我国资产价格“货币现象”的实证分析

An Empirical Analysis of the "Monetary Phenomenon" of Asset Prices in China

借鉴弗里德曼的经典观点,可将货币数量影响资产价格波动的现象称为"货币现象"。在此基础上综合运用Granger因果检验、Johansen协整和脉冲响应函数等方法,对M/GDP影响房屋销售价格指数和上证综指进行了实证分析。结果显示,超额货币是房地产价格的Granger原因,且二者存在协整关系,超额货币对于推动房地产价格的上涨发挥了重要作用,表明我国房市存在"货币现象"。从股市来看,长期的"货币现象"并不存在,但自2006年第4季度以来超额货币存量与股指的相关性显著增强。

According to Friedman＇s classic viewpoint, we define the phenomenon that excess money affects asset price volatility as ＂monetary phenomenon＂. Using such methods as the Granger causality test, Johansen cointegration and the impulse response function, an empirical analysis of M/GDP＇s influence on the real-estate prices and the Shanghai Composite Index shows that： the excess money is the Granger cause of real estate prices; there is a cointegration relationship between them; and the excess money plays a key role in pushing up real-estate prices, indicating there is a monetary phenomenon in the real estate market. In the stock market, however, such a long-term ＂monetary phenomenon＂ does not exist, but the correlativeness between the excess money and the stock index has obviously strengthened since the 4th Quarter of 2006.