摘要
次贷危机使资产价格波动对宏观经济的影响再次成为热点问题之一,但以均值回归为基础的实证分析束缚了对此问题的认知视野。采用分位数回归方法实证分析1992-2013年间我国股票价格对产出缺口与通货膨胀的尾部影响,结果表明：股票价格仅对产出缺口左尾部的影响为正,即在经济萧条时期股票价格上升引起产出增加,但在正常及经济过热时股票价格对产出的影响不显著;股票价格对通货膨胀的双尾部影响均较为显著,但方向相反,即在高通货膨胀时期股票价格上升加剧通货膨胀,而在严重通货紧缩时期股票价格上升使通货紧缩更为严重。
Subprime crisis led to the fluctuation of asset price. The impact of asset fluctuation price on macroeconomics has become a hot issue once again. But the empirical analysis based on mean reversion couldn＇t shed enough light on this issue. Therefore,a study is conducted in this paper to analyze the impact of stock price on the final outcome of output gap and inflation from 1992 to 2013 based on quantile regression. The result shows that the stock price has a positive influence on left tail of output. That is to say,during the depression,the rise of stock price leads to the increase of output. But when an economy is normal or overheating,this influence is not significant. And the impact of stock price on the double tails of inflation is more outstanding. On the contrary,in the period of high inflation,the rise of stock price results in fueling inflation. While during the period of severe deflation,the rise of stock price makes deflation worse and worse.
出处
《税务与经济》
CSSCI
北大核心
2014年第6期12-19,共8页
Taxation and Economy
