需求转换冲击会带来资产价格上涨吗?——基于国际样本的实证研究?

The impact of demand structure transformation on asset prices

基于73国股票市场和57国房地产市场1990—2019年的面板数据,采用系统GMM估计方法研究经济发展模式由外需主导向内需主导转换对资产价格的影响,并检验货币供给在此过程中的传导机制。实证结果表明,当一国经济面临由外需主导向内需驱动转变的冲击时,股票价格和房地产价格均会上涨,且房价上涨幅度远不及股价;与实施紧缩性货币政策的国家相比,当需求转换冲击发生时,实施扩张性货币政策国家的资产价格涨幅更高;货币供给在需求转换影响资产价格的过程中起到部分中介作用,即需求转换会通过增加货币供给,进而提高资产价格水平。

Based on the panel data of the stock market of 73 countries and the real estate market of 57 countries from 1990 to 2019,the systematic GMM estimation method is used to study the impact of the transformation of economic development mode from external demand to domestic demand on asset prices,and to test the transmission mechanism of money supply in this process.The empirical results show that when a country's economy faces the impact of the transition from external demand to domestic demand,both stock prices and real estate prices will rise,and the rise of house prices is far less than that of stock prices;Compared with the countries with tight monetary policy,when the demand conversion shock occurs,the asset price of the countries with expansionary monetary policy increases more;Money supply plays an intermediary role in the process of demand transformation affecting asset prices,that is,demand transformation will increase money supply and then improve asset prices.