Asset Price Volatility And Its Regulation Mechanism

After three scientific and technological revolution, the financial innovation and financial globalization made the Western developed countries and newly industrialized countries, financial markets and the virtual economy, of the tremendous energy to be released. With the connections between real economy and asset price had become increasingly close, the impact of asset price fluctuations on a country's macro-economic became more and more discounted. In this paper, firstly from the aspect of the historical development, financial bubbles, external shocks, behavioral psychology, it is expected to push several angles to analyze the causes of asset price volatility, and on the basis of the existing theory it can provide a more general analytical framework to illustrate the formation of asset price fluctuations. Secondly, after understanding the formation of asset price volatility it will be a concrete analysis of the mechanism which based on the expected asset price fluctuations on the macroeconomics. Then, on the basis of macroeconomic variables and asset price volatility of the empirical analysis of the relationship between the chain using monthly data, using six VAR vector regression model and the AR root tests, Granger causality tests and analysis of asset price volatility among China's consumption, investment; inflation, money supply, the dynamics of the relationship with the use of foreign capital; then, we use GARTH/TGARCH model to take securities market as an example, empirically analyzing the expected effects of asset price volatility; Then, from the perspective of psychology and expected, we use complete information and dynamic game theory,taking the real estate market as an example, to explain the one of the main formation mechanism of asset price volatility, namely the ambivalence of the mechanism is expected to generate. Finally, from four aspects of the financial mechanism, monetary system, the exchange rate mechanism and the mechanism of industrial policy mechanism, we described China's policy control mechanisms on volatility of asset prices.Innovations of this article is:First, asset price volatility analysis of the several sources will be unified in a mechanism of the expected analytical framework, and you can use this framework to analyzing asset price volatility; second, using vector autoregression (VAR) based on monthly data study in, China in recent years, more than the basic macroeconomic variables and the relationship between asset price volatility, and using TGARCH model to explain the expected volatility of asset price effects; Third, we use dynamic game theory from my point of view of the formation mechanism of asset price volatility to explain the psychological and expected effect; Fourth, China's regulatory mechanism on asset price volatility was improved, this article described asset price volatility control mechanism from the policy and institutional aspects of our country.