股票收益率、经济增长与货币政策关系实证研究

Stock Return, Economic Growth and Monetary Policy: An Empirical Anslysis

中国股票市场在经济周期中波动异常的原因何在?货币政策是否具备调节股票市场的能力?针对这些问题,本文基于VAR模型对中国股票收益率与经济增长、通货膨胀、货币政策工具变量之间的动态关系进行了实证研究。结果显示我国股票收益率与宏观经济走势的关联性较弱,股票市场不能有效发挥经济预测的功能;同时,股票收益率与通货膨胀率之间的相关关系不稳定,投资股票无法实现规避通货膨胀的风险,且通货膨胀也不是推动股票价格上涨的主要原因。建议明确和强化上市公司的责任,促进股票市场的规范与发展,发挥股票市场在货币政策传导机制中应有的作用。

Why does the stock price fluctuates unconventionally during the economic cycle. Whether the monetary policy can adjust and control the stock market？ For these questions, the paper empirically analysis the dynamic relations among stock return, economic growth, inflation and monetary policy variables based on VAR model. The results shown the stock return in China has little relationships with the growth trend of macro-economy, and the stock market can＇ t predict the economic trend effectively. And the correlativity between stock return and inflation is not stable, investments on stock can＇ t avoid the inflation risk, and inflation is not the main reason push stock price growth. In conclusion, government should definitude and strengthen the responsibility of listed companies, promote the stock market standardization and development, bring stock market into play in monetary policy transmission.