An Empirical Study Of The Impact Of Asset Price Volatility On Macroeconomic In China

First, this thesis summarizes and reviews literatures of the impact of asset price volatility on macroeconomic from both foreign and domestic aspects, then the paper conducts analysis of the relationship between the macroeconomic and the real estate market and the stock market respectively. On this basis, the paper uses SVAR model to conduct empirical study of the impact of asset price volatility on the macroeconomic and the paper selects price in the real estate market and the stock market as asset price. The empirical results show that the real estate market will have long-term and increasing positive effect substantially, but the impact of the stock market on macroeconomic is quite weak and even disappears in the long run.Moreover, the thesis discusses the channels from which the asset price volatility influences macroeconomic in two aspects of consumption and investment. The results show that China's real estate market has large wealth effect and the impact of house price volatility on consumption and investment is significant. In contrast. China's stock market has failed to produce significant effects, the transmission channel from stock price volatility to macroeconomic through consumption and investment is blocked.The innovation of this paper is to select real estate and stock markets which are more active to investigate the causes of macroeconomic stability, the range of sample data is wider, and different mathematical models are constructed to express the research question, using many measurement methods, such as SVAR, OLS, and EMC. In addition, the paper also uses the method of compare and induction, to compare the different impacts of asset prices. Finally, based on the empirical research findings and China's actual situation, the paper gives some meaningful suggestions and policy recommendations.