摘要
对直接采用货币供应总量研究货币供应与证券市场关系的传统方法加以改进后发现 ,同比增速比货币总量和环比增速更适宜于解释证券市场的价格变动 ,并且货币供应量中的不同组成部分对证券市场的影响也存在显著差异。利用动态经济计量学理论 ,在协整分析和因果关系检验的基础上 ,分别对沪深指数建立的误差修正模型 (ECM )表明 ,M 0和居民储蓄存款对证券市场价格具有显著的影响
This paper studies the money supply and stock markets of China by application of the Dynamic Econometrics Theory. Based on the Cointegration Analysis and Granger Causality Test, we construct an Error Correction Model (ECM) for the Shanghai Stock Index and Shenzhen Stock Index respectively. The results show that M0 and resident saving have a significant effect to stock price but other parts of money supply have no such effect.
出处
《财经理论与实践》
CSSCI
北大核心
2005年第1期48-52,共5页
The Theory and Practice of Finance and Economics
