我国货币政策与沪深股市的协整关系研究

A Co-Integration Test on on the Relationship between China′s Monetary Policy and Stock Markets of Shanghai and Shenzhen

运用协整检验、误差修正模型、格兰杰(GRANGER)因果检验等计量经济学方法,对我国货币政策如何影响沪深股市这一问题做了系统而深入的研究。通过分析,得出了如下结论:STV、M0、M1、M2之间存在着两个协整关系;RSTV、RM0、RM1、RM2之间存在着三个协整关系。在货币供应量与沪深股市市价总值之间,是货币供应量的变化影响沪深股市市价总值,而不是沪深股市市价总值影响货币供应量的变化。这些结论对投资者尤其是机构投资者来讲,具有一定的参考价值。同时,对我国货币政策当局调控股市也有一定的借鉴意义。

This paper uses such econometrics methods as co- integration test, error correct model, GRANGER cause and effect test, research io how China monetary policy influences the stock markets of Shanghai and Shenzhen. The findings indicate that there are two co- integration relations among STV, M0, M1 and M2, and two co -integration relations among RSTV, RM0, RM1 and RM2. Between the money supply and total value of the market price of stock mar kets of Shanghai and Shenzhen, it is that the change of the money supply influences the market price total value, rather than the market price total value influences the change of the money supply. These results have certain reference value for investor, especially institutional investor. It will prove relevant to adjust and control the stock market for China monetary policy authorities.