我国货币政策对股票价格影响的实证分析
|
摘要
货币政策对股票价格的影响是近年来经济学界和中央银行越来越关心的问题。自20世纪70年代以来,特别是近20年,发达国家和新兴国家的股票市场日益发展,股票市场在一国国内融资和国民经济中的地位和作用日益巨大,因而股票价格的波动必将对一国乃至全球经济产生重大的影响。近几年,我国股票市场迅猛发展,市场规模不断扩大,越来越多的居民投资于股市。自2005年以来,我国股票市场波动较大。上证指数在2005年6月达到998点的低点后,大幅上涨,2007年10月达到6124点的高点后大幅下挫,短短一年的时间,于2008年10月28日下跌至1664点,基本经历了一个完整的周期。在此期间,中央银行13次调整基准利率,22次调整存款准备金率,货币政策变动之频繁,前所未有。在股票价格和中央银行的货币政策之间究竟存在着什么样的关系?在以后的经济社会发展的过程中,中央银行将更多地使用货币政策工具直接或间接地影响和调控股票价格,因此,我们有必要深入研究货币政策对股票价格的影响。
本文对于股票价格指标的选取采用的是沪深300指数,而不是上证指数,避免了指数失真可能导致分析结果的误差性；采用了最新的数据和较新的计量经济方法如向量自回归模型(Var)、ADF检验、协整检验、格兰杰因果检验、向量误差修正模型(VECM)、脉冲响应函数、方差分解等,对货币政策影响股票价格的机制进行了系统全面的分析,既有理论分析,又有实证分析,而且更侧重实证分析。包括：利率、货币供应量、信贷规模以及汇率对股票价格的影响。
根据新指标和新数据得出的结论：利率、货币供应量和汇率与股价有长期协整关系,信贷规模与股价则没有；短期内利率对股价的影响是负的,而长期则是正的；货币供应量对股价的影响长、短期均为正的；汇率对股价的影响是负向的；各变量对股价波动的贡献度为：利率对股价的影响占8%,货币供应量占5%,汇率占4%。
文章最后根据实证分析的结论提出了一些建议：中央银行可以通过货币政策调控股票价格；应加快发展股票市场,扩大股票市场的规模；加大对信贷资金的监管,防止违规入市以及防止短期内人民币大幅度升值。
The influence of the monetary policy upon the stock price is the problem that economic educational circles and National Central Bank concern more and more in recent years. Since 70's in 20th century, Especially in 20 years, the stock markets of flourished nations and new nations develop day by day, the stock markets plays a huge part in the position and the function in the country national economy day by day, the motion of the stock price is going to produce great influence upon a country's and global economy. The last few years, our country's stock market develops fast, and the scale of stock market continuously extends, more and more the residents invest stock market. Since 2005, our country's stock market undulates greatly. Shanghai Composite Index attains 998 point in June,2005, and significantly soars, and after attaining 6124 point in October,2007, declines to 1664 point on October 28,2008 in a year, experiences a period of integrity. In this period, the National Central Bank adjusts basis interest rate of 13 times,22 times of adjustment on savings reserves lead, The monetary policy changes multifarious, Unprecedented. What kind of the relation that actually exists in the stock price and the monetary policy of the National Central Bank? In the process of economic social development, the National Central Bank will more use monetary policy tool directly or indirectly to influence and adjust the stock price, consequently, it is necessary for us to research the influence of the money market upon the stock market.
This text's selection toward stock price index is Shanghai-Shenzhen 300 Index, but isn't Shanghai Composite Index, avoiding index number losing to cause to analyze the error; Adopting the latest data and lately Empirical Analysis, such as VAR model、ADF examines、Cointegration test、the Grange causality test、the vect error correction model(VECM)、the impulse response、variance decomposition, analysis the mechanism that influences stock price to the monetary policy, not only theory analysis, but also Empirical Analysis, and lay particular emphasis on Empirical Analysis. Including:the influence of the interest rate upon the stock price、currency supply, loan scale and the rate of exchange of influence upon the stock price.
