Asset Price And Real Economy Development:Influence Mechanism And Empirical Research

Graduate:JIANG Li-hong Supervisor:Prof.LIU Xiao-xing Southeast UniversityRecent years,the excessive fluctuation of the asset price severely affects the development of China’s real economy.Real economy is the material basis of the formation of asset price,which is the performance of monetary value in the transaction at the real economy market.The real economy and the asset price support and guide each other.The history of the financial and economic crisis shows that most countries in the world have experienced the real recession caused by the sharp fluctuations in asset prices.In order to do a thorough research on influence mechanism between asset prices and the real economy development of a country,this paper studies the theory about the development of the asset price and the real economy based on the existing literature.It summarizes characteristics and causes of asset price volatility,does a descriptive analysis of the real economy development of our country in the recent 15 years.Then,it induces five transmission channels that asset prices affect the real economy development through the theoretical derivation and case analysis,such as consumer channel,investment channel,monetary policy channel,expected conduction channel,import and export channel.The periodic linkage effect and spillover effect of asset price on real economy development are tested by the spectrum analysis method and PVAR method respectively;the wealth effect of stock price and real estate price in China is tested by the state equation model.IS-LM model is taken to measure the multiplier effect of Chinese stock price on real economy development.Through empirical research,the result shows that,first,China’s asset price and real economy development have the synchronization in a longer period.Asset prices such as real estate,stocks and commodities are all ahead of the real economic development,while bond price fluctuation lags behind the real economic development cycle.Second,China’s stock and commodity price fluctuations both have positive effect on the real economic output,while bond price fluctuations have a negative effect.After two periods,the impact of real estate asset prices on real economy output changes from the negative into the positive effect.Third,the stock prices of the four core developed countries,such as the USA,Japan,the Euro zone and the UK,have a country spillover effect on China’s real economy output.Two periods later,it becomespositive effect and increases gradually.Fourth,the wealth effect of China’s real estate market is more obvious than the stock market,and the stock market shows negative wealth effect.Fifth,China’s stock price fluctuation has negative impact on the real economy,but its performance is not obvious.