货币供应量对我国股票市场影响的实证研究
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摘要
在中国股票史上,政府一直承担着股票市场健康成长的温床和保护伞的角色。在中国股市成长的复杂经济背景下,货币政策的有效性一直面临严峻的考验。尤其是在当前全球性金融危机的特殊时期,政府在频繁动荡的局势面前显得有些应接不暇。从保证证券市场,特别是股市的健康发展角度来看,中国政府一直致力于创造一个比较稳定的金融环境。
为了保证我国金融市场的健康发展和对金融危机的抵御能力,我国学术界一直在为货币政策调控力度的稳中适度而进行尝试性的探索。鉴于当前货币政策缺乏有效性的现状,在证券市场环境日新月异的今天,具有时效性和指导性的学术研究意义尤为重大。本文将采用最新的数据和比较成熟的计量模型,从货币供应量对股票价格指数影响的角度进行深入的研究。无论从宏观货币政策视角和微观的个人理财角度,本文的研究都将将具有理论借鉴意义和现实应用意义。这也是本文的研究价值的所在。
本文将货币供应量与沪深股指作为代表变量纳入金融系统,应用ADF单位根检验、Johansen协整检验、向量白回归(VAR)模型及向量误差修正模型(VECM)等金融计量方法对货币供应量与沪深股票价格指数之间的相互影响进行实证分析,并在此基础上分析了各层次货币供应量作为货币政策中介工具的可控性和可测性,从而得出它们对于股票市场各种影响的综合效应。本文主要采取理论研究与实证研究相结合的方式研究货币供应量与股票价格指数有关的理论体系、长短期互动关系、因果关系和相互影响能力,最后对实证研究结果进行总结和经济意义分析,阐述未来政策趋势以及对股票市场可能的影响,提出针对性的建议。
In the history of China stock, the Chinese government has always been playing a role as a nursery and protective umbrella in the process of the stock market growing healthily. Against the complex economic backdrop of the growth of China stock market, the effectiveness of monetary policy was subjected to a tough test. Our government seemed to be somewhat overwhelmed in front of such a volatile and frequent-changing situation, particularly in the current global financial crisis. In order to keep the securities market, especially keep the stock market developing healthily, the Chinese government has always been committing itself to create a stable monetary and financial environment.
In order to keep the health of the monetary and financial market and strengthen the risk-resisting ability against the financial crisis, Chinese academic community has always been trying to search for some moderate monetary policies which were stable and could be controlled effectively. In view of the current monetary policies may be short of effectiveness and the environment of the securities market is changing all the time, so it is meaningful and significant to have a research which is timetabled and helpful in such a changing time. Therefore, the latest data and widely used econometric model are used in this thesis, and we will study the relationship between stock market index and money supply. The thesis will be useful in both macro and micro perspective, and it will also be remarkable significance in theoretical and practical application. That is the value the research searching for.
In this thesis, money supply and Shanghai and Shenzhen stock price index are used as representative variables of the monetary and financial system, financial measures such as ADF unit root test, Johansen cointegration test, vector autoregressive (VAR) and Vector Error Correction Model (VECM) are applied to study the interrelationship between money supply and stock price index, the measurability and testability of all levels of money supply which can be regard as controllable intermediary instruments of monetary policy are analyzed to get the integrated effects of impact. The research combines theory with practice in this thesis to study the relevant theoretical system, interaction in short and long-term, causality and mutual influence ability. The results of positive analysis and the economic significance are summarized in the last part, then the trend of future policy as well as the possible impact on the stock market and specific proposals are put forward
为了保证我国金融市场的健康发展和对金融危机的抵御能力,我国学术界一直在为货币政策调控力度的稳中适度而进行尝试性的探索。鉴于当前货币政策缺乏有效性的现状,在证券市场环境日新月异的今天,具有时效性和指导性的学术研究意义尤为重大。本文将采用最新的数据和比较成熟的计量模型,从货币供应量对股票价格指数影响的角度进行深入的研究。无论从宏观货币政策视角和微观的个人理财角度,本文的研究都将将具有理论借鉴意义和现实应用意义。这也是本文的研究价值的所在。
本文将货币供应量与沪深股指作为代表变量纳入金融系统,应用ADF单位根检验、Johansen协整检验、向量白回归(VAR)模型及向量误差修正模型(VECM)等金融计量方法对货币供应量与沪深股票价格指数之间的相互影响进行实证分析,并在此基础上分析了各层次货币供应量作为货币政策中介工具的可控性和可测性,从而得出它们对于股票市场各种影响的综合效应。本文主要采取理论研究与实证研究相结合的方式研究货币供应量与股票价格指数有关的理论体系、长短期互动关系、因果关系和相互影响能力,最后对实证研究结果进行总结和经济意义分析,阐述未来政策趋势以及对股票市场可能的影响,提出针对性的建议。
In the history of China stock, the Chinese government has always been playing a role as a nursery and protective umbrella in the process of the stock market growing healthily. Against the complex economic backdrop of the growth of China stock market, the effectiveness of monetary policy was subjected to a tough test. Our government seemed to be somewhat overwhelmed in front of such a volatile and frequent-changing situation, particularly in the current global financial crisis. In order to keep the securities market, especially keep the stock market developing healthily, the Chinese government has always been committing itself to create a stable monetary and financial environment.