According to new data and lately Empirical Analysis measure to get the conclusions: Interest rate, currency supply and exchange rate have the cointegrate relation with stock price over a long period of time, but loan scale hasn't;The influence of the interest rate upon the stock market is negative in a shor-term, but positive in the long term; currency supply of the influence upon the stock market is positive;the exchange rate of the influence upon the stock market is negative, Each variable influencing the motion of the stock price index of contribution is:the interest rate has 8% to influence the point, currency supply 5%,the exchange rate 4%.
At last, according to the conclusions of the empirical analysis some suggestions are put forward:the National Central Bank can adjust to control stock market through monetary policy; to develop stock market speed, to extend the scale of stock market;to put more effort on taking charge of credit funds,to prevent funds from investing stock market against the regulation; Prevent°from the significant appreciation of RenMinBi in the short term.
本文对于股票价格指标的选取采用的是沪深300指数,而不是上证指数,避免了指数失真可能导致分析结果的误差性；采用了最新的数据和较新的计量经济方法如向量自回归模型(Var)、ADF检验、协整检验、格兰杰因果检验、向量误差修正模型(VECM)、脉冲响应函数、方差分解等,对货币政策影响股票价格的机制进行了系统全面的分析,既有理论分析,又有实证分析,而且更侧重实证分析。包括：利率、货币供应量、信贷规模以及汇率对股票价格的影响。
根据新指标和新数据得出的结论：利率、货币供应量和汇率与股价有长期协整关系,信贷规模与股价则没有；短期内利率对股价的影响是负的,而长期则是正的；货币供应量对股价的影响长、短期均为正的；汇率对股价的影响是负向的；各变量对股价波动的贡献度为：利率对股价的影响占8%,货币供应量占5%,汇率占4%。
文章最后根据实证分析的结论提出了一些建议：中央银行可以通过货币政策调控股票价格；应加快发展股票市场,扩大股票市场的规模；加大对信贷资金的监管,防止违规入市以及防止短期内人民币大幅度升值。
The influence of the monetary policy upon the stock price is the problem that economic educational circles and National Central Bank concern more and more in recent years. Since 70's in 20th century, Especially in 20 years, the stock markets of flourished nations and new nations develop day by day, the stock markets plays a huge part in the position and the function in the country national economy day by day, the motion of the stock price is going to produce great influence upon a country's and global economy. The last few years, our country's stock market develops fast, and the scale of stock market continuously extends, more and more the residents invest stock market. Since 2005, our country's stock market undulates greatly. Shanghai Composite Index attains 998 point in June,2005, and significantly soars, and after attaining 6124 point in October,2007, declines to 1664 point on October 28,2008 in a year, experiences a period of integrity. In this period, the National Central Bank adjusts basis interest rate of 13 times,22 times of adjustment on savings reserves lead, The monetary policy changes multifarious, Unprecedented. What kind of the relation that actually exists in the stock price and the monetary policy of the National Central Bank? In the process of economic social development, the National Central Bank will more use monetary policy tool directly or indirectly to influence and adjust the stock price, consequently, it is necessary for us to research the influence of the money market upon the stock market.
This text's selection toward stock price index is Shanghai-Shenzhen 300 Index, but isn't Shanghai Composite Index, avoiding index number losing to cause to analyze the error; Adopting the latest data and lately Empirical Analysis, such as VAR model、ADF examines、Cointegration test、the Grange causality test、the vect error correction model(VECM)、the impulse response、variance decomposition, analysis the mechanism that influences stock price to the monetary policy, not only theory analysis, but also Empirical Analysis, and lay particular emphasis on Empirical Analysis. Including:the influence of the interest rate upon the stock price、currency supply, loan scale and the rate of exchange of influence upon the stock price.
According to new data and lately Empirical Analysis measure to get the conclusions: Interest rate, currency supply and exchange rate have the cointegrate relation with stock price over a long period of time, but loan scale hasn't;The influence of the interest rate upon the stock market is negative in a shor-term, but positive in the long term; currency supply of the influence upon the stock market is positive;the exchange rate of the influence upon the stock market is negative, Each variable influencing the motion of the stock price index of contribution is:the interest rate has 8% to influence the point, currency supply 5%,the exchange rate 4%.
