经济周期、市场情绪与资产价格

Economic Cycle,Market Sentiment and Asset Price

本文运用时变参数向量自回归模型,考察不同经济周期情形下经济周期、市场情绪及资产定价三者相互作用的动态关系。实证结果表明:投资者市场情绪与经济周期波动密切相关,对资产价格产生显著影响,这种影响的方向和强度因经济周期不同而异;资产价格与市场情绪间存在较强的反馈机制,资产价格会通过财富效应和流动性效应等因素影响经济,投资者行为具有较为明显的羊群效应和售盈持亏等特征;我国股市周期和经济周期并不完全同步,股指收益率的提升虽对经济的实际产出具有促进作用,但这种作用尚未完全发挥。

The paper uses the time-varying parameter vector autoregressive model to reveal the dynamic relationship a- mong economic cycle, market sentiment and asset price in different economic cycle situations. The empirical results show that： investors＇ market sentiment is closely related to the fluctuation of economic cycle, moreover, it has a significant impact on asset prices, and the direction and intensity of the influence vary with the economic cycle; there is a strong feedback mechanism between asset price and market sentiment, and asset price will influence economy through such fac- tors as wealth effect and liquidity effect, and investors＇ behavior has obvious herd effect and profit-holding deficit; at present, China＇s stock market cycle and economic cycle are not fully synchronized, although the increase in stock index yields has a role in promoting the actual output of economy, this role has not yet been fully played.