投资者风险态度、资产价格与汇率预期的动态关系研究--基于DCC-GARCH和TVP-SV-VAR模型

Research on the Dynamic Relationships between Investors'Risk Attitudes,Asset Prices and Exchange Rate Expectations:Based on the DCC-GARCH Model and the TVP-SV-VAR Model

面对日益复杂的全球经济一体化进程,房地产市场、股票市场和外汇市场间的动态波动传染效应越发显著,其传递方向和路径也更为深刻地受到投资者风险态度的影响。本文通过DCC-GARCH和TVP-SV-VAR模型检验了投资者风险态度、资产价格(房价、股价)和汇率预期的动态关系。研究发现,投资者风险偏好会促进资产价格上涨和人民币预期升值,反之资产价格上涨和人民币预期升值也会刺激投资者风险偏好;当人民币处于升值预期时,存在房地产对股票投资的挤出效应:进一步地,在牛市时房价更易受到货币政策等外部经济形势的影响:当投资者普遍风险厌恶时,资产价格会在投资者风险态度和汇率预期之间起到显著的中介作用;在人民币贬值预期下,资产价格和投资者风险态度对外汇市场环境改变更敏感。因此,决策部门应在保持宏观经济稳定的前提下有序推进资本账户开放,结合国内外经济形势进行房地产市场和股票市场改革,加强预期引导并防范不同市场之间金融风险传染。

In the face of the increasingly complex process of global economic integration,the contagious effects of dynamic fluctuations between different capital markets have become more and more significant,and its transmission direction and path are also more profoundly affected by investors’risk attitudes.This paper uses the DCC-GARCH model and the TVP-SV-VAR model to test the dynamic relationship between investors'risk attitudes,asset prices(housing prices,stock prices)and exchange rate expectations.The study finds that investors'risk preference will promote asset prices and expected appreciation of the RMB;the rise of asset price rises or expected appreciation of the RMB will stimulate investors'risk preference.When the RMB is expected to appreciate,there will be a crowding-out effect of real estate on stock investment.Furthermore,in the bull market,housing prices are more susceptible to external economic conditions such as monetary policies.When investors are generally risk-averse,asset prices will play a significant intermediary role between investors’risk attitudes and exchange rate expectations.In expected RMB depreciation,asset prices and investors5 risk attitudes are more sensitive to changes in the foreign exchange market environment.Therefore,decision-making departments should promote the opening of capital accounts in an orderly manner while maintaining macroeconomic stability,carry out reforms of the real estate market and stock market in light of the domestic and foreign economic situations,strengthen anticipatory guidance and prevent financial risk contagion between different markets.