我国的货币政策是否应对股价变动做出反应?

Should China's Monetary Policy Respond to the Change of Stock Price?

本文运用现代协整分析、误差修正模型和格兰杰因果分析等现代时间序列分析方法 ,实证考察了若干发达国家和新兴发展中国家 (地区 )股价指数和实际国内生产总值以及消费价格指数之间的动态关系 ,发现当一国股市发展到一定水平时 ,股指与实体经济间存在着较为显著的多重协整关系和双向因果关系 ;也考察了我国上证综指与实际国内生产总值之间的动态关系 ,发现股指与实体经济间存在着双重协整关系和单向因果关系 ;最后 ,通过进一步考察我国股市的财富效应和投资效应及理论分析 ,可操作性地提出了我国货币政策应对股价变动做出适时反应 ,而且当前应当做出反应的政策建议。

Using cointegration, ECM, Granger causality and other time-series analysis methods, We examine in this paper the dynamic relationship among the stock price index, real GDP and CPI in some developed country and developing country (or region), we also investigate the dynamic relationship between Shanghai Stock Exchange Comprehensive Index and the real GDP in China. The empirical results show that when the stock market of one country develops to a certain level, remarkable relationships of multi-cointegration and bi-directional Granger causality exist between stock price index and the real economy, and that there exist relationships of double cointegration and single-directional Granger causality between SSECI and real economy in China. Finally, after the wealth effect of stock market changes on consumption and the investment effect of stock market has been examined, we put forward feasibly the policy suggestion that China's monetary policy should properly respond to the change of stock price and should respond now.