In order to keep the health of the monetary and financial market and strengthen the risk-resisting ability against the financial crisis, Chinese academic community has always been trying to search for some moderate monetary policies which were stable and could be controlled effectively. In view of the current monetary policies may be short of effectiveness and the environment of the securities market is changing all the time, so it is meaningful and significant to have a research which is timetabled and helpful in such a changing time. Therefore, the latest data and widely used econometric model are used in this thesis, and we will study the relationship between stock market index and money supply. The thesis will be useful in both macro and micro perspective, and it will also be remarkable significance in theoretical and practical application. That is the value the research searching for.
In this thesis, money supply and Shanghai and Shenzhen stock price index are used as representative variables of the monetary and financial system, financial measures such as ADF unit root test, Johansen cointegration test, vector autoregressive (VAR) and Vector Error Correction Model (VECM) are applied to study the interrelationship between money supply and stock price index, the measurability and testability of all levels of money supply which can be regard as controllable intermediary instruments of monetary policy are analyzed to get the integrated effects of impact. The research combines theory with practice in this thesis to study the relevant theoretical system, interaction in short and long-term, causality and mutual influence ability. The results of positive analysis and the economic significance are summarized in the last part, then the trend of future policy as well as the possible impact on the stock market and specific proposals are put forward
引文
[1]中国证券市场大记事[ED/OL].和讯网,来源:http://news.hexun.com/2008/zggsds/
[2]魏文静.金融学基础[M].清华大学出版社,2005(1):170-172
[3]庞皓.计量经济学[M].科学出版社,2006(1):9-10
[4]货币供应量[EB/OL].百度百科,来源:http://baike.baidu.com/view/171218.htm
[5]Rozeff,M.S(1974)Money and Stock Prices.Journal of Financial Economics,1
[6]Fama,E.F.(1970).Efficient Capital Market:A Review of Theory and Empirical Work Journal of Finance,25
[7]Peter Sellin.Monetary Policy and the Stock Market:Theory and Empirical Evidence.Journal of Economic Surveys,VOL 15,No.4
[8]Cornell(1983).The Money Supply Announcements Puzzle:Review and Interpretation.American Economic Review,73
[9]刘金章,孙可娜.现代金融理论与实务[M],2006(7):316-317
[10]郭华溢.西方货币政策传导机制理论演变[J].财经界,2006(7)
[11]Bernanke,Ben S.and Mark Gertler(1995).Inside the Black Box:The Credit Channel of Monetary Policy Transmission..Journal of Economic Perspectives 9(4)
[12]邱崇明.现代西方货币理论与政策[M].清华大学出版社,2005(3):176
[13]Friedman,M(1988).Money and the Stock Market.Journal of Political Economy,Vol.96,No.2
[14]李红艳,王涛.中国股市价格与货币供应量关系的实证分析[J].预测,2000(3)
[15]刘烷松.中国货币供应量与股市价格的实证研究[J].管理世界,2004(2)
[16]徐慧贤,郭玉洁.我国股票市场与货币需求的实证分析[J].内蒙古财经学院学报,2007(1)
[17]孙敬水.计量经济学[M].清华大学出版社,2004(9):331-337
[18]沃尔特.恩德斯著,杜江,谢志超(译).应用计量经济学-时间序列分析[M].高等教育出版社,第二版 2006(6):251-267,312-345
[19]张世英,樊智.协整理论与波动模型金融时间序列分析及应用[M].清华大学出版社,2004(9):14-16
