短期国际资本对资产价格的影响——基于经济政策不确定性视角

The Impact of Short-Term International Capital on Asset Prices—An Economic Policy Uncertainty Perspective

摘要: 本文利用2000年1月至2022年12月的数据，通过MS-VAR模型，分析了从经济政策不确定性视角探究短期国际资本于资产价格之间的时变关系与联动关系。研究结果表明：短期国际资本流入在低不确定区制下会使股票价格上涨，中度不确定区制和高度不确定区制下均会使股价先上涨再下跌，房价在三区制的反应均为先上涨再下跌。股票价格的上涨并不能吸引短期国际资本流入中国，房价上涨会在短期内吸引短期国际资本流入中国，获利后再流出。股价与房价之间存在相互作用。

Abstract: Using data from January 2000 to December 2022, this paper analyzes the time-varying relationship and linkage between short-term international capital and asset prices from the perspective of economic policy uncertainty through the MS-VAR model. The results of the study show that short-term international capital inflows increase stock prices in the low uncertainty regime, stock prices rise before falling in both the medium and high uncertainty regimes, and house prices respond to rise before falling in all three regimes. Rising stock prices do not attract short-term international capital inflows into China, but rising house prices attract short-term international capital inflows into China in the short term, and then outflows after making profits. There is an interaction between stock prices and house prices.