At last, according to the conclusions of the empirical analysis some suggestions are put forward:the National Central Bank can adjust to control stock market through monetary policy; to develop stock market speed, to extend the scale of stock market;to put more effort on taking charge of credit funds,to prevent funds from investing stock market against the regulation; Prevent°from the significant appreciation of RenMinBi in the short term.
引文
[1]朱团钦.我国货币政策与沪深股市的协整关系研究[J].商业研究,2008.6.
[2]杨新松.龙革生.货币政策是否影响股票市场：基于中国股市的实证分析[J].中央财经大学学报,2006.9
[3]宋杰,中国证券市场与货币政策传导机制的实证研究[J].中央财经大学学报,2008.20.
[4]郭金龙,李文军.我国股票市场发展与货币政策互动关系的实证分析[J].数量技术经济研究,2004.10
[5]张雪莹、齐立波.汇率与股票价格的关系：理论前沿与实证研究综述[J].区域金融研究,2009.2.
[6]钱小安.资产价格对货币政策的影响研究[J].经济研究,1998.1
[7]中国人民银行研究局课题组.我国股票市场发展与货币政策完善[J].金融研究,2002.4.
[8]钱小安.货币市场与资本市场之间的联结机制与其疏导[J].金融研究,2001.9.
[9]赵英军,侯绍泽.货币政策：通过股票市场的传导——西方对货币政策传导机制的新认识及对我国的启示[J].金融研究,1999,12.
[10]吴晓求,宋清华,应展宇.我国银行信贷资金进入股票市场研究[J]。管理世界,2001,4.
[11]陈飞,高铁梅.我国货币政策工具变量效应的实证分析[J].金融研究,2002.10
[12]陆蓉.股票市场的货币政策效应度量[J].统计研究,2003.8.
[13]易纲、王召.货币政策与金融资产价格[J].经济研究,2002.3.
[14]凯恩斯.就业、利息和货币通论[M].商务印书馆,1996.
[15]孙华妤,马跃.中国货币政策与股票市场的关系[J].经济研究,2003.7.
[16]杨新松,龙革生.货币政策是否影响股票市场：基于中国股市的实证分析[J].中央财经大学学报,2006.3
[17]张兵,封思贤,李心丹,汪慧建.汇率与股价变动关系[J].经济研究,2008.9
[18]谢卓.货币政策与股票市场关系的Var模型研究[J].商业文化,2008.2
[19]胥爱欢,林孝贵.汇率变动与股票市场价格变化的动态弹性分析——基于可变参数模型的实证研究[J].哈尔滨金融高等专科学校学报,2008.12.
[20]瞿强.资产价格和货币政策[J].经济研究,2001.7
[21]陆前进,卢庆杰.中国货币政策传导机制研究[M].立信会计出版社,2006.12
[22]魏革军.中国货币政策传导机制研究[M].中国金融出版社,2001.11
[23]康书生,鲍静海.货币银行学[M].河北人民出版社,2005.08
[24]高铁梅.计量经济分析方法与建模[M].清华大学出版社,2006.01
[25]王文博.计量经济学[M].西安交通大学出版社,2004.10.
[26]Friedman and Schwartz. Money and Business Cycles[M],1963.2
[27]Lastrapes, Endogenous trading volume and momentum in stock-return volatility,1998.9
[28]Roberto Rigobon & BrianSack. Measuring the reaction of monetary policy to the stock market[J].Quarterly Journal of Economics,2003.7
[29]Wing-Keung Wong, Habibullan Khan, JunDu. Domoney and interest rate smatter for stock prices? Aneconometric study of Singaore and USA[J]. Sinaore Economic Review,2006.6
[30]Friedman M. Money and the stockmarket[J]. Journal of Political Economy,1988.9
[31]Nozar Hashemzadeh & Philip Taylor. Stockprices. money supply and interest rate:the question of causality[J].Applied Economics,1988.10
[32]Bernanke Ben.& Mark Gertler. Should Central Banks Respond to Movements in Asset Prices? [J]. American Economic Review Papers Proceedings Forthcoming.2003.4
[33]Milton Friendman. Money and the Stock Market, Journal of Political Economy,1998.2
[34]Imad A Moosa.An investigation into the cyclical behavior of output.Money, stock prices and interestrate[J]. Applied Economics Letter,1998.11
[2]杨新松.龙革生.货币政策是否影响股票市场：基于中国股市的实证分析[J].中央财经大学学报,2006.9
[3]宋杰,中国证券市场与货币政策传导机制的实证研究[J].中央财经大学学报,2008.20.
