股票市场、人民币汇率与中国货币需求

Stock Market,RMB Exchange Rate and Money Demand In China

本文在开放经济条件下考察了1999年1月至2010年5月期间中国货币需求函数的特征。研究结果表明通胀预期、股票价格波动和人民币汇率是影响长期货币需求的重要因素。股票收益率和通胀预期都是衡量企业和居民持有货币的重要机会成本变量,但通胀预期占主导地位。人民币升值和升值预期通过货币替代效应和国际资本流动效应增加了长期实际货币余额需求。研究结果还表明在样本期间人民币汇率波动的短期国际资本流动效应是造成中国A股市场动荡加剧的重要原因之一。这意味着中国货币政策的制定与实施应该至少关注资产价格波动和考虑人民币汇率因素,尤其是当前应特别注重稳定人民币升值预期。

This paper explores the characteristics of the monetary demand from January 1999 to May 2010 under the circumstance of open economies in China. The main resuh on long-term characteristics shows that inflation expectation, stock prices volatility and RMB exchange rate are significant influential factors for real money bal- ance demand. RMB appreciation or appreciation expectations decreases the real money balances by the effects of currency substitution and international capital flows. Study on dynamic effect mechanism argues that the for- eign ＂hot money＂ caused by RBM appreciation has significant effect on the Chinese A-share market during the sample period. The policy suggestion is that Chinese monetary authority should at least concern assets price vol- atility, and quantity monetary goal should consider RMB exchange rate or RMB appreciation expectation.