基于价格粘性的股价超调现象的理论分析与检验

A Theoretical Analysis and Empirical Test of the Stock Price Overshooting:Based on the Price Stickiness

文章通过将价格粘性和金融资产价格引入货币数量模型,从理论上论证了在价格粘性下,一次性货币供给的冲击将使金融资产价格处于短期超调状态,而持续性的、同方向的货币供给冲击以及投资者的预期自我实现共同作用,将使金融资产价格在较长时期内处于累积性的超调状态,由此而形成金融资产价格与基本面相背离的"剪刀差"现象。基于我国统计数据的实证检验表明:股价与M1之间存在协整关系和互为因果关系,股价对M1冲击存在1期滞后和先升后降的脉冲响应;股价与M2及股价之间不存在因果关系。

By introducing price stickiness and financial asset prices into the model of money quantity, the paper argues that the nonrecurring money supply will lead to the short-term overshooting of financial asset prices under the condition of price stickiness, and the combined action of the same continuous direction money supply and investor＇s expected self-actualization will bring financial asset prices into the accumulative overshooting state in the medium and long term, thus creating the phenomenon of ＂price scissors＂ , in which financial asset prices depart from the economic base. The empirical test based on China＇s statistical data indicates that there are co-integration relations and causality relations between stock prices and M1, and there is a one-period-lag, dropping-after-rising impulse response of stock prices on the M1 supply shocks. However, there is no causality relation between stock prices and the M2.