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基于货币循环流动的视角,探讨了“金融窖藏”和“热钱”对资产价格波动的影响。通过协整及方差分解,并进一步运用状态空间模型结合广义自回归条件异方差模型进行实证分析结果表明:金融资产价格的波动与金融窖藏、热钱之间具有长期的均衡稳定关系,而且热钱倾向于流入股票市场,股市对热钱的变动具有较强的敏感度,而金融窖藏更愿意进入房地产市场,对房市具有持续稳定的正效应。鉴于此,对引导货币资金流动,有效调控金融资产价格,防范危机风险提出相应的政策建议。
Based on the perspective of the cyclical flow of money, this paper explores the impact of “financial coffers” and “hot money” on asset price fluctuations. Empirical analysis using cointegration and variance decomposition and state space model combined with generalized autoregressive conditional heteroskedasticity model shows that the volatility of financial asset prices has a long-term equilibrium and stable relationship with financial coffers and hot money, and the hot money tends to In the stock market, the stock market has a strong sensitivity to changes in hot money. The financial cellars are more willing to enter the real estate market and have a sustained and positive positive effect on the housing market. In view of this, it is necessary to put forward corresponding policy recommendations to guide the flow of monetary funds, effectively control the prices of financial assets and prevent crisis risks.