资产价格泡沫与金融稳定——基于QVAR-DY的实证研究

Asset Price Bubbles and Financial Stability--Empirical Research Based on QVAR-DY

本文采用BSADF方法测度中国股市和房市的泡沫水平,并通过TVP-FAVAR模型构建中国的金融稳定状况指数,进而通过QVAR-DY模型分析股市泡沫和房市泡沫对金融稳定的异质性溢出效应。研究发现:第一,资产泡沫对金融稳定存在显著的溢出效应,且沪市泡沫、深市泡沫和房市泡沫之间存在泡沫传染;第二,在低分位数下,股市泡沫对金融稳定的溢出效应要大于房市泡沫,其中沪市泡沫的负向冲击比深市泡沫更大;第三,在高分位数下,房市泡沫对金融稳定的溢出效应要大于股市泡沫。

This paper uses BSADF method to measure the bubble level of China's stock market and housing market,and constructs China's financial stability index through TVP-FAVAR model,and then analyzes the heterogeneous spillover effect of stock market bubble and housing market bubble on financial stability through QVAR-DY model.The research finds that:asset bubble has significant spillover effects on financial stability,and there is contagion among the bubbles in Shanghai Stock Exchange,Shenzhen Stock Exchange and the housing market;in the low quantile,the spillover effect of the stock market bubble on financial stability is greater than that of the housing market bubble,with the negative impact of the Shanghai stock market bubble being larger than that of the Shenzhen stock market bubble;in the high quantile,the spillover effect of the housing market bubble on financial stability is greater than that of the stock market bubble.