基于状态空间模型的货币流动性与股价关系的实证研究

An Empirical Research on the Relationship of Monetary Liquidity and Stock Price Volatility Based on the State Space Model

货币流动性与股价波动之间相互影响的关系一直是学术界争论的热点。利用变参数状态空间模型,研究货币流动性与股价之间的动态关系。研究结果表明:M2增长率/GDP增长率对股价的影响不大;M2与股价的波动从长期和短期来看均存在单向因果关系,而利率与股价波动只是短期存在单向因果关系,但相对于货币供应量而言,利率对股价的波动更为敏感。

The relationship between the monetary liquidity and stock price volatility has been a hot topic in recent academic world. This article used the variable parameter state - space model to analyses the dynamic relationship between the monetary liquidity and stock price volatility. The results showed that M2 and GDP growth rate have a little effect on stock prices, M2 and stock price fluctuations have obvious unidirectional causality, but in the short term, the interest rate have obvious unidirectional causality to stock price volatility . Compared to monetary supply, there are more sensitive to interest rate fluctuations in stock prices.