[20]周爱民.金融计量学[M].中国统计出版社,2004
[21]李子奈.高等计量经济学[M].清华大学出版社,2000(9):278-283
[22]范英,魏一鸣.金融复杂系统:模型与实证[M].科学出版社,2006(1):27-41
[23]邹平.金融计量学[M].上海财经大学出版社,2005
[24]高铁梅.计量经济分析方法与建模:EVIEWS应用及实例[M].清华大学出版社,2006(1):276-278
[25]米什金(美).货币金融学[M],第四版.中国人民大学出版社,2005:485-486
[26]范方志,赵明勋.当代货币政策:理论与实践[M].上海三联书店,2005:265-286
[27]张晓峒.计量经济学软件EVIEWS使用指南[M].南开大学出版社,2004
[28]邹林刚.中国大豆期货市场与国际大豆期货市场价格关系实证研究[D].南京农业大学.来源:中国学位论文全文数据库,2006(6):21-22
[29]孙晓丹.人民币汇率对我国股市影响的实证研究[D].首都经济贸易大学来源:中国学位论文全文数据库,2007(7):17-18
[30]卡尔.E.瓦什(美).货币理论与政策[M].中国人民大学出版社,2001:4-23
[31]周英章,孙崎岖.股市价格、货币供应量与货币政策—中国1993-2001年的实证分析[J].石油大学学报,2002(5):9-10
[32]易丹辉.数据分析与EViews应用[M].中国统计出版社,2002(10):95-97,143-155,166-179
[33]张雪莹,金德环.金融计量学教程[M].上海财经大学出版社,2005(7):183-224
[34]夏正宏.我国货币供应量与股价波动关系的实证分析[J].东方企业文化,2007(2)
[35]郭超.货币供应量和经济增长对股票价格影响的实证研究[J].黄河科技大学学报,2005(9)
[36]于春红,李冬梅.股票市场对货币需求影响的实证分析[J].经济研究导刊,2006(2)
[37]段进,曾令华,朱静平.货币政策应对股票价格波动的策略研究[J].财经理论与实践,2007(3)
[38]申建文.我国股票市场对货币需求冲击的实证研究[J].海南金融,2008(10):42-43
[2]魏文静.金融学基础[M].清华大学出版社,2005(1):170-172
[3]庞皓.计量经济学[M].科学出版社,2006(1):9-10
[4]货币供应量[EB/OL].百度百科,来源:http://baike.baidu.com/view/171218.htm
[5]Rozeff,M.S(1974)Money and Stock Prices.Journal of Financial Economics,1
[6]Fama,E.F.(1970).Efficient Capital Market:A Review of Theory and Empirical Work Journal of Finance,25
[7]Peter Sellin.Monetary Policy and the Stock Market:Theory and Empirical Evidence.Journal of Economic Surveys,VOL 15,No.4
[8]Cornell(1983).The Money Supply Announcements Puzzle:Review and Interpretation.American Economic Review,73
[9]刘金章,孙可娜.现代金融理论与实务[M],2006(7):316-317
[10]郭华溢.西方货币政策传导机制理论演变[J].财经界,2006(7)
[11]Bernanke,Ben S.and Mark Gertler(1995).Inside the Black Box:The Credit Channel of Monetary Policy Transmission..Journal of Economic Perspectives 9(4)
[12]邱崇明.现代西方货币理论与政策[M].清华大学出版社,2005(3):176
[13]Friedman,M(1988).Money and the Stock Market.Journal of Political Economy,Vol.96,No.2
[14]李红艳,王涛.中国股市价格与货币供应量关系的实证分析[J].预测,2000(3)
[15]刘烷松.中国货币供应量与股市价格的实证研究[J].管理世界,2004(2)
[16]徐慧贤,郭玉洁.我国股票市场与货币需求的实证分析[J].内蒙古财经学院学报,2007(1)
[17]孙敬水.计量经济学[M].清华大学出版社,2004(9):331-337
[18]沃尔特.恩德斯著,杜江,谢志超(译).应用计量经济学-时间序列分析[M].高等教育出版社,第二版 2006(6):251-267,312-345
[19]张世英,樊智.协整理论与波动模型金融时间序列分析及应用[M].清华大学出版社,2004(9):14-16
[20]周爱民.金融计量学[M].中国统计出版社,2004
[21]李子奈.高等计量经济学[M].清华大学出版社,2000(9):278-283
[22]范英,魏一鸣.金融复杂系统:模型与实证[M].科学出版社,2006(1):27-41
[23]邹平.金融计量学[M].上海财经大学出版社,2005
[24]高铁梅.计量经济分析方法与建模:EVIEWS应用及实例[M].清华大学出版社,2006(1):276-278
[25]米什金(美).货币金融学[M],第四版.中国人民大学出版社,2005:485-486
[26]范方志,赵明勋.当代货币政策:理论与实践[M].上海三联书店,2005:265-286
[27]张晓峒.计量经济学软件EVIEWS使用指南[M].南开大学出版社,2004
[28]邹林刚.中国大豆期货市场与国际大豆期货市场价格关系实证研究[D].南京农业大学.来源:中国学位论文全文数据库,2006(6):21-22
[29]孙晓丹.人民币汇率对我国股市影响的实证研究[D].首都经济贸易大学来源:中国学位论文全文数据库,2007(7):17-18
[30]卡尔.E.瓦什(美).货币理论与政策[M].中国人民大学出版社,2001:4-23
[31]周英章,孙崎岖.股市价格、货币供应量与货币政策—中国1993-2001年的实证分析[J].石油大学学报,2002(5):9-10
[32]易丹辉.数据分析与EViews应用[M].中国统计出版社,2002(10):95-97,143-155,166-179
[33]张雪莹,金德环.金融计量学教程[M].上海财经大学出版社,2005(7):183-224
[34]夏正宏.我国货币供应量与股价波动关系的实证分析[J].东方企业文化,2007(2)
[35]郭超.货币供应量和经济增长对股票价格影响的实证研究[J].黄河科技大学学报,2005(9)
[36]于春红,李冬梅.股票市场对货币需求影响的实证分析[J].经济研究导刊,2006(2)
[37]段进,曾令华,朱静平.货币政策应对股票价格波动的策略研究[J].财经理论与实践,2007(3)
[38]申建文.我国股票市场对货币需求冲击的实证研究[J].海南金融,2008(10):42-43