분석과 대안 (Analyses & Alternatives)

  • 제3권1호
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  • Pages.135-157
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  • 2019
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  • 2508-822X(pISSN)
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  • 2508 - 8238(eISSN)
사단법인 코리아컨센서스연구원 (Korea Consensus Institute(KCI))
권호 표지

资产价格波动对中国宏观经济风险的影响

Asset Price Volatility and Macroeconomic Risk in China

  • 투고 : 2019.02.15
  • 심사 : 2019.03.16
  • 발행 : 2019.03.31
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초록

The linkages between asset prices and macroeconomic outcomes are long-standing issue to both economists and monetary authorities. This paper explores the impact of asset prices on output and price in China. It focuses on the impacts of asset prices on the low quantiles of GDP gap and high quantiles of price gaprespectively. The main findings are the following: the influence of stock price gap, stock returns, and money growth on the different quantile of GDP gap and price gap are noticeable different, and there are significant impacts on the left tail of GDP gap distribution and on the right tail of price gap distribution. This implies that the results coming from simple regression will underestimate the economic risk imposed by asset price volatility. Moreover, these results also provide the caveat that one should cautiously distinguish the meaning of asset price gap and asset price growth rate and use them, through their contents are similar in some sense. One implication for monetarypolicy is that authority should interpret the relationship between asset prices and macro-economy in wider perspectives, and make the policy decision taking the impacts of asset prices on the tails of economy.

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