股票价格具有货币政策指示器功能吗——来自中国1997～2006年的经验证据

On the Indicatory Function of Stock Price for the Monetary Policy

本文运用VAR模型考察了以股票价格为代表的金融资产价格对我国通货膨胀的影响。实证分析表明,我国股票价格的变动对产出缺口存在一定的正向影响,但是这种影响不太稳定,说明我国股票价格通过总需求渠道对未来通货膨胀产生的影响比较微弱。同时,我国股票价格的变动能引起未来CPI和WPI的同向变化,尤其与CPI的关系非常稳定,说明股票价格在一定程度上包含了我国未来通货膨胀的信息。因此,我国股票价格可以作为一个帮助判断未来经济走势和通货膨胀变动趋势的货币政策指示器。

Based on VAR model, the paper studies the relationship between financial asset price and inflation in China. The econometric result suggests that stock price change can positively but unsteadily influence output gap. Meanwhile, stock price change can increase CPI and WPI; especially it is steadily correlated with CPI. This implies that stock price contains important information about commodity prices and may thus serve as a leading indicator of inflation that can help central bank to judge the tendency of future output and inflation.