货币政策中介指标对股票价格的影响研究——基于货币供应量、利率考量的理论分析

Research on the influence of monetary policy intermediary index on stock price——Analysis based on the perspective of money supply and interest rate

探究货币政策与股票价格之间的关系,对于提高我国货币政策传导效率、实现货币政策最终目标具有重要意义。本文基于2003-2019年的月度数据,运用ADF检验、协整检验、格兰杰因果检验、脉冲响应和方差分解等多种实证研究方法,对货币供应量、利率与股票价格之间的关系进行实证分析,研究发现:货币供应量对股票价格具有一定影响,利率对股票价格的影响极其微弱。本文最后从货币政策和股票市场两方面给出政策建议,畅通货币政策传导路径,提高中央银行货币政策运作的透明度,增强市场主体的理性预期;发挥股票市场的价格发现功能,提升资本市场运作效率。

Exploring the relationship between monetary policy and stock prices is of great significance for improving the efficiency of China’s monetary policy transmission and achieving the ultimate goal of monetary policy.Based on monthly data from 2003 to 2019,this paper uses ADF test,cointegration test,Granger causality test,impulse response and variance decomposition and other empirical research methods to analyze the relationship between money supply,interest rates and stock prices.Empirical analysis,the research found that the money supply has a certain influence on stock prices,and the influence of interest rates on stock prices is extremely weak.Finally,this article gives policy recommendations from both the monetary policy and the stock market,to smooth the monetary policy transmission path,improve the transparency of the central bank’s monetary policy operation,and enhance the rational expectations of market entities;make use of the price discovery function of the stock market to improve the efficiency of capital market operations.