[4]郭金龙,李文军.我国股票市场发展与货币政策互动关系的实证分析[J].数量技术经济研究,2004.10
[5]张雪莹、齐立波.汇率与股票价格的关系：理论前沿与实证研究综述[J].区域金融研究,2009.2.
[6]钱小安.资产价格对货币政策的影响研究[J].经济研究,1998.1
[7]中国人民银行研究局课题组.我国股票市场发展与货币政策完善[J].金融研究,2002.4.
[8]钱小安.货币市场与资本市场之间的联结机制与其疏导[J].金融研究,2001.9.
[9]赵英军,侯绍泽.货币政策：通过股票市场的传导——西方对货币政策传导机制的新认识及对我国的启示[J].金融研究,1999,12.
[10]吴晓求,宋清华,应展宇.我国银行信贷资金进入股票市场研究[J]。管理世界,2001,4.
[11]陈飞,高铁梅.我国货币政策工具变量效应的实证分析[J].金融研究,2002.10
[12]陆蓉.股票市场的货币政策效应度量[J].统计研究,2003.8.
[13]易纲、王召.货币政策与金融资产价格[J].经济研究,2002.3.
[14]凯恩斯.就业、利息和货币通论[M].商务印书馆,1996.
[15]孙华妤,马跃.中国货币政策与股票市场的关系[J].经济研究,2003.7.
[16]杨新松,龙革生.货币政策是否影响股票市场：基于中国股市的实证分析[J].中央财经大学学报,2006.3
[17]张兵,封思贤,李心丹,汪慧建.汇率与股价变动关系[J].经济研究,2008.9
[18]谢卓.货币政策与股票市场关系的Var模型研究[J].商业文化,2008.2
[19]胥爱欢,林孝贵.汇率变动与股票市场价格变化的动态弹性分析——基于可变参数模型的实证研究[J].哈尔滨金融高等专科学校学报,2008.12.
[20]瞿强.资产价格和货币政策[J].经济研究,2001.7
[21]陆前进,卢庆杰.中国货币政策传导机制研究[M].立信会计出版社,2006.12
[22]魏革军.中国货币政策传导机制研究[M].中国金融出版社,2001.11
[23]康书生,鲍静海.货币银行学[M].河北人民出版社,2005.08
[24]高铁梅.计量经济分析方法与建模[M].清华大学出版社,2006.01
[25]王文博.计量经济学[M].西安交通大学出版社,2004.10.
[26]Friedman and Schwartz. Money and Business Cycles[M],1963.2
[27]Lastrapes, Endogenous trading volume and momentum in stock-return volatility,1998.9
[28]Roberto Rigobon & BrianSack. Measuring the reaction of monetary policy to the stock market[J].Quarterly Journal of Economics,2003.7
[29]Wing-Keung Wong, Habibullan Khan, JunDu. Domoney and interest rate smatter for stock prices? Aneconometric study of Singaore and USA[J]. Sinaore Economic Review,2006.6
[30]Friedman M. Money and the stockmarket[J]. Journal of Political Economy,1988.9
[31]Nozar Hashemzadeh & Philip Taylor. Stockprices. money supply and interest rate:the question of causality[J].Applied Economics,1988.10
[32]Bernanke Ben.& Mark Gertler. Should Central Banks Respond to Movements in Asset Prices? [J]. American Economic Review Papers Proceedings Forthcoming.2003.4
[33]Milton Friendman. Money and the Stock Market, Journal of Political Economy,1998.2
[34]Imad A Moosa.An investigation into the cyclical behavior of output.Money, stock prices and interestrate[J]. Applied Economics Letter,1998.11