所属栏目:家庭金融/消费金融

Household Wealth, Borrowing Capacity and Stock Market: a DSGE-VAR Approach
认领作者 认领作者管理权限
发布日期:2021年12月25日 上次修订日期:2021年12月25日

摘要

Based on a DSGE model embedded with a stock market, we inspect interconnection between China's financial markets and macroeconomic cycles. We find consumption, investment and capacity utilization display significant and positive responses to stock market booms triggered by financial and confidence shocks, however, inflation responds insignificantly. We perceive a counteractive and significant reaction of China's monetary policy rule to credit-to-GDP gap at business cycle frequency. We decompose stock price into fundamental value influenced by the financial shock and speculative bubble driven by the confidence shock, and the confidence shock's contribution to stock price fluctuations is estimated to be about 14.8%. Model validation based on the DSGE-VAR framework indicates no serious structural model misspecification.
展开

论文统计数据

  • 浏览次数:

    1618
  • 下载次数:

    1

Tao Jin; Simon Kwok; Xin Zheng Household Wealth, Borrowing Capacity and Stock Market: a DSGE-VAR Approach (2021年12月25日) https://www.cfrn.com.cn/lw/14515.html

选择要认领的作者1
身份验证1
确认
取消