中国股票市场发展影响货币需求的实证研究:1994～2008

An Empirical Research on the Effect of Stock Market Development on Money Demand in China:1994～2008

从理论上讲，股票市场通过财富效应、资产组合效应、交易效应和替代效应等途径影响货币需求。论文构建了一个包括股票市场变量的货币需求函数，并运用1994～2008年的季度数据和协整分析方法对中国股票市场的货币需求效应进行了检验，检验结果表明股票市场已经成为影响我国货币需求的一个重要因素。在股票市场不断深化和广化的背景下，中央银行应关注资产价格的波动，货币政策的制定应考虑股票市场发展对货币需求的影响。

In theory, the stock market has an impact on money demand by means of wealth effects, portfolio effects, transaction effects, and substitution effects. This paper constructs a money demand function including stock market variables, and tests the money demand effect of Chinese stock market, using the quarterly data from 1994 to 2008 with a co-integration analysis. The result indicates that stock market has already become an important factor that affects Chinese money demand. At the background of the stock market continuously deepening and extending, the central bank should pay attention to the asset price fluctuations. At the same time, monetary policy should take into account the impact of the stock market development on money demand.