摘要
本文运用动态计量经济分析方法,在对2007年以来我国各层次货币供应量月度同比增速与股票市场之间关系进行实证研究的基础上,考察了货币政策对股票市场影响的不对称性问题。研究结果表明,以货币供应量同比变动衡量的货币政策同股票市场存在着长期均衡关系,并且至少存在一个方程可以反映各变量间的这种稳定关系。其中,M0和M1的同比增速是上证综指的格兰杰原因。反周期的货币政策对股票市场的影响具有不对称性,货币政策在紧缩期对股市的负面作用大于其在扩张期的积极影响。
The paper applies dynamic econometric analysis to analyze the relationship between monthly growth rate of money supply at all levels and the stock market since 2007 in China. On the basis of empirical research, the paper examines the asymmetric impact of monetary policy on the stock market. The results show that there is long- term equilibrium between monetary policy and stock market, and such stable relationship can be reflected in at least one equation, in which the growth rate of M0 and M1 are the Granger causes of the Shanghai composite index. Counter-cyclical monetary policy has asymmetric impact on the stock market. The negative effects monetary policy has on stock market in the tightening phase is greater than its positive impact in expanding phase.
出处
《上海金融》
CSSCI
北大核心
2010年第9期37-40,共4页
Shanghai Finance
