波动与实体经济：影响机制及其动态均衡研究

The real economy is the material basis of the formation of asset price, which is the performance of monetary value in the transaction at the real economy market .Although the real economy and the asset price support and guide each other, the development of China's real economy is severely affected by the excessive fluctuation of the asset price in recent years. This project uses the financial event study method and complex nonlinear dynamical systems theory to conduct a research on the inherent mechanism of the asset price volatility and how it affects the real economy. Besides, the project conducts a series of the transmission mechanism models about the influence of asset volatility on the real economy, which is based on the cascade asset network, macroeconomic policy, inflation and deflation, psychological expectations and complex dynamical systems. Furthermore, it measures and evaluates various effects of price volatility on consumption and investment, for instance, demand effect, multiplier effect, market linkage effect, spillover effect of countries and network effect. In addition , it takes a depth study on the mechanism of the asset price volatility and the dynamic deviation and convergence of the equilibrium of real economy，and the self-repair mechanism along with external correction mechanism of the asset price volatility and the imbalance of the real economy, combining the analysis framework of the IS-LM-BP theory. Finally, in order to realize the dynamic equilibrium of effective booting of asset price volatility and driving the stable development of the real economy, the project conducts a dynamic stochastic general-equilibrium model which is about the asset price volatility and the real economy, and a control system about the asset price volatility, based on the stable development of the real economy.

实体经济是资产价格得以形成的物质基础，资产价格是实体经济市场交易的货币价值表现，两者互为支撑和引导，但近年来我国资产价格的过度波动严重影响了实体经济发展。本课题运用金融事件研究方法和非线性动力复杂系统理论研究资产价格波动的内在机理及其与实体经济的关联机制；构建基于资产价格网络级联、宏观经济政策、心理预期和复杂动力系统视角的资产价格波动影响实体经济的系列传导机制模型；测度和评价资产价格波动影响实体经济的消费投资需求效应、乘数效应、市场联动效应、国别溢出效应和网络效应；结合 IS-LM-BP理论分析框架，构建资产价格波动与实体经济均衡的动态偏离与收敛机制模型，揭示资产价格波动与实体经济失衡的自我修复机制和外部校正机制，构建"多环联动"的资产价格波动与实体经济动态随机一般均衡模型，构建基于实体经济的资产价格波动调控体系，实现资产价格波动有效引导和驱动实体经济稳定发展的动态均衡。

资产价格波动是实体经济市场交易的货币表达，实体经济是资产价格波动得以存在的物质基础，各种金融资产和实物资产依靠价格机制与信用系统串联到实体经济部门，两者互为支撑互相引导。课题首先运用空间杜宾模型研究了金融发展与经济增长的关系及其空间溢出效应，基于主成分分析和滚动宽窗Granger因果关系分析发现金融化与资产价格泡沫间存在相互强化效应。课题接着构建了基于杠杆的资产价格模型，揭示了杠杆和资产价格泡沫的内在逻辑关系；基于异质杠杆构建了包含两个杠杆投资者和一个非杠杆投资者的金融系统动态模型，从宏观杠杆、金融部门杠杆、非金融部门杠杆和政府部门杠杆四个维度深入研究了杠杆对资产价格和实体经济发展的影响。在考虑金融摩擦和价格粘性的基础上，构建了多部门的动态随机一般均衡模型DNK-DSGE，研究了资产价格波动对实体经济变量的动态影响机制。鉴于我国渐进式的利率市场化，构建了基于我国利率双轨制背景的IS-LM模型，分析了渐进式利率市场化进程如何影响货币政策在货币市场和商品市场中的传导效应。课题然后深入研究了资产价格波动与实体经济的相关主体行为，构建了一种两阶段时变参数贝叶斯估计策略模型，用以刻画中央银行的实时时变偏好行为；研究了地方政府行为与城市商业银行风险承担的关联机制；揭示了投资者过度自信对资产价格的影响机理，基于TVP-SV-SVAR模型研究了投资者情绪对金融市场稳定的影响机制及其动态关系。课题最后构建了时变Copula-ARMA-NAGARCH模型，分别从主板、中小板、创业板角度研究中美股指的动态相依特征和结构突变因素；基于适应性预期构建了美元加息、人民币汇率与短期跨国资本流动的相互影响关系模型MSI(2)-VAR(1)。课题的研究为资产价格波动和实体经济的协同有序发展提供了新的理论和经验证据，也为我国实体经济的转型升级提供了新的思路和政策建议。